WMT Options History — November 2011

In November 2011, WMT traded between $18.74 and $19.77. ATM implied volatility averaged 19.8%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.5% (HV 20d: 18.2%). 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 8 of 21 days. Put/call ratio averaged 0.79.

Notable Days

2011-11-08: Highest Volume — 258,273 contracts
2011-11-02: Largest IV drop — 25.8% change
2011-11-01: Highest IV Rank — 60.3%
2011-11-01: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.19	$18.74	$19.77	$18.74	$19.63
Max Pain	$18.13	$17.50	$18.33	$18.33	$18.33
ATM IV	19.8%	16.3%	27.5%	27.5%	21.2%
Expected Move	5.5%	4.3%	6.3%	6.3%	4.3%
HV 20d	18.2%	13.8%	20.3%	15.8%	20.0%
HV 60d	18.3%	17.2%	22.3%	22.3%	18.1%
IV Rank	32.6%	20.3%	60.3%	60.3%	37.7%
IV Percentile	79.2%	60.7%	98.8%	98.8%	88.5%
Term Structure	-0.1%	-1.3%	1.3%	-1.0%	1.3%
VWIV	20.1%	16.7%	22.8%	21.0%	16.7%
Skew 25d	4.0%	2.0%	5.0%	3.5%	4.0%
Skew 10d	9.4%	5.0%	14.1%	6.8%	6.7%
Call IV 25d	18.1%	14.9%	20.4%	19.9%	14.9%
Put IV 25d	22.1%	18.9%	24.5%	23.4%	18.9%
Bid-Ask Spread %	5.50	3.57	7.38	4.42	6.52
Gamma HHI	0.29	0.24	0.43	0.25	0.34
Net GEX	48.5M	32.3M	63.8M	39.2M	61.1M
Net DEX	-984.9M	-1.44B	-669.4M	-781.6M	-1.20B
Net VEX	-6.0M	-6.2M	-5.5M	-6.2M	-5.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.32	1.29	1.20	0.45
Total Volume	105,950.143	19,695	258,273	74,538	65,694
Total OI	2,522,005.286	2,416,341	2,716,650	2,416,341	2,494,977

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
2011-11-01	$18.74	$18.33	27.5%	6.3%	15.8%	60.3%	21.0%	3.5%	-1.0%	39.2M	-781.6M	-6.2M	1.20	4.42	33,903	40,635	1,319,976	1,096,365
2011-11-02	$18.95	$18.33	20.4%	5.6%	15.8%	34.9%	20.4%	2.0%	-0.9%	44.7M	-922.7M	-6.1M	0.95	5.09	45,213	43,017	1,320,183	1,102,650
2011-11-03	$19.14	$18.33	17.2%	5.4%	15.9%	23.4%	19.1%	2.0%	-0.7%	50.6M	-1.06B	-5.7M	0.39	3.61	30,207	11,640	1,324,944	1,120,920
2011-11-04	$19.17	$17.50	16.3%	5.3%	15.1%	20.3%	19.7%	5.0%	-0.3%	55.3M	-1.03B	-6.0M	0.73	5.09	28,782	21,102	1,339,929	1,123,383
2011-11-07	$19.31	$17.50	17.9%	5.3%	13.8%	25.9%	19.3%	5.0%	-0.3%	56.1M	-1.14B	-5.9M	0.95	6.80	26,730	25,326	1,347,165	1,125,591
2011-11-08	$19.77	$17.50	19.8%	5.3%	15.5%	32.6%	19.8%	3.8%	-0.8%	58.6M	-1.38B	-6.0M	0.57	3.57	164,772	93,501	1,352,994	1,134,333
2011-11-09	$19.35	$18.33	24.4%	6.2%	17.9%	49.4%	22.8%	4.5%	-1.2%	52.3M	-1.14B	-6.2M	1.05	6.04	60,600	63,342	1,397,580	1,164,870
2011-11-10	$19.38	$17.50	21.1%	6.0%	17.8%	37.4%	21.4%	4.4%	-0.8%	56.8M	-1.18B	-6.2M	0.93	5.23	30,867	28,674	1,408,581	1,152,180
2011-11-11	$19.73	$17.50	19.6%	5.6%	18.5%	32.2%	21.2%	4.5%	-0.8%	63.4M	-1.44B	-6.0M	0.69	4.45	60,387	41,796	1,417,083	1,156,638
2011-11-14	$19.63	$18.33	21.0%	6.0%	17.9%	37.2%	22.6%	3.8%	-1.3%	59.2M	-1.35B	-5.9M	1.00	5.43	100,245	99,810	1,417,461	1,162,743
2011-11-15	$19.15	$18.33	18.8%	5.4%	19.4%	29.0%	19.6%	4.1%	-0.1%	48.4M	-992.3M	-5.9M	0.73	6.21	121,524	88,743	1,447,680	1,206,930
2011-11-16	$18.89	$18.33	18.7%	5.4%	20.0%	28.7%	19.9%	4.1%	-0.1%	42.0M	-802.7M	-5.9M	0.75	5.81	87,225	65,790	1,462,245	1,216,938
2011-11-17	$18.91	$18.33	18.9%	5.4%	20.0%	29.5%	20.4%	4.4%	0.0%	41.0M	-739.5M	-6.1M	1.29	5.86	52,851	67,977	1,477,701	1,212,015
2011-11-18	$19.08	$18.33	18.4%	5.3%	19.9%	27.7%	21.1%	3.8%	0.4%	63.8M	-841.0M	-6.1M	0.74	7.06	114,018	84,705	1,493,547	1,223,103
2011-11-21	$18.89	$18.33	18.7%	5.3%	20.2%	28.7%	21.5%	4.8%	0.7%	32.3M	-669.4M	-6.2M	1.25	7.38	60,117	75,237	1,325,760	1,104,537
2011-11-22	$18.95	$18.33	17.7%	5.1%	20.3%	25.3%	18.9%	4.2%	1.0%	33.8M	-688.9M	-6.1M	0.61	5.07	35,640	21,846	1,337,175	1,125,702
2011-11-23	$18.88	$18.33	18.8%	5.4%	19.9%	29.3%	20.4%	4.1%	0.7%	34.1M	-727.8M	-5.9M	0.32	7.06	44,751	14,163	1,341,273	1,123,551
2011-11-25	$18.96	$18.33	18.7%	5.4%	19.7%	28.7%	19.0%	4.2%	0.8%	33.6M	-712.9M	-6.0M	0.61	4.28	12,210	7,485	1,331,436	1,126,278
2011-11-28	$19.08	$18.33	19.5%	5.1%	19.4%	31.7%	18.9%	4.0%	0.8%	41.6M	-853.5M	-5.5M	0.72	6.70	29,724	21,480	1,329,771	1,125,885
2011-11-29	$19.39	$18.33	20.6%	5.3%	20.0%	35.6%	19.2%	3.4%	-0.2%	50.7M	-1.02B	-5.6M	0.66	3.92	62,304	40,920	1,337,223	1,132,815
2011-11-30	$19.63	$18.33	21.2%	4.3%	20.0%	37.7%	16.7%	4.0%	1.3%	61.1M	-1.20B	-5.5M	0.45	6.52	45,261	20,433	1,348,407	1,146,570