WMT Options History — November 2010

In November 2010, WMT traded between $17.89 and $18.45. ATM implied volatility averaged 15.6%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.9% (HV 20d: 10.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.92.

Notable Days

2010-11-16: Highest Volume — 204,300 contracts
2010-11-23: Largest IV spike — 20.4% change
2010-11-26: Highest IV Rank — 32.3%
2010-11-26: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.12	$17.89	$18.45	$18.10	$18.03
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	15.6%	13.4%	16.9%	16.3%	16.3%
Expected Move	4.4%	3.8%	4.9%	4.7%	4.7%
HV 20d	10.7%	10.0%	11.8%	11.7%	10.1%
HV 60d	11.6%	10.2%	13.1%	13.0%	10.2%
IV Rank	23.0%	6.6%	32.3%	27.8%	27.6%
IV Percentile	42.0%	4.8%	62.7%	52.0%	54.0%
Term Structure	0.1%	-1.2%	1.6%	-1.2%	0.1%
VWIV	16.2%	13.9%	19.2%	16.4%	19.2%
Skew 25d	2.6%	1.0%	3.4%	1.0%	2.6%
Skew 10d	6.6%	3.9%	11.7%	3.9%	6.2%
Call IV 25d	14.9%	12.9%	16.7%	16.7%	15.9%
Put IV 25d	17.5%	15.4%	18.7%	17.7%	18.5%
Bid-Ask Spread %	9.84	3.30	14.02	3.31	12.19
Gamma HHI	0.45	0.40	0.56	0.42	0.41
Net GEX	39.8M	28.2M	51.8M	37.9M	30.2M
Net DEX	-490.1M	-794.0M	-267.4M	-555.0M	-382.4M
Net VEX	-5.2M	-5.7M	-4.6M	-5.4M	-5.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.34	1.67	0.45	0.95
Total Volume	66,486.857	18,201	204,300	38,010	38,388
Total OI	2,302,494.857	2,185,269	2,418,495	2,251,698	2,248,551

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
2010-11-01	$18.10	$17.50	16.3%	4.7%	11.7%	27.8%	16.4%	1.0%	-1.2%	37.9M	-555.0M	-5.4M	0.45	3.31	26,226	11,784	1,209,642	1,042,056
2010-11-02	$18.26	$17.50	16.6%	4.7%	11.8%	29.7%	16.6%	1.8%	-1.2%	41.7M	-579.9M	-5.7M	0.54	4.42	44,169	23,832	1,215,690	1,044,768
2010-11-03	$18.30	$17.50	16.1%	4.6%	11.2%	26.1%	16.5%	2.1%	-0.9%	46.0M	-658.2M	-5.4M	1.66	4.40	14,496	24,045	1,226,673	1,055,160
2010-11-04	$18.45	$17.50	16.1%	4.6%	11.5%	26.3%	16.6%	2.1%	-0.9%	51.0M	-794.0M	-5.3M	0.34	4.99	78,171	26,412	1,230,282	1,053,894
2010-11-05	$18.40	$17.50	16.3%	4.4%	11.5%	27.6%	16.3%	2.9%	-0.2%	49.5M	-733.8M	-5.4M	1.10	10.82	16,566	18,177	1,244,262	1,070,709
2010-11-08	$18.30	$17.50	16.3%	4.4%	11.7%	27.6%	16.1%	2.9%	0.1%	47.2M	-635.3M	-5.4M	1.21	12.46	22,971	27,717	1,244,313	1,073,538
2010-11-09	$18.35	$17.50	16.6%	4.3%	10.6%	29.7%	16.1%	2.8%	-0.1%	51.8M	-716.8M	-5.2M	1.11	14.02	19,392	21,447	1,244,715	1,082,934
2010-11-10	$18.17	$17.50	16.6%	4.3%	11.3%	30.1%	16.2%	3.4%	0.5%	46.8M	-562.7M	-5.3M	1.14	13.41	24,120	27,429	1,244,769	1,089,501
2010-11-11	$18.11	$17.50	15.1%	4.3%	10.6%	18.8%	16.5%	2.9%	0.4%	43.0M	-535.0M	-5.2M	1.67	11.86	24,474	40,941	1,246,233	1,095,660
2010-11-12	$18.04	$17.50	15.7%	4.5%	10.7%	23.4%	16.4%	3.4%	0.2%	39.6M	-473.6M	-5.3M	0.61	10.03	45,507	27,699	1,250,865	1,102,425
2010-11-15	$17.98	$17.50	15.8%	4.5%	10.5%	24.2%	17.6%	3.3%	-0.2%	35.4M	-381.9M	-5.2M	1.31	9.31	52,740	68,928	1,249,944	1,110,135
2010-11-16	$18.09	$17.50	15.7%	4.5%	10.1%	23.3%	16.0%	2.8%	0.6%	43.5M	-482.6M	-5.2M	0.70	12.07	120,258	84,042	1,262,868	1,120,092
2010-11-17	$17.92	$17.50	14.9%	4.3%	10.7%	18.1%	16.3%	3.1%	0.8%	32.0M	-297.2M	-5.3M	0.90	9.98	43,554	38,982	1,284,102	1,122,270
2010-11-18	$17.99	$17.50	14.0%	4.0%	10.1%	11.4%	15.5%	2.7%	1.0%	38.7M	-341.8M	-5.1M	0.64	12.11	33,891	21,807	1,281,180	1,126,089
2010-11-19	$18.13	$17.50	13.4%	3.8%	10.5%	6.6%	13.9%	2.4%	1.5%	43.9M	-421.0M	-5.1M	0.57	9.94	42,543	24,276	1,287,489	1,131,006
2010-11-22	$18.13	$17.50	13.5%	3.9%	10.4%	7.7%	14.7%	2.6%	1.6%	38.8M	-485.4M	-4.6M	0.89	3.30	41,844	37,410	1,146,105	1,039,164
2010-11-23	$17.89	$17.50	16.3%	4.7%	10.7%	27.6%	15.6%	2.5%	-0.3%	28.2M	-267.4M	-4.9M	0.87	11.78	33,660	29,298	1,159,617	1,044,936
2010-11-24	$18.00	$17.50	14.1%	4.0%	10.0%	12.2%	15.3%	2.3%	0.7%	33.2M	-380.8M	-4.9M	1.14	12.57	28,509	32,595	1,163,154	1,058,004
2010-11-26	$17.91	$17.50	16.9%	4.9%	10.0%	32.3%	16.2%	2.6%	-1.0%	28.4M	-292.9M	-4.9M	0.60	12.15	11,388	6,813	1,165,212	1,048,419
2010-11-29	$17.95	$17.50	15.9%	4.6%	10.0%	25.2%	16.9%	3.1%	0.1%	28.8M	-315.2M	-4.9M	1.00	11.50	19,827	19,896	1,168,620	1,067,346
2010-11-30	$18.03	$17.50	16.3%	4.7%	10.1%	27.6%	19.2%	2.6%	0.1%	30.2M	-382.4M	-5.0M	0.95	12.19	19,713	18,675	1,170,018	1,078,533