WMT Options History — August 2010

In August 2010, WMT traded between $16.69 and $17.41. ATM implied volatility averaged 17.8%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.6% (HV 20d: 15.2%). Max pain ranged from $16.67 to $17.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2010-08-10: Highest Volume — 3,175,656 contracts
  • 2010-08-11: Largest IV spike — 24.1% change
  • 2010-08-11: Highest IV Rank — 69.4%
  • 2010-08-13: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.02$16.69$17.41$17.14$16.71
Max Pain$17.35$16.67$17.50$16.67$17.50
ATM IV17.8%14.8%23.2%17.2%17.6%
Expected Move4.9%4.2%5.6%4.9%5.1%
HV 20d15.2%13.1%17.6%15.7%15.4%
HV 60d17.5%16.2%18.6%18.3%16.3%
IV Rank36.5%16.7%69.4%30.4%37.2%
IV Percentile58.7%19.0%96.4%51.2%60.7%
Term Structure0.9%-2.0%3.2%-1.3%1.2%
VWIV18.5%16.3%28.3%18.7%18.1%
Skew 25d3.7%2.1%5.1%2.8%3.8%
Skew 10d7.6%3.9%11.9%4.2%8.5%
Call IV 25d16.1%14.8%17.7%16.6%16.9%
Put IV 25d19.8%17.7%22.6%19.4%20.7%
Bid-Ask Spread %4.632.719.343.617.45
Gamma HHI0.250.200.340.240.21
Net GEX3.9M-24.6M23.7M10.6M-9.2M
Net DEX-28.6M-280.2M154.4M-91.2M154.4M
Net VEX-5.8M-6.1M-5.4M-5.4M-5.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.013.680.820.86
Total Volume208,485.27326,9583,175,65646,28474,142
Total OI2,305,591.6362,122,2392,410,2842,262,0212,290,824

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$17.14$16.6717.2%4.9%15.7%30.4%18.7%2.8%-1.3%10.6M-91.2M-5.4M0.823.6125,47020,8141,108,2691,153,752
2010-08-03$17.10$16.6718.0%5.1%15.5%35.5%19.2%2.1%-2.0%9.4M-72.3M-5.4M1.133.6617,93120,2381,109,6791,156,725
2010-08-04$17.20$16.6718.2%5.2%15.5%36.8%18.3%2.5%-1.7%11.5M-120.7M-5.6M0.183.5377,18414,2051,115,3161,165,881
2010-08-05$17.21$16.6717.9%5.1%15.5%34.9%18.7%3.0%-1.6%14.8M-158.0M-5.9M0.802.7115,34512,2371,173,0301,171,773
2010-08-06$17.26$17.5017.9%4.5%15.5%35.1%16.8%4.1%1.3%16.9M-182.6M-6.1M0.424.3328,19411,9701,181,2861,174,002
2010-08-09$17.35$17.5018.5%4.5%14.9%38.8%17.6%3.5%1.4%22.8M-266.7M-5.8M0.334.6933,33910,9051,188,7021,178,097
2010-08-10$17.41$17.5018.7%4.5%14.7%40.3%28.3%4.0%1.5%23.7M-280.2M-5.9M0.014.813,145,39530,2611,195,5631,177,932
2010-08-11$17.01$17.5023.2%5.5%17.1%69.4%19.3%4.8%0.6%5.5M1.6M-5.9M1.244.0939,22248,7021,128,4201,183,611
2010-08-12$16.81$17.5019.4%5.6%17.6%45.0%20.4%5.1%0.8%-5.0M107.0M-5.9M1.483.2334,62351,1771,128,1111,195,725
2010-08-13$16.80$17.5019.6%5.6%16.8%51.4%19.8%4.7%0.9%-4.1M91.3M-5.9M0.443.3931,38913,9321,129,2691,203,072
2010-08-16$16.80$17.5019.6%5.6%16.7%51.1%19.9%4.9%0.8%-5.8M103.4M-5.8M1.193.4060,36071,7331,135,5271,206,042
2010-08-17$17.01$17.5018.1%5.2%14.2%40.5%17.1%4.2%1.7%570.9K-12.5M-5.8M0.974.7567,14065,1421,145,2351,224,564
2010-08-18$16.95$17.5017.4%5.0%13.7%35.4%19.5%4.1%2.1%329.1K-4.3M-5.7M1.163.4533,31238,7631,162,7401,209,102
2010-08-19$16.69$17.5017.0%4.9%14.4%32.9%17.5%3.7%2.4%-22.1M149.3M-5.6M0.744.5640,47029,8141,171,3861,227,018
2010-08-20$16.74$17.5016.2%4.6%13.1%26.8%17.3%3.3%3.2%-24.6M80.4M-5.6M0.903.9624,60922,2301,180,2601,230,024
2010-08-23$17.05$17.5017.0%4.9%14.4%32.6%16.3%3.5%1.0%10.0M-31.3M-5.7M0.824.5653,58043,9771,083,1501,039,089
2010-08-24$17.10$17.5014.8%4.2%14.4%16.7%17.4%4.0%1.1%11.1M-63.2M-5.9M3.685.0924,56190,2821,105,8691,062,951
2010-08-25$17.18$17.5014.9%4.3%14.4%17.7%16.4%2.7%1.4%8.7M-89.3M-6.0M0.439.3444,75419,3861,113,2761,121,865
2010-08-26$16.99$17.5017.3%5.0%15.0%34.8%16.6%3.2%1.5%6.0M-15.3M-5.9M0.775.7525,59919,7281,144,4791,104,324
2010-08-27$17.00$17.5016.4%4.7%15.0%28.5%16.5%3.0%1.6%6.5M-9.6M-5.9M1.905.729,30617,6521,151,9821,110,255
2010-08-30$16.85$17.5016.9%4.9%15.2%32.2%17.8%3.6%1.7%-2.8M80.5M-5.7M0.555.7217,8659,7381,151,4451,133,394
2010-08-31$16.71$17.5017.6%5.1%15.4%37.2%18.1%3.8%1.2%-9.2M154.4M-5.8M0.867.4539,83434,3081,155,5551,135,269