WMT Options History — September 2010

In September 2010, WMT traded between $17.07 and $18.03. ATM implied volatility averaged 14.7%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.7% (HV 20d: 13.9%). Max pain ranged from $16.67 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.70.

Notable Days

2010-09-16: Highest Volume — 119,037 contracts
2010-09-27: Largest IV spike — 21.1% change
2010-09-01: Highest IV Rank — 30.3%
2010-09-01: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.61	$17.07	$18.03	$17.07	$17.84
Max Pain	$17.22	$16.67	$17.50	$17.50	$17.50
ATM IV	14.7%	12.4%	16.7%	16.7%	15.4%
Expected Move	4.3%	3.7%	4.8%	4.8%	4.4%
HV 20d	13.9%	9.3%	17.7%	17.1%	9.3%
HV 60d	15.8%	14.2%	17.0%	16.8%	14.3%
IV Rank	15.9%	0.0%	30.3%	30.3%	21.5%
IV Percentile	21.6%	0.0%	44.4%	44.4%	34.5%
Term Structure	1.7%	1.2%	2.1%	1.4%	1.8%
VWIV	15.5%	13.5%	16.9%	16.0%	14.7%
Skew 25d	3.1%	2.0%	3.9%	2.6%	2.2%
Skew 10d	7.3%	-2.3%	10.3%	6.2%	6.7%
Call IV 25d	13.9%	12.5%	15.1%	14.6%	14.1%
Put IV 25d	17.0%	15.0%	18.5%	17.2%	16.3%
Bid-Ask Spread %	7.24	3.50	48.71	5.23	5.33
Gamma HHI	0.35	0.27	0.56	0.27	0.31
Net GEX	31.4M	10.3M	61.5M	10.3M	27.3M
Net DEX	-337.3M	-528.3M	-32.0M	-32.0M	-434.1M
Net VEX	-5.7M	-5.9M	-5.3M	-5.8M	-5.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.17	1.54	0.77	0.73
Total Volume	56,966	20,514	119,037	48,384	29,763
Total OI	2,193,357.143	1,855,788	2,417,247	2,314,395	2,071,479

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-09-01	$17.07	$17.50	16.7%	4.8%	17.1%	30.3%	16.0%	2.6%	1.4%	10.3M	-32.0M	-5.8M	0.77	5.23	27,399	20,985	1,179,504	1,134,891
2010-09-02	$17.25	$17.50	13.4%	3.8%	17.6%	6.7%	14.1%	2.1%	1.9%	17.1M	-142.0M	-5.7M	1.38	4.81	17,361	23,883	1,161,354	1,139,151
2010-09-03	$17.35	$16.67	12.4%	4.3%	17.7%	0.0%	15.9%	3.0%	2.1%	27.1M	-219.0M	-5.7M	0.44	5.30	39,408	17,259	1,166,541	1,151,982
2010-09-07	$17.29	$16.67	14.7%	4.5%	17.6%	16.5%	16.0%	3.4%	1.6%	23.4M	-185.3M	-5.7M	0.72	5.11	21,315	15,366	1,177,260	1,147,701
2010-09-08	$17.28	$16.67	14.3%	4.5%	17.6%	13.2%	16.8%	3.5%	1.8%	24.4M	-161.4M	-5.6M	0.64	6.09	18,264	11,733	1,178,166	1,151,991
2010-09-09	$17.30	$16.67	15.2%	4.3%	15.3%	19.6%	16.3%	3.6%	1.8%	29.7M	-180.1M	-5.6M	0.60	5.59	26,328	15,741	1,176,384	1,154,097
2010-09-10	$17.32	$16.67	15.2%	4.4%	14.6%	19.8%	16.9%	3.9%	1.8%	36.2M	-201.4M	-5.6M	1.13	4.50	9,639	10,878	1,191,771	1,159,602
2010-09-13	$17.40	$16.67	14.9%	4.3%	14.6%	17.9%	16.6%	3.9%	1.9%	48.0M	-247.1M	-5.5M	0.71	6.65	27,744	19,665	1,194,423	1,163,607
2010-09-14	$17.55	$16.67	14.8%	4.2%	14.8%	16.7%	15.1%	3.6%	1.8%	61.5M	-353.5M	-5.3M	0.38	6.32	59,085	22,725	1,195,425	1,169,073
2010-09-15	$17.62	$17.50	15.5%	4.5%	14.4%	22.3%	15.2%	3.6%	1.2%	59.8M	-423.7M	-5.5M	0.17	48.71	52,830	8,904	1,202,937	1,172,382
2010-09-16	$17.72	$17.50	14.9%	4.3%	14.3%	17.5%	15.0%	3.3%	1.8%	48.4M	-487.9M	-5.4M	0.35	6.03	88,434	30,603	1,213,212	1,175,334
2010-09-17	$17.67	$17.50	15.3%	4.4%	12.8%	20.8%	15.3%	3.8%	1.6%	26.8M	-472.8M	-5.5M	0.28	4.48	54,762	15,381	1,226,493	1,190,754
2010-09-20	$17.85	$17.50	14.5%	4.2%	13.0%	14.7%	14.1%	3.2%	1.4%	20.9M	-361.8M	-5.6M	0.33	4.42	77,100	25,539	965,952	889,836
2010-09-21	$17.86	$17.50	14.9%	4.3%	11.8%	17.9%	14.4%	3.4%	1.4%	25.7M	-434.6M	-5.5M	0.52	5.23	64,734	33,783	1,007,457	898,575
2010-09-22	$17.94	$17.50	13.2%	3.8%	11.8%	5.8%	15.8%	2.9%	1.7%	27.2M	-455.7M	-5.7M	0.54	5.76	49,752	26,619	1,024,752	914,142
2010-09-23	$17.88	$17.50	15.4%	4.4%	11.9%	21.1%	15.9%	3.1%	1.8%	28.1M	-457.7M	-5.7M	0.66	5.23	57,237	37,659	1,057,035	918,915
2010-09-24	$18.03	$17.50	12.7%	3.7%	11.0%	2.2%	13.5%	2.0%	2.1%	32.8M	-528.3M	-5.8M	0.50	4.06	20,787	10,317	1,092,045	936,786
2010-09-27	$17.83	$17.50	15.4%	4.4%	12.1%	21.5%	15.7%	2.8%	1.8%	27.9M	-411.4M	-5.9M	0.91	5.28	10,761	9,753	1,096,446	931,737
2010-09-28	$17.94	$17.50	13.1%	3.8%	11.4%	4.9%	15.7%	2.2%	2.0%	31.5M	-489.1M	-5.8M	1.54	3.50	15,321	23,574	1,098,018	933,900
2010-09-29	$17.78	$17.50	15.7%	4.5%	11.5%	23.6%	15.6%	2.6%	1.5%	25.7M	-404.4M	-5.8M	1.52	4.36	18,978	28,917	1,102,146	947,244
2010-09-30	$17.84	$17.50	15.4%	4.4%	9.3%	21.5%	14.7%	2.2%	1.8%	27.3M	-434.1M	-5.8M	0.73	5.33	17,166	12,597	1,103,961	967,518