WMT Options History — August 2011

In August 2011, WMT traded between $16.14 and $17.79. ATM implied volatility averaged 23.6%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 4.6% (HV 20d: 28.2%). Max pain ranged from $16.67 to $17.50. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.92.

Notable Days

2011-08-09: Highest Volume — 555,297 contracts
2011-08-08: Largest IV spike — 37.8% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-10: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.18	$16.14	$17.79	$17.54	$17.73
Max Pain	$17.07	$16.67	$17.50	$17.50	$16.67
ATM IV	23.6%	18.4%	38.6%	19.5%	20.0%
Expected Move	6.5%	5.3%	8.4%	5.6%	5.7%
HV 20d	28.2%	11.0%	35.3%	11.0%	34.7%
HV 60d	19.1%	11.4%	22.4%	11.4%	22.2%
IV Rank	56.9%	27.7%	100.0%	70.8%	33.6%
IV Percentile	97.0%	92.5%	100.0%	98.4%	92.5%
Term Structure	-1.5%	-4.2%	0.5%	-2.1%	-0.4%
VWIV	23.6%	18.9%	30.2%	21.0%	21.0%
Skew 25d	6.0%	3.0%	8.1%	3.7%	5.6%
Skew 10d	12.6%	4.0%	17.1%	6.6%	11.2%
Call IV 25d	20.6%	17.4%	26.8%	18.2%	17.4%
Put IV 25d	26.6%	21.9%	33.1%	21.9%	23.0%
Bid-Ask Spread %	6.68	3.34	11.25	5.40	4.76
Gamma HHI	0.21	0.14	0.36	0.20	0.30
Net GEX	1.8M	-19.3M	19.5M	3.9M	19.5M
Net DEX	6.9M	-334.9M	430.3M	-33.5M	-332.1M
Net VEX	-5.9M	-6.4M	-5.4M	-5.8M	-6.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.15	1.65	0.88	0.98
Total Volume	126,869.217	50,007	555,297	81,669	50,007
Total OI	2,059,532.087	1,946,745	2,175,957	1,960,821	2,084,925

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
2011-08-01	$17.54	$17.50	19.5%	5.6%	11.0%	70.8%	21.0%	3.7%	-2.1%	3.9M	-33.5M	-5.8M	0.88	5.40	43,539	38,130	1,076,508	884,313
2011-08-02	$17.23	$17.50	19.5%	5.6%	12.5%	70.5%	21.1%	3.0%	-2.0%	-5.6M	147.4M	-5.5M	0.91	6.89	40,962	37,359	1,083,120	898,161
2011-08-03	$17.09	$17.50	19.7%	5.6%	12.4%	72.1%	21.1%	3.3%	-2.1%	-7.7M	207.5M	-5.4M	1.04	5.72	59,628	62,115	1,089,048	902,880
2011-08-04	$16.70	$17.50	24.6%	7.1%	12.9%	100.0%	25.5%	4.5%	-2.9%	-8.8M	326.7M	-5.4M	0.70	8.09	89,604	62,445	1,094,361	901,941
2011-08-05	$16.95	$17.50	24.9%	6.4%	14.5%	100.0%	22.0%	5.0%	-0.9%	-6.1M	201.3M	-5.7M	0.79	10.49	70,857	56,139	1,114,560	910,014
2011-08-08	$16.31	$17.50	34.3%	7.9%	19.2%	100.0%	30.2%	6.3%	-3.6%	-5.7M	380.1M	-5.6M	1.10	10.07	73,449	80,904	1,130,433	922,155
2011-08-09	$16.94	$17.50	28.3%	6.8%	24.5%	74.9%	23.5%	5.2%	-2.3%	-7.4M	205.1M	-5.8M	0.15	11.25	482,190	73,107	1,126,536	925,986
2011-08-10	$16.14	$17.50	38.6%	8.4%	29.3%	100.0%	27.7%	7.2%	-4.2%	-7.7M	430.3M	-5.4M	0.61	7.95	98,556	60,189	1,127,958	933,156
2011-08-11	$16.58	$16.67	25.9%	7.4%	31.4%	54.6%	28.0%	6.9%	-2.9%	-3.1M	256.4M	-5.8M	1.23	7.89	52,629	64,944	1,166,097	934,611
2011-08-12	$16.58	$16.67	24.6%	7.1%	31.4%	49.9%	25.3%	7.0%	-2.1%	-5.1M	275.2M	-5.7M	1.26	8.35	41,301	52,062	1,173,972	945,621
2011-08-15	$16.66	$16.67	22.9%	6.6%	31.6%	43.8%	24.3%	5.7%	-1.4%	-8.3M	267.2M	-5.6M	0.73	4.56	60,918	44,547	1,184,652	967,653
2011-08-16	$17.31	$16.67	20.2%	5.8%	34.4%	34.0%	22.9%	6.0%	-0.4%	181.3K	-90.9M	-5.9M	0.60	7.30	132,963	79,959	1,204,368	971,589
2011-08-17	$17.18	$16.67	18.4%	5.3%	34.5%	27.7%	21.0%	5.7%	0.5%	-4.6M	18.6M	-5.8M	0.98	7.11	48,864	47,736	1,193,220	963,309
2011-08-18	$17.26	$16.67	23.6%	6.8%	34.3%	46.4%	25.9%	6.9%	-2.0%	-1.7M	-64.5M	-6.0M	1.19	6.65	55,644	65,991	1,198,413	955,476
2011-08-19	$17.43	$16.67	23.8%	6.8%	34.5%	47.1%	24.9%	7.6%	-1.5%	-19.3M	-138.4M	-6.2M	0.93	5.05	79,071	73,422	1,195,998	963,777
2011-08-22	$17.40	$16.67	24.2%	6.9%	34.4%	48.4%	25.3%	8.1%	-1.2%	10.7M	-161.9M	-6.2M	0.68	5.96	61,935	42,096	1,078,368	868,377
2011-08-23	$17.74	$16.67	22.3%	6.4%	35.1%	41.7%	23.5%	7.4%	-0.2%	16.8M	-308.1M	-6.4M	1.17	5.25	32,061	37,644	1,103,364	884,541
2011-08-24	$17.79	$16.67	21.9%	6.3%	35.1%	40.3%	23.2%	7.2%	-0.4%	19.0M	-334.9M	-6.4M	1.11	4.48	33,051	36,792	1,115,376	893,994
2011-08-25	$17.57	$16.67	23.3%	6.7%	35.3%	45.3%	24.1%	6.8%	-0.9%	16.1M	-255.3M	-6.3M	1.65	5.76	39,945	66,036	1,122,357	899,982
2011-08-26	$17.63	$17.50	21.3%	6.1%	35.3%	38.1%	22.7%	6.5%	-0.2%	14.7M	-261.4M	-6.3M	1.12	4.09	31,278	35,184	1,127,787	922,701
2011-08-29	$17.73	$17.50	20.6%	5.9%	35.3%	35.5%	18.9%	6.2%	-0.7%	17.8M	-314.1M	-6.1M	0.63	3.34	43,284	27,351	1,132,965	924,585
2011-08-30	$17.61	$17.50	20.2%	5.8%	34.8%	34.2%	20.0%	5.5%	-0.4%	14.6M	-262.2M	-6.1M	0.59	7.18	32,736	19,368	1,145,568	924,462
2011-08-31	$17.73	$16.67	20.0%	5.7%	34.7%	33.6%	21.0%	5.6%	-0.4%	19.5M	-332.1M	-6.0M	0.98	4.76	25,242	24,765	1,156,407	928,518