WMT Options History — May 2011

In May 2011, WMT traded between $18.19 and $18.69. ATM implied volatility averaged 15.0%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 6.0% (HV 20d: 9.0%). Max pain ranged from $17.50 to $18.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2011-05-10: Highest Volume — 1,619,520 contracts
  • 2011-05-12: Largest IV drop — 17.8% change
  • 2011-05-11: Highest IV Rank — 59.0%
  • 2011-05-05: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.41$18.19$18.69$18.35$18.41
Max Pain$18.17$17.50$18.33$17.50$18.33
ATM IV15.0%11.3%19.0%16.1%12.0%
Expected Move4.2%3.2%5.0%4.6%3.4%
HV 20d9.0%8.0%9.7%8.8%9.5%
HV 60d11.4%9.3%13.2%13.1%9.7%
IV Rank25.3%0.0%59.0%29.8%6.0%
IV Percentile43.0%0.0%88.9%59.5%2.8%
Term Structure0.3%-2.3%2.4%-2.3%0.8%
VWIV15.3%11.8%20.4%16.4%14.0%
Skew 25d2.5%1.6%3.3%1.6%2.1%
Skew 10d6.3%1.9%8.5%4.6%5.4%
Call IV 25d14.2%11.9%17.2%15.6%13.2%
Put IV 25d16.7%14.0%19.5%17.2%15.3%
Bid-Ask Spread %5.343.837.343.834.18
Gamma HHI0.310.240.410.410.27
Net GEX36.1M23.7M47.9M39.7M31.8M
Net DEX-501.8M-670.6M-302.1M-547.2M-428.4M
Net VEX-6.7M-6.8M-6.4M-6.4M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.031.870.590.93
Total Volume152,896.28625,2961,619,52045,83742,618
Total OI1,980,680.2861,873,1402,107,7791,873,1401,984,710

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$18.35$17.5016.1%4.6%8.8%29.8%16.4%1.6%-2.3%39.7M-547.2M-6.4M0.593.8328,79717,0401,070,280802,860
2011-05-03$18.49$17.5017.1%4.9%8.6%36.7%17.4%2.1%-2.2%41.0M-628.6M-6.6M1.233.9154,69667,4851,075,416810,957
2011-05-04$18.46$17.5017.0%4.9%8.7%36.0%20.4%2.0%-1.7%37.6M-571.4M-6.7M0.945.7446,27243,6381,067,970844,674
2011-05-05$18.36$17.5017.5%5.0%9.1%39.6%19.1%2.2%-1.8%34.0M-497.2M-6.8M0.614.5129,13617,8861,086,135861,516
2011-05-06$18.34$18.3316.9%4.4%9.2%35.5%16.9%3.0%0.6%36.0M-496.5M-6.7M1.877.3422,11641,3491,094,832863,655
2011-05-09$18.37$18.3317.6%4.4%8.3%47.1%16.2%2.7%0.4%36.2M-509.1M-6.6M1.086.0319,93521,5011,093,380882,735
2011-05-10$18.51$18.3317.4%4.2%8.4%46.2%13.0%2.6%0.8%44.8M-631.3M-6.6M0.035.991,578,55540,9651,096,080886,863
2011-05-11$18.39$18.3319.0%4.4%8.0%59.0%15.8%2.8%0.4%34.8M-485.3M-6.8M1.124.2830,54934,0921,061,709894,726
2011-05-12$18.57$18.3315.6%4.5%8.6%31.3%15.7%2.9%0.3%37.5M-595.5M-6.8M1.134.6828,14631,7371,072,404905,121
2011-05-13$18.57$18.3317.0%4.9%8.4%42.7%17.2%2.1%-0.3%34.3M-591.3M-6.8M0.334.3395,52931,0951,076,451917,307
2011-05-16$18.69$18.3317.0%4.9%8.5%42.6%16.9%3.0%-0.4%39.3M-670.6M-6.8M1.005.98114,702114,6031,124,547929,067
2011-05-17$18.51$18.3314.7%4.2%9.2%24.2%15.0%3.3%1.3%36.4M-545.2M-6.6M1.315.9160,69379,6711,117,188949,449
2011-05-18$18.39$18.3313.5%3.9%9.7%14.1%14.4%2.9%1.6%43.0M-466.9M-6.7M1.545.5154,39983,5231,136,373955,923
2011-05-19$18.49$18.3313.1%3.7%9.6%10.5%13.2%2.5%2.0%45.4M-555.8M-6.7M0.764.2821,54916,3201,139,553968,226
2011-05-20$18.43$18.3312.4%3.6%9.7%5.6%12.5%2.7%2.4%47.9M-550.3M-6.6M0.476.9050,28623,6581,144,341962,658
2011-05-23$18.41$18.3313.2%3.8%9.6%12.5%13.7%2.7%0.3%28.4M-443.3M-6.7M1.225.1916,62020,2741,067,697839,013
2011-05-24$18.26$18.3312.7%3.6%9.6%8.0%14.7%2.8%0.7%25.3M-353.4M-6.6M1.054.7243,50645,8401,072,011845,550
2011-05-25$18.19$18.3312.3%3.5%9.2%4.2%14.2%2.7%0.7%23.7M-304.4M-6.6M1.015.1135,12435,6371,086,522863,865
2011-05-26$18.21$18.3311.7%3.3%9.0%0.0%12.2%2.2%1.2%29.0M-302.1M-6.6M0.756.9926,34019,6441,091,430873,816
2011-05-27$18.23$18.3311.3%3.2%8.8%0.0%11.8%1.6%1.2%32.4M-363.3M-6.6M0.856.6713,64411,6521,098,906878,370
2011-05-31$18.41$18.3312.0%3.4%9.5%6.0%14.0%2.1%0.8%31.8M-428.4M-6.5M0.934.1822,03220,5861,099,665885,045