WMT Options History — September 2011

In September 2011, WMT traded between $16.76 and $17.55. ATM implied volatility averaged 20.4%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.1% (HV 20d: 20.2%). Max pain ranged from $16.67 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.07.

Notable Days

2011-09-23: Highest Volume — 173,034 contracts
2011-09-22: Largest IV spike — 22.6% change
2011-09-23: Highest IV Rank — 47.3%
2011-09-23: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.29	$16.76	$17.55	$17.55	$17.30
Max Pain	$17.42	$16.67	$17.50	$16.67	$17.50
ATM IV	20.4%	18.0%	23.9%	18.9%	23.2%
Expected Move	5.9%	5.2%	6.8%	5.4%	6.6%
HV 20d	20.2%	14.9%	33.7%	33.7%	18.6%
HV 60d	22.8%	22.2%	23.6%	22.3%	23.4%
IV Rank	34.7%	26.4%	47.3%	29.6%	44.8%
IV Percentile	90.8%	84.5%	96.8%	89.7%	94.8%
Term Structure	1.2%	0.2%	2.3%	0.2%	1.4%
VWIV	21.5%	18.3%	25.4%	20.7%	24.9%
Skew 25d	5.9%	4.7%	6.7%	5.7%	6.2%
Skew 10d	12.1%	9.6%	15.3%	12.5%	15.3%
Call IV 25d	18.8%	16.3%	21.7%	17.2%	21.7%
Put IV 25d	24.6%	21.1%	28.0%	23.0%	28.0%
Bid-Ask Spread %	4.07	2.68	7.56	7.56	5.91
Gamma HHI	0.16	0.14	0.23	0.23	0.16
Net GEX	6.7M	1.2M	12.1M	12.1M	8.8M
Net DEX	-103.3M	-291.4M	120.0M	-244.0M	-99.6M
Net VEX	-6.0M	-6.3M	-5.7M	-6.0M	-6.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.32	2.35	1.98	0.62
Total Volume	76,260.143	36,876	173,034	69,756	42,348
Total OI	2,062,435.571	1,778,970	2,280,348	2,094,780	2,070,723

Daily Data (21 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
2011-09-01	$17.55	$16.67	18.9%	5.4%	33.7%	29.6%	20.7%	5.7%	0.2%	12.1M	-244.0M	-6.0M	1.98	7.56	23,412	46,344	1,160,919	933,861
2011-09-02	$17.34	$16.67	19.0%	5.5%	33.7%	30.0%	22.6%	5.3%	0.5%	7.0M	-126.6M	-5.9M	1.63	4.55	17,976	29,376	1,164,522	950,337
2011-09-06	$17.23	$17.50	21.1%	5.9%	30.5%	37.5%	22.8%	6.6%	0.4%	3.5M	-69.9M	-5.8M	2.35	2.68	36,843	86,415	1,157,439	958,899
2011-09-07	$17.47	$17.50	20.0%	5.7%	27.9%	33.4%	21.2%	5.8%	0.6%	6.6M	-176.0M	-6.0M	0.32	2.73	56,097	17,712	1,149,885	1,007,676
2011-09-08	$17.40	$17.50	19.7%	5.7%	20.8%	32.5%	20.0%	6.0%	0.6%	8.0M	-156.0M	-5.9M	0.78	3.27	24,723	19,215	1,174,620	1,002,879
2011-09-09	$17.12	$17.50	21.6%	6.2%	20.1%	39.1%	22.2%	6.7%	0.3%	1.6M	-14.4M	-5.9M	0.55	2.68	59,562	32,661	1,171,215	1,009,368
2011-09-12	$17.27	$17.50	22.2%	6.3%	20.3%	41.4%	22.8%	6.5%	0.8%	3.8M	-98.5M	-6.0M	0.69	3.13	50,100	34,509	1,184,100	1,018,494
2011-09-13	$17.20	$17.50	18.8%	5.7%	20.4%	29.0%	20.6%	6.3%	1.5%	4.0M	-66.2M	-5.9M	1.78	3.15	24,705	44,013	1,209,939	1,027,920
2011-09-14	$17.40	$17.50	19.1%	5.7%	15.8%	30.2%	21.0%	5.8%	1.7%	6.7M	-183.1M	-6.1M	1.57	3.87	22,389	35,094	1,211,739	1,037,595
2011-09-15	$17.50	$17.50	19.1%	5.5%	15.6%	30.3%	20.1%	5.1%	1.9%	7.4M	-238.1M	-6.0M	1.46	4.36	15,150	22,089	1,218,924	1,048,656
2011-09-16	$17.55	$17.50	18.0%	5.2%	15.6%	26.4%	18.5%	4.8%	2.3%	7.2M	-291.4M	-5.9M	0.54	4.13	64,029	34,764	1,221,876	1,058,472
2011-09-19	$17.48	$17.50	18.6%	5.3%	15.3%	28.3%	19.6%	5.2%	1.8%	8.9M	-148.5M	-6.0M	0.94	4.30	33,138	31,062	950,358	828,612
2011-09-20	$17.43	$17.50	18.3%	5.2%	15.3%	27.3%	18.3%	5.3%	1.6%	7.7M	-123.2M	-5.9M	0.91	3.56	28,623	25,953	961,188	840,519
2011-09-21	$17.11	$17.50	18.9%	5.4%	14.9%	29.7%	19.7%	6.0%	1.1%	5.2M	-4.6M	-5.8M	0.65	3.10	69,711	45,159	979,599	839,016
2011-09-22	$16.76	$17.50	23.2%	6.7%	16.2%	45.0%	22.5%	6.3%	1.0%	1.2M	120.0M	-5.7M	1.03	4.38	44,184	45,369	1,000,686	860,805
2011-09-23	$16.93	$17.50	23.9%	6.8%	16.4%	47.3%	25.4%	6.3%	1.1%	2.4M	54.8M	-5.9M	0.88	3.43	92,070	80,964	1,006,065	880,293
2011-09-26	$17.28	$17.50	20.6%	5.9%	18.1%	35.5%	22.9%	6.6%	1.7%	9.2M	-88.1M	-6.1M	0.85	4.67	19,977	16,899	1,054,686	931,896
2011-09-27	$17.34	$17.50	20.5%	5.9%	18.0%	35.1%	20.5%	4.7%	1.5%	11.1M	-107.8M	-6.1M	0.72	6.08	42,516	30,483	1,059,390	934,608
2011-09-28	$17.10	$17.50	21.1%	6.1%	18.5%	37.5%	22.4%	6.5%	1.5%	7.1M	-9.3M	-6.0M	0.72	4.11	25,575	18,459	1,078,650	940,932
2011-09-29	$17.31	$17.50	21.7%	6.2%	18.9%	39.5%	23.0%	5.4%	1.5%	10.5M	-99.6M	-6.1M	1.44	3.78	45,891	65,904	1,071,150	942,636
2011-09-30	$17.30	$17.50	23.2%	6.6%	18.6%	44.8%	24.9%	6.2%	1.4%	8.8M	-99.6M	-6.3M	0.62	5.91	26,118	16,230	1,083,510	987,213