WMT Options History — October 2011

In October 2011, WMT traded between $17.32 and $19.27. ATM implied volatility averaged 19.9%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.2% (HV 20d: 17.6%). 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 7 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2011-10-20: Highest Volume — 329,457 contracts
2011-10-31: Largest IV spike — 21.5% change
2011-10-03: Highest IV Rank — 51.3%
2011-10-03: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.44	$17.32	$19.27	$17.32	$18.91
Max Pain	$17.82	$17.50	$18.33	$17.50	$18.33
ATM IV	19.9%	15.1%	25.0%	25.0%	18.3%
Expected Move	5.7%	4.6%	7.2%	7.2%	5.2%
HV 20d	17.6%	14.3%	20.6%	18.1%	16.0%
HV 60d	24.1%	23.4%	24.6%	23.4%	23.7%
IV Rank	33.0%	15.9%	51.3%	51.3%	27.5%
IV Percentile	82.3%	43.7%	98.4%	98.4%	76.2%
Term Structure	0.1%	-1.2%	2.0%	0.6%	-1.2%
VWIV	20.3%	17.1%	25.5%	25.5%	18.3%
Skew 25d	4.3%	1.6%	6.4%	5.7%	1.9%
Skew 10d	8.8%	3.9%	13.5%	13.5%	4.0%
Call IV 25d	18.5%	16.3%	23.5%	23.5%	18.5%
Put IV 25d	22.8%	18.2%	29.2%	29.2%	20.4%
Bid-Ask Spread %	4.38	2.80	6.66	4.77	4.53
Gamma HHI	0.25	0.17	0.29	0.17	0.26
Net GEX	36.4M	9.6M	56.7M	9.6M	45.3M
Net DEX	-719.7M	-1.14B	-111.0M	-111.0M	-909.6M
Net VEX	-6.2M	-6.5M	-5.9M	-6.3M	-5.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.33	1.49	0.86	0.72
Total Volume	106,597.429	37,941	329,457	64,956	44,388
Total OI	2,266,114.429	2,074,815	2,463,906	2,074,815	2,410,650

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
2011-10-03	$17.32	$17.50	25.0%	7.2%	18.1%	51.3%	25.5%	5.7%	0.6%	9.6M	-111.0M	-6.3M	0.86	4.77	34,872	30,084	1,087,437	987,378
2011-10-04	$17.63	$17.50	24.0%	6.9%	18.9%	47.8%	24.1%	4.9%	1.3%	16.2M	-258.8M	-6.5M	0.68	3.84	42,150	28,767	1,099,800	993,981
2011-10-05	$17.55	$17.50	22.4%	6.4%	18.4%	42.1%	22.5%	4.3%	1.3%	15.9M	-221.7M	-6.3M	0.63	2.80	23,211	14,730	1,108,008	993,684
2011-10-06	$17.58	$17.50	21.7%	5.9%	18.3%	39.5%	20.7%	4.0%	2.0%	16.1M	-231.9M	-6.2M	0.96	3.50	27,876	26,883	1,112,016	998,526
2011-10-07	$17.90	$17.50	21.3%	6.4%	18.2%	38.2%	20.2%	6.4%	-0.0%	25.0M	-404.5M	-6.3M	0.60	4.30	57,975	34,713	1,119,174	1,004,841
2011-10-10	$18.27	$17.50	21.0%	5.7%	19.2%	37.0%	19.2%	6.0%	0.1%	34.1M	-605.6M	-6.3M	0.73	6.66	84,141	61,182	1,137,507	1,012,131
2011-10-11	$18.24	$17.50	20.8%	5.6%	19.0%	36.4%	19.9%	6.0%	0.0%	33.7M	-597.6M	-6.3M	0.89	3.29	33,231	29,655	1,162,911	1,033,659
2011-10-12	$18.40	$17.50	19.8%	6.0%	18.9%	32.9%	20.7%	5.2%	-0.2%	32.8M	-710.4M	-6.4M	0.42	4.47	189,444	80,286	1,171,578	1,048,668
2011-10-13	$18.34	$17.50	20.2%	5.8%	19.0%	34.2%	19.9%	5.5%	-0.3%	36.1M	-678.9M	-6.5M	0.73	4.59	32,478	23,592	1,240,884	1,060,695
2011-10-14	$18.49	$17.50	18.9%	5.4%	19.1%	29.7%	20.0%	4.8%	-0.2%	42.1M	-758.9M	-6.2M	0.61	3.91	42,621	26,211	1,249,821	1,069,458
2011-10-17	$18.26	$17.50	19.8%	5.7%	19.7%	32.6%	20.8%	5.7%	-0.0%	40.3M	-627.4M	-6.1M	0.84	4.65	38,001	31,755	1,252,707	1,052,301
2011-10-18	$18.63	$17.50	20.1%	5.8%	20.6%	33.8%	19.3%	4.6%	-0.2%	45.0M	-892.8M	-6.3M	0.62	3.85	46,056	28,632	1,265,106	1,059,789
2011-10-19	$18.75	$17.50	21.2%	6.1%	18.8%	37.8%	20.7%	4.2%	-0.3%	43.9M	-957.8M	-6.3M	0.72	3.07	62,049	44,589	1,269,420	1,074,417
2011-10-20	$18.79	$18.33	19.0%	5.4%	16.4%	29.8%	22.5%	4.9%	-0.3%	43.5M	-973.5M	-6.4M	0.83	5.78	180,087	149,370	1,288,053	1,088,559
2011-10-21	$18.97	$18.33	18.6%	5.3%	16.4%	28.4%	19.9%	4.4%	-0.1%	41.3M	-1.10B	-6.3M	0.33	6.19	90,144	30,114	1,346,949	1,116,957
2011-10-24	$18.93	$18.33	17.6%	5.0%	15.7%	24.7%	19.2%	3.7%	-0.2%	41.9M	-919.6M	-6.1M	0.49	4.00	95,832	46,845	1,250,748	1,011,750
2011-10-25	$18.90	$18.33	17.4%	5.0%	15.8%	24.1%	19.6%	3.0%	0.0%	45.9M	-938.5M	-6.2M	1.10	5.17	54,687	60,120	1,294,446	1,016,325
2011-10-26	$19.12	$18.33	17.8%	5.1%	14.5%	25.8%	18.1%	2.3%	-0.3%	48.0M	-1.06B	-6.1M	0.88	4.63	54,558	48,024	1,288,323	1,043,181
2011-10-27	$19.27	$18.33	17.2%	4.9%	14.3%	23.5%	17.5%	1.6%	-0.6%	56.7M	-1.14B	-6.1M	0.59	3.65	67,839	39,756	1,313,364	1,063,512
2011-10-28	$19.05	$18.33	15.1%	4.6%	15.4%	15.9%	17.1%	1.9%	-0.0%	51.7M	-1.02B	-5.9M	1.49	4.37	40,734	60,864	1,322,304	1,067,385
2011-10-31	$18.91	$18.33	18.3%	5.2%	16.0%	27.5%	18.3%	1.9%	-1.2%	45.3M	-909.6M	-5.9M	0.72	4.53	25,746	18,642	1,310,421	1,100,229