WMT Options History — June 2011

In June 2011, WMT traded between $17.43 and $18.10. ATM implied volatility averaged 14.5%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.5% (HV 20d: 12.0%). Max pain ranged from $17.50 to $18.33. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.17.

Notable Days

2011-06-16: Highest Volume — 146,238 contracts
2011-06-02: Largest IV spike — 14.6% change
2011-06-16: Highest IV Rank — 40.5%
2011-06-16: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.70	$17.43	$18.10	$18.10	$17.71
Max Pain	$17.92	$17.50	$18.33	$18.33	$17.50
ATM IV	14.5%	12.0%	16.1%	13.4%	12.0%
Expected Move	4.2%	3.4%	4.6%	3.8%	3.4%
HV 20d	12.0%	10.8%	13.7%	10.8%	11.8%
HV 60d	10.7%	10.3%	11.1%	10.3%	11.0%
IV Rank	27.3%	6.1%	40.5%	17.7%	6.1%
IV Percentile	38.7%	3.2%	68.3%	23.0%	3.2%
Term Structure	1.2%	-0.4%	2.4%	0.1%	2.4%
VWIV	15.0%	13.3%	17.9%	13.8%	13.8%
Skew 25d	2.5%	1.7%	3.0%	2.7%	1.9%
Skew 10d	5.9%	4.6%	7.3%	6.4%	5.4%
Call IV 25d	14.0%	12.3%	15.3%	13.7%	12.3%
Put IV 25d	16.5%	14.2%	18.2%	16.3%	14.2%
Bid-Ask Spread %	5.16	3.38	11.16	6.71	4.12
Gamma HHI	0.22	0.17	0.32	0.25	0.20
Net GEX	161.5K	-20.3M	21.9M	21.9M	2.9M
Net DEX	-58.6M	-235.1M	94.4M	-235.1M	-76.1M
Net VEX	-6.1M	-6.5M	-5.7M	-6.5M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.43	2.75	2.43	0.69
Total Volume	67,287.955	28,752	146,238	93,657	58,065
Total OI	1,944,000.273	1,687,992	2,149,659	1,992,255	1,833,192

Daily Data (22 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
2011-06-01	$18.10	$18.33	13.4%	3.8%	10.8%	17.7%	13.8%	2.7%	0.1%	21.9M	-235.1M	-6.5M	2.43	6.71	27,306	66,351	1,103,085	889,170
2011-06-02	$17.85	$18.33	15.3%	4.4%	11.7%	34.1%	15.1%	2.6%	-0.4%	6.3M	-55.9M	-6.2M	2.07	11.16	27,441	56,913	1,107,279	919,971
2011-06-03	$17.89	$18.33	15.3%	4.5%	11.7%	33.7%	15.3%	2.6%	0.3%	10.1M	-97.4M	-6.4M	0.66	4.80	57,216	37,578	1,113,045	926,079
2011-06-06	$17.92	$18.33	14.7%	4.1%	11.8%	28.9%	15.1%	2.3%	0.4%	12.2M	-128.7M	-6.4M	0.43	5.47	21,513	9,177	1,126,692	928,662
2011-06-07	$17.94	$18.33	14.2%	4.1%	11.8%	24.5%	15.0%	2.3%	0.5%	12.8M	-142.8M	-6.4M	0.72	6.18	22,260	16,050	1,126,326	930,198
2011-06-08	$17.90	$18.33	15.9%	4.4%	11.3%	38.3%	15.1%	2.5%	0.6%	9.5M	-115.0M	-6.3M	2.75	3.48	14,160	38,880	1,126,725	933,762
2011-06-09	$17.87	$18.33	15.3%	4.4%	11.1%	33.2%	15.0%	2.7%	0.6%	7.9M	-92.7M	-6.3M	0.43	5.07	24,093	10,461	1,127,283	933,939
2011-06-10	$17.57	$18.33	15.3%	4.4%	11.6%	33.7%	17.0%	2.9%	0.6%	-11.7M	55.8M	-5.9M	2.46	5.98	19,683	48,360	1,126,860	927,030
2011-06-13	$17.54	$18.33	15.4%	4.4%	11.5%	34.5%	16.2%	2.4%	0.5%	-17.4M	55.6M	-6.0M	1.27	4.42	20,433	26,037	1,129,524	946,485
2011-06-14	$17.64	$18.33	14.7%	4.2%	11.5%	28.7%	14.3%	2.6%	0.9%	-12.5M	584.3K	-5.8M	0.56	4.60	23,418	13,011	1,133,277	939,408
2011-06-15	$17.44	$18.33	14.9%	4.3%	11.6%	30.1%	16.0%	2.4%	1.4%	-20.3M	94.4M	-5.8M	1.50	5.17	50,301	75,495	1,140,897	935,088
2011-06-16	$17.61	$17.50	16.1%	4.6%	12.4%	40.5%	17.9%	2.9%	1.2%	-14.9M	-20.7M	-6.0M	2.25	4.88	44,997	101,241	1,146,459	941,829
2011-06-17	$17.61	$17.50	15.4%	4.4%	12.1%	34.8%	15.7%	3.0%	1.3%	-20.2M	-31.3M	-6.1M	1.21	5.20	26,220	31,755	1,157,829	991,830
2011-06-20	$17.68	$17.50	14.7%	4.2%	12.3%	28.3%	15.0%	2.9%	1.9%	2.6M	-81.6M	-5.8M	0.50	3.53	69,978	35,067	901,044	786,948
2011-06-21	$17.76	$17.50	14.1%	4.0%	12.5%	23.8%	13.8%	2.6%	1.8%	4.9M	-105.7M	-5.8M	0.61	5.40	40,101	24,312	921,096	799,710
2011-06-22	$17.67	$17.50	13.6%	3.9%	12.4%	19.4%	14.1%	2.5%	1.8%	4.0M	-92.5M	-5.9M	0.93	5.82	29,544	27,351	928,716	806,601
2011-06-23	$17.76	$17.50	14.2%	4.1%	12.6%	24.6%	14.4%	2.5%	1.9%	6.5M	-128.1M	-6.1M	0.74	4.54	49,311	36,411	945,984	804,306
2011-06-24	$17.47	$17.50	14.3%	4.1%	13.7%	25.4%	14.7%	2.2%	1.7%	454.8K	-26.8M	-6.0M	0.80	5.20	55,614	44,730	961,299	814,530
2011-06-27	$17.43	$17.50	14.2%	4.1%	13.6%	24.4%	14.5%	2.5%	1.7%	-976.2K	-1.9M	-5.9M	1.63	4.63	11,901	19,380	978,762	827,679
2011-06-28	$17.51	$17.50	13.7%	3.9%	13.2%	20.1%	14.9%	1.8%	1.9%	426.9K	-27.7M	-5.8M	0.66	3.80	23,718	15,750	985,155	838,113
2011-06-29	$17.55	$17.50	13.1%	3.7%	12.1%	14.9%	13.3%	1.7%	2.1%	-983.9K	-36.7M	-5.9M	0.51	3.38	18,984	9,768	979,806	846,333
2011-06-30	$17.71	$17.50	12.0%	3.4%	11.8%	6.1%	13.8%	1.9%	2.4%	2.9M	-76.1M	-5.7M	0.69	4.12	34,398	23,667	984,522	848,670