WMT Options History — October 2010

In October 2010, WMT traded between $17.75 and $18.20. ATM implied volatility averaged 15.3%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.7% (HV 20d: 10.6%). Max pain ranged from $17.50 to $18.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2010-10-18: Highest Volume — 108,663 contracts
2010-10-12: Largest IV spike — 25.7% change
2010-10-13: Highest IV Rank — 58.5%
2010-10-04: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.98	$17.75	$18.20	$17.79	$18.06
Max Pain	$17.74	$17.50	$18.33	$17.50	$17.50
ATM IV	15.3%	13.7%	20.6%	14.9%	14.8%
Expected Move	4.3%	3.9%	4.9%	4.3%	4.2%
HV 20d	10.6%	8.9%	11.9%	8.9%	11.7%
HV 60d	13.3%	12.5%	14.3%	14.3%	13.1%
IV Rank	20.8%	9.3%	58.5%	18.0%	16.9%
IV Percentile	31.3%	7.9%	88.1%	26.6%	25.8%
Term Structure	0.2%	-0.5%	2.1%	2.1%	-0.1%
VWIV	15.5%	14.4%	16.8%	15.0%	15.5%
Skew 25d	2.5%	1.3%	4.2%	2.6%	1.7%
Skew 10d	5.6%	4.0%	9.0%	7.1%	4.9%
Call IV 25d	14.7%	13.9%	15.6%	13.9%	15.0%
Put IV 25d	17.2%	15.5%	18.9%	16.5%	16.6%
Bid-Ask Spread %	4.67	2.83	7.36	5.13	2.88
Gamma HHI	0.40	0.30	0.48	0.30	0.44
Net GEX	33.9M	24.1M	49.1M	25.0M	37.9M
Net DEX	-460.4M	-625.0M	-315.7M	-390.2M	-500.6M
Net VEX	-5.7M	-6.0M	-5.4M	-5.9M	-5.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.19	1.89	0.95	0.49
Total Volume	52,397.143	18,606	108,663	18,606	19,236
Total OI	2,170,083.571	2,079,156	2,246,430	2,079,156	2,246,430

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
2010-10-01	$17.79	$17.50	14.9%	4.3%	8.9%	18.0%	15.0%	2.6%	2.1%	25.0M	-390.2M	-5.9M	0.95	5.13	9,525	9,081	1,106,013	973,143
2010-10-04	$17.86	$17.50	15.8%	4.9%	8.9%	24.6%	15.8%	4.2%	0.4%	27.8M	-405.7M	-6.0M	0.43	5.57	17,775	7,575	1,106,871	975,858
2010-10-05	$18.00	$17.50	13.8%	4.3%	8.9%	10.0%	15.4%	3.6%	0.3%	31.9M	-455.7M	-5.9M	0.19	6.17	54,276	10,278	1,110,624	976,671
2010-10-06	$18.19	$17.50	14.0%	4.3%	9.4%	11.5%	15.0%	3.3%	0.4%	39.3M	-584.9M	-5.9M	0.50	5.61	59,244	29,892	1,125,039	977,007
2010-10-07	$18.12	$18.33	14.3%	4.4%	9.6%	13.7%	16.1%	3.4%	0.3%	40.9M	-611.7M	-5.8M	0.55	6.51	15,936	8,805	1,151,559	984,996
2010-10-08	$18.14	$18.33	14.0%	4.3%	9.6%	11.4%	15.8%	2.8%	0.3%	45.3M	-625.0M	-5.7M	0.50	7.36	13,032	6,471	1,162,107	988,092
2010-10-11	$18.20	$18.33	15.4%	4.4%	9.6%	21.1%	15.2%	2.7%	0.4%	49.1M	-618.4M	-5.7M	0.23	4.63	54,546	12,420	1,167,078	987,780
2010-10-12	$17.97	$18.33	19.3%	4.4%	10.6%	49.5%	16.6%	2.7%	-0.3%	38.2M	-470.6M	-5.8M	0.57	5.51	50,328	28,935	1,185,366	989,475
2010-10-13	$17.94	$18.33	20.6%	4.5%	10.6%	58.5%	16.3%	2.9%	-0.5%	37.3M	-428.3M	-5.8M	0.59	4.19	41,700	24,540	1,200,762	1,000,374
2010-10-14	$17.75	$18.33	16.7%	4.8%	11.2%	30.9%	16.8%	3.3%	0.1%	26.2M	-355.6M	-5.6M	0.94	4.35	31,527	29,565	1,207,101	1,009,638
2010-10-15	$17.78	$17.50	16.3%	4.7%	11.2%	28.1%	16.0%	2.9%	0.2%	27.8M	-386.3M	-5.5M	0.71	4.03	45,234	32,277	1,215,990	1,021,443
2010-10-18	$17.92	$17.50	14.3%	4.1%	11.0%	13.2%	15.4%	2.1%	-0.2%	31.4M	-385.6M	-5.7M	0.65	4.53	65,745	42,918	1,147,335	967,548
2010-10-19	$17.77	$17.50	15.8%	4.5%	11.4%	24.4%	15.8%	2.5%	0.7%	24.1M	-315.7M	-5.7M	1.89	5.16	23,262	44,019	1,163,301	996,798
2010-10-20	$17.82	$17.50	15.6%	4.5%	11.3%	22.5%	15.1%	2.6%	0.5%	26.2M	-357.3M	-5.6M	0.53	4.59	29,028	15,255	1,152,909	1,010,775
2010-10-21	$18.01	$17.50	14.0%	4.0%	11.9%	11.4%	14.6%	1.9%	-0.2%	31.4M	-458.3M	-5.6M	0.47	5.38	27,432	12,816	1,165,236	1,017,816
2010-10-22	$18.02	$17.50	13.7%	3.9%	11.5%	9.3%	14.4%	1.6%	-0.1%	34.1M	-471.4M	-5.5M	0.47	2.83	13,980	6,585	1,173,792	1,019,796
2010-10-25	$17.98	$17.50	14.2%	4.1%	10.8%	12.9%	14.5%	1.5%	-0.5%	32.3M	-399.3M	-5.7M	0.60	3.95	21,522	12,957	1,177,953	1,021,287
2010-10-26	$18.19	$17.50	14.3%	4.1%	11.3%	13.2%	15.1%	1.3%	-0.0%	39.0M	-592.8M	-5.4M	0.55	3.30	60,195	33,069	1,180,095	1,023,387
2010-10-27	$17.96	$17.50	15.1%	4.3%	11.8%	19.0%	16.2%	1.9%	-0.3%	30.1M	-380.7M	-5.8M	0.86	2.89	29,271	25,125	1,205,652	1,038,174
2010-10-28	$18.03	$17.50	14.9%	4.3%	11.8%	17.5%	15.6%	1.6%	-0.3%	35.5M	-474.0M	-5.5M	1.09	3.45	11,952	13,011	1,203,045	1,037,439
2010-10-29	$18.06	$17.50	14.8%	4.2%	11.7%	16.9%	15.5%	1.7%	-0.1%	37.9M	-500.6M	-5.5M	0.49	2.88	12,882	6,354	1,205,505	1,040,925