WMT Options History — January 2011

In January 2011, WMT traded between $17.91 and $19.19. ATM implied volatility averaged 13.2%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.2% (HV 20d: 11.0%). Max pain ranged from $18.33 to $18.33. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.62.

Notable Days

2011-01-25: Highest Volume — 243,624 contracts
2011-01-10: Largest IV spike — 34.2% change
2011-01-10: Highest IV Rank — 28.0%
2011-01-10: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.45	$17.91	$19.19	$18.19	$18.69
Max Pain	$18.33	$18.33	$18.33	$18.33	$18.33
ATM IV	13.2%	11.8%	15.8%	12.6%	14.8%
Expected Move	3.8%	3.6%	4.3%	3.6%	4.2%
HV 20d	11.0%	9.3%	14.9%	10.1%	14.9%
HV 60d	10.6%	10.1%	11.7%	10.4%	11.7%
IV Rank	9.6%	0.2%	28.0%	5.8%	20.7%
IV Percentile	11.8%	0.4%	52.0%	2.8%	38.1%
Term Structure	1.6%	0.7%	2.3%	0.8%	2.3%
VWIV	13.8%	13.1%	14.9%	14.4%	14.7%
Skew 25d	1.9%	0.9%	3.2%	2.5%	1.4%
Skew 10d	5.1%	3.4%	8.5%	8.1%	5.0%
Call IV 25d	13.2%	12.5%	13.9%	13.5%	13.9%
Put IV 25d	15.1%	14.1%	16.4%	16.0%	15.3%
Bid-Ask Spread %	6.66	3.54	14.32	14.32	3.54
Gamma HHI	0.42	0.29	0.65	0.47	0.29
Net GEX	58.7M	30.5M	112.0M	45.8M	50.3M
Net DEX	-614.9M	-971.6M	-241.4M	-436.8M	-658.5M
Net VEX	-5.2M	-5.6M	-5.0M	-5.0M	-5.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.26	1.66	0.81	0.84
Total Volume	99,457.35	32,835	243,624	106,707	108,504
Total OI	2,136,931.65	1,475,811	2,532,894	2,173,110	1,683,462

Daily Data (20 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
2011-01-03	$18.19	$18.33	12.6%	3.6%	10.1%	5.8%	14.4%	2.5%	0.8%	45.8M	-436.8M	-5.0M	0.81	14.32	58,986	47,721	1,128,375	1,044,735
2011-01-04	$18.26	$18.33	12.6%	3.6%	10.1%	5.7%	14.1%	2.9%	0.8%	47.2M	-478.8M	-5.0M	0.97	12.24	24,183	23,490	1,146,687	1,069,404
2011-01-05	$18.14	$18.33	12.5%	3.6%	9.6%	4.9%	13.5%	3.2%	0.7%	42.3M	-372.4M	-5.0M	0.63	13.70	46,653	29,409	1,150,098	1,080,537
2011-01-06	$17.99	$18.33	12.7%	3.7%	9.3%	6.6%	13.6%	2.1%	0.7%	37.1M	-313.6M	-5.1M	0.50	11.19	46,119	22,959	1,179,180	1,094,688
2011-01-07	$18.03	$18.33	11.8%	3.8%	9.3%	0.2%	13.9%	2.4%	1.9%	39.1M	-325.6M	-5.1M	1.66	6.65	21,075	35,022	1,180,548	1,098,399
2011-01-10	$17.91	$18.33	15.8%	4.3%	9.5%	28.0%	14.9%	2.3%	2.0%	30.5M	-241.4M	-5.0M	0.54	7.34	85,857	46,083	1,187,175	1,104,111
2011-01-11	$18.10	$18.33	12.9%	3.7%	10.3%	7.8%	13.3%	1.9%	2.1%	49.1M	-407.8M	-5.1M	0.36	6.62	67,398	24,468	1,247,364	1,128,867
2011-01-12	$18.28	$18.33	11.9%	3.8%	10.8%	1.2%	13.4%	1.9%	1.9%	62.1M	-548.6M	-5.4M	0.35	7.38	129,093	44,760	1,260,021	1,136,394
2011-01-13	$18.26	$18.33	13.1%	3.8%	10.7%	9.4%	13.7%	1.5%	1.8%	79.0M	-550.2M	-5.3M	0.35	6.92	68,514	23,694	1,288,473	1,147,101
2011-01-14	$18.27	$18.33	12.8%	3.7%	10.4%	7.2%	13.6%	1.5%	1.7%	88.1M	-592.0M	-5.4M	0.76	4.13	18,660	14,175	1,312,359	1,154,544
2011-01-18	$18.38	$18.33	12.9%	3.7%	10.4%	7.9%	13.4%	1.7%	1.5%	97.9M	-714.8M	-5.2M	0.58	4.39	51,621	29,715	1,313,049	1,158,000
2011-01-19	$18.34	$18.33	12.9%	3.7%	9.4%	8.0%	13.1%	1.9%	1.4%	112.0M	-644.4M	-5.2M	0.64	4.85	45,942	29,340	1,318,305	1,166,322
2011-01-20	$18.66	$18.33	14.5%	4.1%	10.9%	18.6%	14.1%	1.9%	1.3%	70.3M	-971.6M	-5.2M	0.51	4.26	107,805	55,395	1,322,604	1,175,580
2011-01-21	$18.58	$18.33	13.5%	3.9%	10.8%	12.2%	13.7%	2.0%	1.6%	53.9M	-958.0M	-5.2M	0.37	4.72	56,940	20,928	1,338,777	1,194,117
2011-01-24	$18.68	$18.33	13.4%	3.8%	10.8%	11.1%	13.5%	1.6%	1.7%	49.2M	-627.3M	-5.1M	0.38	3.58	53,862	20,370	901,182	574,629
2011-01-25	$19.09	$18.33	13.6%	3.9%	12.7%	12.8%	13.9%	0.9%	1.7%	48.6M	-860.3M	-5.3M	0.26	4.97	193,338	50,286	933,561	582,330
2011-01-26	$19.11	$18.33	13.1%	3.7%	12.7%	8.8%	13.6%	1.2%	1.8%	60.6M	-890.8M	-5.4M	0.73	4.13	62,133	45,240	1,035,804	601,551
2011-01-27	$19.19	$18.33	12.7%	3.7%	12.6%	6.6%	13.1%	1.6%	1.8%	58.7M	-930.0M	-5.2M	0.75	4.12	44,229	32,961	1,017,954	624,630
2011-01-28	$18.90	$18.33	13.0%	3.7%	14.2%	8.6%	13.7%	1.5%	2.2%	53.0M	-774.5M	-5.5M	0.36	4.17	75,021	27,198	1,022,424	635,292
2011-01-31	$18.69	$18.33	14.8%	4.2%	14.9%	20.7%	14.7%	1.4%	2.3%	50.3M	-658.5M	-5.6M	0.84	3.54	58,965	49,539	1,045,680	637,782