WMT Options History — December 2011

In December 2011, WMT traded between $19.20 and $20.00. ATM implied volatility averaged 16.7%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.2% (HV 20d: 15.4%). 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 19 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2011-12-06: Highest Volume — 8,741,721 contracts
2011-12-06: Largest IV spike — 35.5% change
2011-12-06: Highest IV Rank — 65.1%
2011-12-01: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.57	$19.20	$20.00	$19.54	$19.92
Max Pain	$18.25	$17.50	$18.33	$18.33	$18.33
ATM IV	16.7%	12.8%	28.8%	19.8%	12.8%
Expected Move	4.4%	3.7%	5.3%	5.3%	4.1%
HV 20d	15.4%	12.0%	20.0%	19.9%	13.2%
HV 60d	17.2%	16.4%	18.0%	18.0%	16.4%
IV Rank	21.6%	7.7%	65.1%	32.7%	7.7%
IV Percentile	48.3%	10.7%	99.2%	81.0%	10.7%
Term Structure	1.5%	-1.2%	2.6%	-1.2%	1.0%
VWIV	16.3%	13.6%	21.5%	20.7%	14.8%
Skew 25d	2.7%	1.3%	4.3%	4.3%	1.3%
Skew 10d	6.8%	4.6%	10.3%	9.9%	4.7%
Call IV 25d	14.6%	12.4%	16.2%	16.0%	14.5%
Put IV 25d	17.3%	14.5%	20.4%	20.4%	15.9%
Bid-Ask Spread %	4.71	2.93	7.43	6.08	3.44
Gamma HHI	0.35	0.28	0.43	0.32	0.42
Net GEX	47.6M	28.1M	64.3M	56.5M	55.4M
Net DEX	-778.2M	-1.20B	-480.3M	-1.13B	-844.8M
Net VEX	-4.7M	-5.5M	-3.9M	-5.5M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.01	1.75	1.18	0.48
Total Volume	481,620	20,304	8,741,721	77,376	21,009
Total OI	2,184,122.714	1,885,152	2,545,836	2,502,210	1,958,622

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
2011-12-01	$19.54	$18.33	19.8%	5.3%	19.9%	32.7%	20.7%	4.3%	-1.2%	56.5M	-1.13B	-5.5M	1.18	6.08	35,424	41,952	1,352,634	1,149,576
2011-12-02	$19.36	$18.33	18.2%	4.9%	20.0%	27.0%	21.5%	4.1%	-0.5%	52.7M	-999.3M	-5.4M	1.00	4.81	40,029	40,191	1,358,196	1,154,622
2011-12-05	$19.45	$17.50	21.3%	4.7%	20.0%	38.0%	18.4%	4.1%	1.9%	55.1M	-1.05B	-5.3M	1.16	4.93	62,481	72,186	1,353,495	1,161,912
2011-12-06	$19.59	$17.50	28.8%	4.3%	20.0%	65.1%	14.4%	3.2%	2.0%	64.3M	-1.20B	-5.1M	0.01	3.56	8,675,745	65,976	1,353,006	1,192,830
2011-12-07	$19.50	$18.33	19.8%	4.9%	18.2%	32.9%	17.9%	3.4%	1.8%	46.0M	-693.4M	-5.2M	0.66	4.44	89,103	58,800	1,107,417	1,205,103
2011-12-08	$19.33	$18.33	20.3%	5.1%	16.7%	34.7%	18.6%	3.6%	1.7%	34.8M	-590.6M	-5.2M	0.65	3.67	45,360	29,412	1,112,013	1,208,562
2011-12-09	$19.44	$18.33	17.1%	4.8%	16.8%	22.9%	17.5%	3.5%	2.0%	41.7M	-606.7M	-5.1M	1.69	2.93	35,250	59,412	1,097,139	1,204,704
2011-12-12	$19.36	$18.33	18.6%	4.7%	15.5%	28.4%	15.6%	3.2%	2.0%	36.6M	-592.2M	-4.9M	0.42	3.32	65,589	27,693	1,102,122	1,213,116
2011-12-13	$19.20	$18.33	16.4%	4.5%	15.6%	20.7%	16.7%	2.9%	2.4%	33.0M	-487.6M	-4.8M	1.02	3.93	31,851	32,502	1,097,217	1,201,359
2011-12-14	$19.22	$18.33	16.7%	4.6%	12.9%	21.6%	16.4%	2.7%	2.3%	38.3M	-489.3M	-4.7M	1.08	3.13	22,806	24,618	1,104,042	1,207,386
2011-12-15	$19.32	$18.33	15.7%	4.5%	12.0%	17.9%	15.7%	2.6%	2.5%	45.9M	-650.0M	-4.7M	1.11	4.47	21,018	23,289	1,110,324	1,207,533
2011-12-16	$19.42	$18.33	15.3%	4.4%	12.1%	16.6%	17.6%	2.5%	2.6%	38.8M	-718.3M	-4.7M	0.95	5.35	75,015	70,971	1,109,124	1,211,760
2011-12-19	$19.26	$18.33	14.8%	4.2%	12.2%	14.9%	16.0%	2.5%	1.6%	28.1M	-480.3M	-4.5M	1.75	5.64	15,882	27,780	963,069	922,083
2011-12-20	$19.73	$18.33	13.9%	4.0%	14.2%	11.7%	14.9%	1.9%	1.2%	45.7M	-720.2M	-4.6M	0.76	7.43	38,220	29,190	965,397	926,094
2011-12-21	$19.80	$18.33	13.0%	3.7%	14.2%	8.4%	14.1%	2.0%	1.6%	49.2M	-757.0M	-4.5M	0.43	5.93	33,105	14,364	969,603	927,846
2011-12-22	$19.73	$18.33	13.1%	3.8%	14.1%	8.8%	13.6%	1.6%	1.3%	50.9M	-765.6M	-4.3M	0.56	5.38	34,494	19,245	980,097	929,307
2011-12-23	$20.00	$18.33	12.8%	3.7%	14.7%	7.8%	13.6%	2.1%	1.4%	56.8M	-923.8M	-4.0M	0.49	3.54	31,533	15,462	987,855	940,152
2011-12-27	$19.94	$18.33	13.7%	3.9%	14.7%	10.8%	14.8%	1.7%	1.1%	56.2M	-884.8M	-3.9M	1.27	5.86	8,937	11,367	996,225	937,764
2011-12-28	$19.91	$18.33	14.2%	4.1%	13.9%	12.6%	14.6%	1.4%	1.0%	56.1M	-855.4M	-4.2M	1.18	4.99	12,900	15,180	998,376	941,820
2011-12-29	$20.00	$18.33	14.1%	4.0%	13.3%	12.2%	14.4%	1.8%	1.2%	57.3M	-897.1M	-4.2M	0.64	6.07	23,565	15,114	1,001,409	945,666
2011-12-30	$19.92	$18.33	12.8%	4.1%	13.2%	7.7%	14.8%	1.3%	1.0%	55.4M	-844.8M	-4.3M	0.48	3.44	14,160	6,849	1,005,792	952,830