WMT Options History — July 2011

In July 2011, WMT traded between $17.57 and $18.17. ATM implied volatility averaged 14.8%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.0% (HV 20d: 11.8%). 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 3 of 20 days. Put/call ratio averaged 0.91.

Notable Days

2011-07-14: Highest Volume — 147,918 contracts
2011-07-14: Largest IV spike — 58.1% change
2011-07-29: Highest IV Rank — 67.5%
2011-07-29: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.92	$17.57	$18.17	$17.84	$17.57
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	14.8%	10.7%	19.1%	12.4%	19.1%
Expected Move	4.4%	3.6%	5.5%	3.6%	5.5%
HV 20d	11.8%	10.9%	13.5%	12.0%	11.3%
HV 60d	11.3%	11.0%	11.5%	11.1%	11.4%
IV Rank	31.7%	0.0%	67.5%	9.5%	67.5%
IV Percentile	47.6%	0.0%	97.6%	6.3%	97.6%
Term Structure	-0.6%	-2.3%	2.0%	2.0%	-1.5%
VWIV	15.6%	13.7%	19.6%	13.7%	19.6%
Skew 25d	3.3%	1.4%	4.3%	1.4%	3.9%
Skew 10d	7.0%	5.4%	11.3%	8.1%	7.8%
Call IV 25d	13.9%	11.5%	17.7%	11.5%	17.7%
Put IV 25d	17.3%	12.9%	21.6%	12.9%	21.6%
Bid-Ask Spread %	4.52	2.64	5.84	5.60	4.16
Gamma HHI	0.25	0.20	0.31	0.20	0.21
Net GEX	17.4M	6.9M	30.3M	9.5M	6.9M
Net DEX	-237.9M	-402.4M	-63.1M	-172.5M	-63.1M
Net VEX	-6.0M	-6.1M	-5.8M	-5.8M	-5.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.36	2.27	0.37	1.70
Total Volume	62,252.85	33,282	147,918	76,794	74,121
Total OI	1,915,070.25	1,834,161	2,007,087	1,857,744	1,940,187

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
2011-07-01	$17.84	$17.50	12.4%	3.6%	12.0%	9.5%	13.7%	1.4%	2.0%	9.5M	-172.5M	-5.8M	0.37	5.60	56,247	20,547	1,001,199	856,545
2011-07-05	$17.80	$17.50	14.0%	4.3%	12.0%	22.5%	15.0%	4.3%	-1.0%	11.5M	-164.7M	-5.8M	1.67	3.79	32,682	54,468	1,018,998	858,408
2011-07-06	$17.91	$17.50	14.9%	4.4%	12.3%	30.4%	14.4%	4.2%	-1.3%	15.7M	-230.2M	-6.0M	0.66	2.64	53,559	35,325	1,033,305	883,089
2011-07-07	$18.16	$17.50	11.6%	3.9%	13.2%	2.8%	14.6%	3.2%	-0.4%	30.3M	-402.4M	-6.0M	0.64	5.48	50,376	32,337	1,046,451	889,203
2011-07-08	$18.03	$17.50	12.2%	3.9%	13.5%	7.3%	15.0%	3.1%	-0.3%	24.5M	-311.7M	-5.9M	1.01	3.52	24,447	24,726	1,061,673	891,996
2011-07-11	$17.96	$17.50	15.4%	4.1%	12.0%	34.9%	15.5%	3.8%	-0.2%	20.7M	-271.3M	-5.9M	0.79	5.14	36,552	28,782	1,065,912	902,220
2011-07-12	$17.98	$17.50	14.1%	4.1%	12.0%	23.4%	15.1%	4.1%	-0.1%	22.3M	-289.1M	-5.9M	0.68	5.75	25,422	17,268	1,072,068	903,879
2011-07-13	$18.01	$17.50	10.7%	4.1%	11.9%	0.0%	16.3%	3.9%	-0.2%	23.9M	-305.4M	-5.9M	0.59	3.22	22,419	13,194	1,074,903	903,411
2011-07-14	$17.88	$17.50	16.8%	4.8%	11.4%	49.3%	16.1%	3.7%	-1.1%	14.9M	-213.5M	-6.0M	1.10	5.18	70,287	77,631	1,075,176	903,777
2011-07-15	$17.88	$17.50	16.4%	4.7%	10.9%	45.8%	16.6%	3.5%	-1.2%	15.6M	-230.7M	-6.1M	0.86	3.83	23,700	20,442	1,090,035	917,052
2011-07-18	$17.77	$17.50	16.4%	4.7%	11.2%	46.1%	16.2%	3.4%	-1.0%	13.9M	-187.6M	-6.1M	2.27	4.09	14,868	33,768	1,021,842	812,319
2011-07-19	$17.99	$17.50	13.2%	3.8%	11.9%	20.4%	15.0%	3.7%	0.3%	18.5M	-233.1M	-5.9M	1.03	3.98	31,248	32,325	1,027,062	824,073
2011-07-20	$17.96	$17.50	13.8%	3.9%	11.8%	24.7%	14.6%	3.3%	-0.1%	17.6M	-242.6M	-6.1M	0.92	4.47	22,665	20,838	1,029,606	830,166
2011-07-21	$18.16	$17.50	14.3%	4.1%	12.1%	29.1%	14.9%	2.6%	-0.3%	24.9M	-363.4M	-6.1M	0.36	5.84	41,652	15,132	1,034,229	838,869
2011-07-22	$18.17	$17.50	13.9%	4.0%	12.0%	25.5%	14.8%	2.6%	0.0%	24.7M	-372.3M	-6.0M	1.00	4.78	17,928	17,841	1,042,923	843,783
2011-07-25	$17.99	$17.50	14.5%	4.2%	10.9%	31.1%	14.9%	3.5%	-0.2%	19.8M	-284.0M	-6.1M	0.69	5.12	19,734	13,548	1,044,378	848,313
2011-07-26	$17.86	$17.50	16.8%	4.8%	11.3%	48.9%	15.7%	2.5%	-2.1%	14.3M	-196.8M	-6.0M	0.57	4.49	35,904	20,472	1,044,222	849,042
2011-07-27	$17.75	$17.50	17.7%	5.1%	11.5%	56.3%	17.2%	2.7%	-2.3%	10.6M	-128.5M	-5.8M	0.71	4.53	35,499	25,251	1,048,722	850,422
2011-07-28	$17.66	$17.50	17.9%	5.1%	11.7%	57.7%	17.1%	2.8%	-1.9%	8.3M	-94.9M	-5.9M	0.54	4.83	33,735	18,117	1,061,907	860,040
2011-07-29	$17.57	$17.50	19.1%	5.5%	11.3%	67.5%	19.6%	3.9%	-1.5%	6.9M	-63.1M	-5.9M	1.70	4.16	27,444	46,677	1,072,953	867,234