WMT Options History — March 2011

In March 2011, WMT traded between $17.12 and $17.56. ATM implied volatility averaged 14.7%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.4% (HV 20d: 14.3%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.82.

Notable Days

2011-03-08: Highest Volume — 911,625 contracts
2011-03-10: Largest IV spike — 16.8% change
2011-03-16: Highest IV Rank — 40.8%
2011-03-16: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.37	$17.12	$17.56	$17.36	$17.35
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	14.7%	12.6%	17.7%	16.6%	12.8%
Expected Move	4.3%	3.6%	5.1%	4.8%	3.7%
HV 20d	14.3%	10.2%	17.5%	17.4%	10.5%
HV 60d	14.4%	14.1%	14.8%	14.5%	14.5%
IV Rank	20.1%	5.7%	40.8%	33.1%	7.4%
IV Percentile	37.3%	4.8%	77.4%	67.9%	9.1%
Term Structure	1.1%	-0.1%	2.4%	0.9%	1.7%
VWIV	15.6%	13.0%	19.0%	16.9%	13.2%
Skew 25d	2.7%	1.6%	4.1%	3.3%	2.3%
Skew 10d	6.0%	1.6%	10.5%	7.6%	4.1%
Call IV 25d	14.8%	12.4%	17.5%	16.6%	13.5%
Put IV 25d	17.5%	15.1%	21.2%	19.9%	15.8%
Bid-Ask Spread %	4.55	3.12	6.49	4.03	4.59
Gamma HHI	0.20	0.16	0.26	0.19	0.19
Net GEX	1.9M	-11.3M	14.7M	-9.7M	12.1M
Net DEX	20.8M	-164.1M	221.9M	108.6M	-92.8M
Net VEX	-5.7M	-5.9M	-5.3M	-5.5M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.03	2.00	0.75	0.43
Total Volume	119,271.261	24,486	911,625	135,069	29,565
Total OI	1,979,625.261	1,490,823	2,321,268	2,059,710	1,672,530

Daily Data (23 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
2011-03-01	$17.36	$17.50	16.6%	4.8%	17.4%	33.1%	16.9%	3.3%	0.9%	-9.7M	108.6M	-5.5M	0.75	4.03	77,229	57,840	1,216,701	843,009
2011-03-02	$17.32	$17.50	16.1%	4.6%	17.1%	29.9%	17.5%	2.4%	1.2%	-10.0M	127.8M	-5.4M	0.75	3.92	28,515	21,522	1,234,095	863,505
2011-03-03	$17.34	$17.50	14.9%	4.3%	17.1%	21.6%	16.0%	3.0%	1.9%	-9.8M	115.1M	-5.3M	0.83	4.54	44,763	36,978	1,243,575	870,939
2011-03-04	$17.36	$17.50	15.4%	4.7%	17.1%	24.7%	17.0%	2.5%	-0.1%	-11.3M	165.2M	-5.5M	0.61	3.65	92,814	56,667	1,268,967	893,043
2011-03-07	$17.34	$17.50	15.7%	4.6%	17.1%	26.9%	17.2%	1.6%	0.2%	-9.7M	147.6M	-5.6M	1.59	3.12	37,431	59,466	1,316,922	912,684
2011-03-08	$17.48	$17.50	13.9%	4.4%	17.5%	14.3%	15.6%	1.8%	0.3%	-6.2M	49.3M	-5.5M	0.03	3.52	887,370	24,255	1,320,954	905,100
2011-03-09	$17.56	$17.50	14.4%	4.4%	17.4%	17.9%	16.0%	3.1%	0.6%	4.5M	-16.4M	-5.8M	0.41	4.15	90,831	37,113	1,316,718	912,102
2011-03-10	$17.55	$17.50	16.8%	4.8%	17.1%	34.5%	17.3%	2.9%	0.1%	5.3M	-50.2M	-5.8M	0.72	5.12	90,846	65,046	1,329,288	909,699
2011-03-11	$17.53	$17.50	16.2%	4.6%	16.0%	30.3%	17.2%	3.2%	0.4%	3.5M	-23.7M	-5.9M	0.95	4.36	34,536	32,724	1,353,384	918,510
2011-03-14	$17.44	$17.50	16.5%	4.7%	15.9%	32.5%	18.0%	2.9%	0.3%	-1.8M	45.3M	-5.8M	2.00	4.41	38,244	76,653	1,363,869	924,840
2011-03-15	$17.35	$17.50	16.5%	4.7%	15.1%	32.7%	17.1%	3.0%	0.5%	1.2M	85.3M	-5.8M	1.22	4.94	26,064	31,791	1,362,453	899,067
2011-03-16	$17.13	$17.50	17.7%	5.1%	15.5%	40.8%	19.0%	3.7%	0.2%	-4.9M	197.3M	-5.6M	1.03	6.49	61,869	63,909	1,367,775	901,647
2011-03-17	$17.12	$17.50	16.4%	4.7%	15.4%	31.6%	17.2%	4.1%	1.0%	-4.3M	221.9M	-5.7M	0.98	5.63	31,143	30,519	1,382,274	923,760
2011-03-18	$17.17	$17.50	15.0%	4.3%	15.4%	22.4%	16.5%	3.3%	1.8%	-5.3M	200.9M	-5.7M	1.42	4.86	32,943	46,674	1,387,587	933,681
2011-03-21	$17.31	$17.50	12.6%	3.6%	15.0%	6.0%	13.2%	3.3%	2.4%	3.7M	-36.7M	-5.5M	0.40	4.34	63,078	25,035	839,448	651,375
2011-03-22	$17.33	$17.50	12.7%	3.6%	10.7%	6.5%	13.1%	2.5%	2.0%	8.0M	-63.5M	-5.6M	0.66	3.94	44,379	29,250	881,211	662,529
2011-03-23	$17.21	$17.50	12.6%	3.6%	10.2%	5.7%	13.5%	2.1%	2.0%	6.3M	-14.5M	-5.5M	0.64	4.57	35,409	22,692	901,611	671,952
2011-03-24	$17.53	$17.50	13.4%	3.8%	10.5%	10.9%	13.9%	2.5%	1.5%	13.5M	-164.1M	-5.8M	0.27	4.94	107,682	28,989	915,450	679,755
2011-03-25	$17.45	$17.50	13.0%	3.7%	10.3%	8.4%	14.0%	2.6%	1.5%	14.2M	-139.9M	-5.8M	0.88	4.60	17,157	15,171	947,370	684,258
2011-03-28	$17.40	$17.50	13.3%	3.8%	10.3%	10.6%	13.5%	1.8%	1.2%	14.7M	-129.4M	-5.7M	0.83	5.07	16,317	13,608	950,610	689,865
2011-03-29	$17.42	$17.50	12.9%	3.7%	10.3%	7.8%	13.5%	2.3%	1.6%	14.1M	-126.6M	-5.8M	0.94	5.11	12,609	11,877	954,162	695,769
2011-03-30	$17.45	$17.50	12.7%	3.7%	10.3%	6.6%	13.0%	2.4%	1.9%	14.5M	-127.2M	-5.8M	0.62	4.78	33,708	20,958	957,990	699,348
2011-03-31	$17.35	$17.50	12.8%	3.7%	10.5%	7.4%	13.2%	2.3%	1.7%	12.1M	-92.8M	-5.7M	0.43	4.59	20,715	8,850	967,014	705,516