WMT Options History — April 2011

In April 2011, WMT traded between $17.38 and $18.33. ATM implied volatility averaged 14.7%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.5% (HV 20d: 10.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.80.

Notable Days

2011-04-26: Highest Volume — 104,115 contracts
2011-04-12: Largest IV spike — 20.2% change
2011-04-13: Highest IV Rank — 40.4%
2011-04-25: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.81	$17.38	$18.33	$17.38	$18.33
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	14.7%	11.8%	17.6%	12.3%	15.1%
Expected Move	4.4%	3.5%	4.7%	3.5%	4.3%
HV 20d	10.2%	8.3%	11.9%	10.5%	8.8%
HV 60d	14.0%	13.1%	14.6%	14.5%	13.1%
IV Rank	20.5%	0.3%	40.4%	3.5%	23.2%
IV Percentile	38.1%	0.8%	77.0%	2.4%	42.1%
Term Structure	-1.1%	-2.1%	1.9%	1.9%	-2.0%
VWIV	15.2%	12.4%	16.3%	12.4%	15.9%
Skew 25d	2.4%	1.6%	4.7%	4.7%	1.6%
Skew 10d	4.9%	3.0%	9.1%	7.8%	5.0%
Call IV 25d	14.2%	10.4%	15.2%	10.4%	14.7%
Put IV 25d	16.6%	15.1%	17.5%	15.1%	16.3%
Bid-Ask Spread %	4.35	2.29	7.53	4.97	2.29
Gamma HHI	0.33	0.19	0.45	0.19	0.44
Net GEX	26.1M	13.1M	40.9M	13.1M	40.3M
Net DEX	-302.9M	-532.9M	-90.9M	-90.9M	-532.9M
Net VEX	-6.2M	-6.4M	-5.6M	-5.6M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.26	2.00	0.69	0.36
Total Volume	59,410.65	33,465	104,115	38,823	55,551
Total OI	1,795,892.85	1,683,708	1,901,115	1,683,708	1,861,374

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
2011-04-01	$17.38	$17.50	12.3%	3.5%	10.5%	3.5%	12.4%	4.7%	1.9%	13.1M	-90.9M	-5.6M	0.69	4.97	22,935	15,888	974,463	709,245
2011-04-04	$17.55	$17.50	13.4%	4.3%	11.1%	11.5%	14.4%	2.6%	-0.4%	18.9M	-204.6M	-5.9M	0.30	5.15	44,100	13,326	980,133	718,044
2011-04-05	$17.58	$17.50	13.1%	4.4%	10.7%	8.8%	15.5%	2.1%	-0.7%	21.5M	-231.8M	-5.9M	0.65	5.44	20,514	13,272	992,403	718,986
2011-04-06	$17.66	$17.50	13.3%	4.4%	10.7%	10.3%	14.7%	2.5%	-0.8%	22.3M	-254.9M	-5.9M	0.69	5.57	22,902	15,780	996,414	722,973
2011-04-07	$17.67	$17.50	12.4%	4.5%	10.7%	4.1%	15.0%	2.4%	-0.8%	22.8M	-265.1M	-6.0M	0.69	4.76	60,570	41,559	1,004,157	730,737
2011-04-08	$17.51	$17.50	11.8%	4.4%	11.2%	0.3%	15.3%	2.4%	-0.5%	20.3M	-160.1M	-6.1M	1.03	7.53	26,148	26,988	1,036,086	761,490
2011-04-11	$17.61	$17.50	13.2%	4.5%	11.2%	9.9%	15.6%	2.8%	-0.7%	22.8M	-221.6M	-6.1M	0.41	6.66	48,330	20,031	1,043,262	775,659
2011-04-12	$17.84	$17.50	15.9%	4.7%	11.9%	28.3%	15.8%	2.6%	-1.2%	26.6M	-365.4M	-6.3M	0.48	4.79	51,411	24,873	1,061,805	783,033
2011-04-13	$17.88	$17.50	17.6%	4.6%	10.5%	40.4%	15.8%	2.5%	-1.3%	28.6M	-374.9M	-6.2M	0.55	3.03	45,414	25,092	1,066,902	783,594
2011-04-14	$17.83	$17.50	15.8%	4.5%	10.6%	27.7%	15.2%	2.4%	-1.4%	28.4M	-363.0M	-6.3M	0.55	3.56	30,951	17,028	1,088,190	797,478
2011-04-15	$17.85	$17.50	15.3%	4.4%	10.6%	24.3%	14.8%	2.4%	-1.1%	28.6M	-346.0M	-6.3M	0.59	3.86	30,228	17,742	1,093,947	807,168
2011-04-18	$17.77	$17.50	15.6%	4.5%	10.6%	26.2%	15.4%	2.4%	-1.3%	22.0M	-253.7M	-6.2M	1.35	4.41	24,174	32,589	1,006,746	730,881
2011-04-19	$17.78	$17.50	15.4%	4.4%	10.6%	25.0%	15.0%	2.3%	-1.3%	21.7M	-235.9M	-6.2M	2.00	3.86	12,486	24,945	1,014,063	746,010
2011-04-20	$17.90	$17.50	16.1%	4.6%	10.3%	29.9%	14.7%	2.5%	-2.0%	24.0M	-302.4M	-6.3M	0.26	4.41	52,494	13,776	1,017,654	760,695
2011-04-21	$17.86	$17.50	15.9%	4.6%	8.4%	28.5%	15.6%	2.2%	-1.6%	26.7M	-296.1M	-6.2M	1.31	4.45	21,894	28,638	1,042,092	752,979
2011-04-25	$17.79	$17.50	16.5%	4.7%	8.3%	32.6%	16.0%	2.1%	-2.1%	25.2M	-267.4M	-6.1M	1.48	4.48	13,491	19,974	1,050,495	751,779
2011-04-26	$17.97	$17.50	15.7%	4.5%	8.8%	27.1%	16.3%	1.6%	-1.5%	31.6M	-360.8M	-6.3M	1.13	2.96	48,855	55,260	1,052,499	764,805
2011-04-27	$18.14	$17.50	15.6%	4.5%	9.2%	26.7%	15.9%	1.8%	-1.6%	36.3M	-435.9M	-6.4M	0.59	2.37	47,877	28,050	1,060,305	790,533
2011-04-28	$18.23	$17.50	15.0%	4.3%	9.3%	22.0%	15.6%	2.1%	-1.1%	40.9M	-494.0M	-6.4M	0.86	2.47	39,276	33,801	1,067,379	801,399
2011-04-29	$18.33	$17.50	15.1%	4.3%	8.8%	23.2%	15.9%	1.6%	-2.0%	40.3M	-532.9M	-6.4M	0.36	2.29	40,776	14,775	1,060,521	800,853