WMT Options History — December 2010

In December 2010, WMT traded between $17.77 and $18.36. ATM implied volatility averaged 13.7%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.4% (HV 20d: 10.3%). Max pain ranged from $16.67 to $18.33. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.03.

Notable Days

2010-12-07: Highest Volume — 2,441,007 contracts
2010-12-31: Largest IV spike — 28.7% change
2010-12-31: Highest IV Rank — 27.0%
2010-12-01: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.07	$17.77	$18.36	$18.23	$17.98
Max Pain	$18.03	$16.67	$18.33	$17.50	$17.50
ATM IV	13.7%	11.8%	15.8%	15.8%	15.7%
Expected Move	3.9%	3.4%	4.5%	4.5%	4.5%
HV 20d	10.3%	9.1%	11.3%	10.4%	9.1%
HV 60d	10.5%	10.1%	10.8%	10.4%	10.1%
IV Rank	11.2%	0.0%	27.0%	24.4%	27.0%
IV Percentile	15.8%	0.0%	48.4%	47.6%	48.4%
Term Structure	1.3%	-2.6%	2.9%	-0.3%	-2.6%
VWIV	15.1%	12.8%	21.2%	15.8%	19.1%
Skew 25d	2.9%	1.0%	3.9%	2.2%	1.0%
Skew 10d	7.8%	4.5%	9.8%	5.1%	8.7%
Call IV 25d	13.1%	11.7%	16.1%	15.5%	16.1%
Put IV 25d	16.0%	14.5%	17.7%	17.7%	17.2%
Bid-Ask Spread %	9.36	3.74	15.59	12.58	4.23
Gamma HHI	0.44	0.24	0.67	0.47	0.24
Net GEX	35.8M	11.2M	73.4M	39.5M	14.3M
Net DEX	-321.2M	-645.1M	-105.6M	-509.9M	-303.9M
Net VEX	-4.6M	-5.0M	-4.2M	-4.9M	-4.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.02	4.83	0.45	1.62
Total Volume	176,903.455	28,959	2,441,007	99,960	28,959
Total OI	2,130,634.5	1,880,262	2,295,144	2,255,931	1,942,524

Daily Data (22 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
2010-12-01	$18.23	$17.50	15.8%	4.5%	10.4%	24.4%	15.8%	2.2%	-0.3%	39.5M	-509.9M	-4.9M	0.45	12.58	68,844	31,116	1,174,269	1,081,662
2010-12-02	$18.25	$17.50	14.4%	4.1%	10.4%	14.3%	15.1%	1.5%	-0.1%	43.6M	-529.9M	-4.8M	0.54	13.77	28,092	15,081	1,192,398	1,090,221
2010-12-03	$18.21	$17.50	13.5%	3.9%	10.0%	7.5%	14.5%	1.6%	0.3%	44.7M	-537.4M	-4.7M	0.42	12.94	29,451	12,300	1,195,023	1,093,146
2010-12-06	$18.16	$16.67	14.0%	4.0%	9.9%	11.5%	14.9%	3.2%	2.6%	43.9M	-519.2M	-4.5M	0.35	8.16	47,190	16,728	1,191,654	1,095,258
2010-12-07	$18.36	$16.67	14.2%	4.1%	10.6%	13.1%	21.2%	3.1%	2.3%	55.3M	-645.1M	-4.6M	0.02	15.59	2,396,274	44,733	1,195,137	1,100,007
2010-12-08	$18.16	$18.33	14.2%	3.9%	11.3%	12.7%	15.3%	3.1%	2.2%	43.0M	-317.8M	-4.6M	1.24	3.74	32,505	40,449	1,067,229	1,104,165
2010-12-09	$18.11	$18.33	13.4%	3.8%	10.7%	6.9%	14.1%	3.6%	2.4%	40.2M	-290.3M	-4.6M	1.42	6.33	13,539	19,245	1,065,909	1,082,064
2010-12-10	$18.09	$18.33	12.9%	3.8%	10.7%	3.2%	16.4%	3.7%	2.1%	41.1M	-263.1M	-4.6M	1.51	6.61	13,566	20,445	1,071,006	1,082,787
2010-12-13	$18.07	$18.33	15.5%	3.8%	10.6%	22.1%	14.6%	3.1%	2.2%	38.6M	-254.3M	-4.4M	0.99	11.25	28,842	28,638	1,073,706	1,089,783
2010-12-14	$18.15	$18.33	14.7%	3.7%	10.6%	16.3%	15.1%	2.8%	2.4%	53.1M	-316.7M	-4.5M	1.03	7.31	22,662	23,310	1,083,252	1,094,703
2010-12-15	$18.08	$18.33	12.7%	3.6%	10.6%	1.9%	13.3%	3.1%	2.5%	39.8M	-256.1M	-4.4M	0.61	5.07	24,930	15,225	1,080,663	1,101,039
2010-12-16	$18.21	$18.33	12.3%	3.5%	10.3%	0.0%	12.8%	2.7%	2.6%	73.4M	-378.2M	-4.3M	0.62	11.33	32,883	20,535	1,089,606	1,096,590
2010-12-17	$18.14	$18.33	11.9%	3.4%	10.4%	0.0%	13.0%	2.8%	2.9%	24.4M	-258.7M	-4.3M	0.47	5.22	84,660	40,107	1,096,386	1,098,318
2010-12-20	$17.92	$18.33	11.8%	3.4%	10.9%	0.0%	13.4%	2.9%	1.1%	19.9M	-190.8M	-4.3M	0.67	7.16	58,851	39,477	948,849	931,413
2010-12-21	$17.88	$18.33	13.4%	3.8%	10.9%	11.3%	14.4%	3.1%	0.9%	18.1M	-175.1M	-4.4M	0.89	11.05	22,548	20,136	962,763	946,743
2010-12-22	$17.77	$18.33	13.6%	3.9%	10.1%	12.8%	15.0%	3.0%	0.6%	11.2M	-105.6M	-4.2M	0.49	11.04	127,467	62,823	972,759	956,742
2010-12-23	$17.87	$18.33	14.1%	4.0%	10.0%	15.7%	15.8%	3.4%	0.8%	23.1M	-182.6M	-4.7M	1.45	10.39	23,238	33,750	1,062,225	978,573
2010-12-27	$17.86	$18.33	14.5%	4.2%	9.9%	19.1%	15.3%	3.9%	0.8%	23.0M	-182.7M	-4.7M	4.83	7.48	17,883	86,289	1,068,123	989,223
2010-12-28	$17.91	$18.33	14.7%	4.2%	9.9%	20.0%	14.5%	3.7%	0.9%	28.1M	-222.8M	-4.7M	0.99	10.75	43,731	43,503	1,072,410	985,782
2010-12-29	$18.03	$18.33	12.3%	3.5%	10.0%	3.5%	14.4%	3.2%	0.5%	34.1M	-308.8M	-4.9M	0.59	11.99	52,122	30,939	1,102,212	1,019,391
2010-12-30	$18.02	$18.33	12.2%	3.5%	9.1%	2.9%	14.3%	3.6%	0.8%	35.3M	-316.5M	-5.0M	1.37	12.01	20,613	28,197	1,118,370	1,029,876
2010-12-31	$17.98	$17.50	15.7%	4.5%	9.1%	27.0%	19.1%	1.0%	-2.6%	14.3M	-303.9M	-4.7M	1.62	4.23	11,034	17,925	969,279	973,245