WMT Options History — February 2011

In February 2011, WMT traded between $17.25 and $18.91. ATM implied volatility averaged 15.1%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.7% (HV 20d: 15.8%). Max pain ranged from $17.50 to $18.33. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.86.

Notable Days

2011-02-18: Highest Volume — 595,068 contracts
2011-02-10: Largest IV spike — 27.0% change
2011-02-22: Highest IV Rank — 49.2%
2011-02-22: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.27	$17.25	$18.91	$18.78	$17.33
Max Pain	$18.29	$17.50	$18.33	$18.33	$17.50
ATM IV	15.1%	12.5%	18.9%	12.6%	15.8%
Expected Move	4.5%	3.6%	5.4%	3.6%	4.5%
HV 20d	15.8%	13.6%	19.2%	14.5%	17.5%
HV 60d	12.6%	11.5%	14.6%	11.6%	14.5%
IV Rank	23.1%	5.0%	49.2%	5.4%	28.0%
IV Percentile	43.6%	4.0%	87.3%	4.0%	57.9%
Term Structure	0.1%	-1.8%	3.1%	1.8%	1.2%
VWIV	16.2%	12.8%	18.4%	12.8%	17.2%
Skew 25d	2.6%	1.3%	3.9%	1.3%	3.1%
Skew 10d	6.3%	4.9%	7.5%	7.5%	7.0%
Call IV 25d	15.0%	12.6%	17.2%	12.6%	15.9%
Put IV 25d	17.6%	13.9%	20.4%	13.9%	18.9%
Bid-Ask Spread %	4.60	3.28	8.02	3.61	3.70
Gamma HHI	0.29	0.20	0.45	0.31	0.20
Net GEX	36.4M	-13.2M	63.2M	55.9M	-11.1M
Net DEX	-395.7M	-787.0M	172.9M	-724.3M	127.9M
Net VEX	-5.6M	-5.7M	-5.4M	-5.6M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.16	1.83	0.16	1.27
Total Volume	123,350.053	17,556	595,068	104,823	106,890
Total OI	1,868,508.632	1,723,389	2,047,614	1,724,010	2,047,614

Daily Data (19 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
2011-02-01	$18.78	$18.33	12.6%	3.6%	14.5%	5.4%	12.8%	1.3%	1.8%	55.9M	-724.3M	-5.6M	0.16	3.61	90,042	14,781	1,066,743	657,267
2011-02-02	$18.62	$18.33	13.7%	3.9%	14.9%	12.9%	13.7%	1.4%	2.4%	50.9M	-627.4M	-5.6M	0.81	4.28	35,520	28,677	1,060,293	663,096
2011-02-03	$18.64	$18.33	13.3%	3.8%	14.6%	10.3%	13.4%	1.5%	3.1%	49.8M	-627.9M	-5.7M	1.49	4.57	23,208	34,653	1,063,893	674,994
2011-02-04	$18.68	$18.33	12.9%	4.5%	14.2%	7.6%	15.6%	3.4%	-0.5%	49.3M	-646.0M	-5.6M	0.97	5.33	10,416	10,116	1,065,132	699,507
2011-02-07	$18.69	$18.33	13.1%	4.6%	14.2%	9.4%	16.0%	2.9%	-1.2%	50.6M	-666.3M	-5.6M	0.98	5.10	12,654	12,357	1,070,082	699,582
2011-02-08	$18.79	$18.33	12.8%	4.2%	13.9%	7.2%	15.6%	2.7%	-0.1%	55.4M	-727.6M	-5.6M	0.66	4.66	10,587	6,969	1,074,594	702,150
2011-02-09	$18.91	$18.33	12.5%	4.3%	13.6%	5.0%	16.6%	2.8%	-0.2%	57.5M	-787.0M	-5.6M	0.82	8.02	20,958	17,205	1,077,840	704,193
2011-02-10	$18.53	$18.33	15.9%	4.6%	15.4%	28.3%	16.4%	2.7%	-0.9%	46.2M	-548.7M	-5.5M	1.29	4.17	71,118	92,019	1,087,740	710,313
2011-02-11	$18.56	$18.33	15.7%	4.5%	15.4%	27.0%	16.3%	2.6%	-1.0%	50.0M	-566.1M	-5.7M	0.69	5.06	10,983	7,530	1,122,300	769,053
2011-02-14	$18.27	$18.33	15.9%	4.6%	16.6%	28.3%	16.1%	2.5%	-0.7%	39.7M	-324.3M	-5.5M	0.33	3.28	118,941	38,946	1,122,582	769,956
2011-02-15	$18.32	$18.33	15.5%	4.4%	16.4%	25.7%	16.5%	2.6%	-0.2%	48.0M	-365.9M	-5.5M	0.72	4.41	26,655	19,275	1,136,010	784,803
2011-02-16	$18.18	$18.33	15.3%	4.4%	16.6%	24.0%	15.7%	2.4%	-0.1%	41.1M	-251.1M	-5.4M	0.63	3.61	59,019	37,122	1,141,623	784,887
2011-02-17	$18.25	$18.33	14.9%	4.3%	15.4%	21.6%	15.4%	2.2%	0.3%	63.2M	-296.7M	-5.5M	0.21	3.95	86,361	18,159	1,156,428	793,395
2011-02-18	$18.46	$18.33	17.1%	4.9%	15.9%	36.6%	17.4%	1.7%	-1.2%	49.0M	-590.1M	-5.7M	0.20	6.50	495,009	100,059	1,162,752	796,077
2011-02-22	$17.89	$18.33	18.9%	5.4%	19.2%	49.2%	18.4%	3.9%	-1.8%	15.7M	-146.8M	-5.6M	1.12	5.08	135,999	151,893	1,204,401	694,521
2011-02-23	$17.68	$18.33	18.0%	5.1%	17.3%	42.6%	18.3%	3.0%	-1.0%	807.2K	-21.4M	-5.5M	1.22	3.78	55,020	66,936	1,207,521	758,982
2011-02-24	$17.36	$18.33	16.8%	4.8%	17.9%	34.8%	17.9%	3.1%	0.6%	-7.3M	97.9M	-5.4M	1.83	4.79	65,862	120,657	1,183,956	787,017
2011-02-25	$17.25	$18.33	16.9%	4.9%	17.6%	35.5%	18.1%	3.5%	0.5%	-13.2M	172.9M	-5.4M	1.00	3.43	65,472	65,583	1,180,176	820,191
2011-02-28	$17.33	$17.50	15.8%	4.5%	17.5%	28.0%	17.2%	3.1%	1.2%	-11.1M	127.9M	-5.4M	1.27	3.70	47,115	59,775	1,209,267	838,347