WMT Options History — January 2012

In January 2012, WMT traded between $19.67 and $20.49. ATM implied volatility averaged 13.9%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.2% (HV 20d: 11.7%). Max pain ranged from $18.33 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.95.

Notable Days

2012-01-20: Highest Volume — 211,521 contracts
2012-01-31: Largest IV spike — 39.5% change
2012-01-03: Highest IV Rank — 25.0%
2012-01-03: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.08	$19.67	$20.49	$20.11	$20.45
Max Pain	$19.75	$18.33	$20.00	$18.33	$20.00
ATM IV	13.9%	10.6%	17.6%	17.6%	14.8%
Expected Move	3.9%	3.4%	4.5%	4.5%	3.5%
HV 20d	11.7%	8.8%	13.8%	13.0%	9.7%
HV 60d	15.4%	14.6%	16.4%	16.4%	14.6%
IV Rank	11.8%	0.0%	25.0%	25.0%	14.9%
IV Percentile	24.6%	0.0%	61.9%	61.9%	32.1%
Term Structure	1.6%	0.5%	2.4%	0.5%	1.8%
VWIV	14.3%	12.8%	16.2%	15.8%	13.3%
Skew 25d	2.2%	1.0%	3.6%	2.1%	1.3%
Skew 10d	5.5%	2.6%	8.1%	5.3%	3.6%
Call IV 25d	13.1%	11.9%	15.2%	15.2%	12.3%
Put IV 25d	15.3%	13.2%	17.3%	17.2%	13.5%
Bid-Ask Spread %	5.73	2.87	15.14	6.54	5.97
Gamma HHI	0.48	0.33	0.76	0.42	0.34
Net GEX	55.7M	33.0M	103.3M	60.5M	38.4M
Net DEX	-799.9M	-1.14B	-608.6M	-983.6M	-688.8M
Net VEX	-4.0M	-4.4M	-3.8M	-3.8M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.19	2.53	0.86	2.13
Total Volume	73,754.25	29,901	211,521	96,468	84,303
Total OI	1,801,869.9	1,279,800	2,121,081	1,960,023	1,416,246

Daily Data (20 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
2012-01-03	$20.11	$18.33	17.6%	4.5%	13.0%	25.0%	15.8%	2.1%	0.5%	60.5M	-983.6M	-3.8M	0.86	6.54	51,954	44,514	1,006,818	953,205
2012-01-04	$19.90	$18.33	16.7%	4.2%	13.7%	21.6%	15.4%	1.7%	0.9%	54.9M	-853.5M	-4.1M	1.25	7.73	30,483	38,070	1,015,251	970,974
2012-01-05	$19.81	$18.33	16.3%	4.1%	13.6%	20.0%	15.2%	1.6%	0.5%	55.0M	-805.0M	-3.9M	1.14	15.14	39,345	44,970	1,022,673	980,937
2012-01-06	$19.67	$20.00	14.4%	4.0%	13.8%	13.5%	15.4%	3.6%	1.3%	52.8M	-702.5M	-4.1M	1.07	5.29	16,464	17,610	1,031,424	993,867
2012-01-09	$19.73	$20.00	16.0%	4.0%	13.3%	19.1%	15.4%	3.3%	1.0%	58.4M	-742.3M	-4.0M	0.90	3.55	15,705	14,196	1,031,061	982,449
2012-01-10	$19.68	$20.00	15.6%	3.9%	13.2%	17.8%	14.5%	3.2%	1.5%	56.2M	-715.1M	-3.9M	1.21	4.78	18,576	22,473	1,028,880	984,381
2012-01-11	$19.80	$20.00	11.9%	3.9%	13.3%	4.5%	14.2%	2.7%	1.4%	64.4M	-805.3M	-3.9M	0.26	4.96	54,945	14,067	1,032,615	989,670
2012-01-12	$19.83	$20.00	13.7%	3.9%	12.8%	11.0%	15.8%	2.5%	1.6%	70.0M	-824.8M	-4.0M	0.40	5.32	54,501	21,804	1,057,887	995,124
2012-01-13	$19.85	$20.00	13.6%	3.9%	12.8%	10.4%	13.8%	2.8%	2.0%	69.0M	-807.5M	-4.1M	0.40	5.36	37,134	14,757	1,061,253	1,007,115
2012-01-17	$19.95	$20.00	13.7%	3.9%	12.8%	10.8%	14.0%	2.6%	1.7%	87.0M	-898.4M	-4.0M	0.52	5.15	28,119	14,691	1,066,950	1,006,083
2012-01-18	$20.00	$20.00	13.5%	3.9%	12.7%	10.3%	13.9%	2.5%	1.8%	103.3M	-932.4M	-3.9M	0.57	5.08	34,983	19,980	1,067,121	1,011,384
2012-01-19	$20.20	$20.00	13.5%	3.9%	12.5%	10.2%	13.5%	2.5%	2.0%	71.6M	-1.12B	-3.9M	0.19	4.92	140,346	26,583	1,077,894	1,014,996
2012-01-20	$20.34	$20.00	13.2%	3.8%	9.7%	9.0%	16.2%	2.2%	2.2%	56.9M	-1.14B	-4.0M	0.63	4.50	129,525	81,996	1,093,926	1,027,155
2012-01-23	$20.30	$20.00	13.0%	3.7%	9.7%	8.3%	13.1%	1.8%	1.8%	33.0M	-608.6M	-4.0M	0.87	2.87	38,172	33,027	747,855	531,945
2012-01-24	$20.46	$20.00	12.3%	3.5%	9.8%	5.9%	13.3%	1.1%	1.5%	38.2M	-709.8M	-4.1M	0.60	5.25	30,783	18,318	773,796	547,509
2012-01-25	$20.49	$20.00	12.0%	3.4%	8.8%	4.8%	13.0%	1.0%	1.5%	39.7M	-712.6M	-4.2M	1.27	4.93	22,245	28,203	788,679	556,002
2012-01-26	$20.32	$20.00	13.2%	3.8%	9.3%	9.1%	13.0%	1.7%	2.0%	33.0M	-639.5M	-4.2M	0.71	4.85	38,976	27,483	795,831	572,607
2012-01-27	$20.24	$20.00	13.2%	3.6%	9.5%	9.1%	12.8%	1.8%	2.4%	34.4M	-617.6M	-4.3M	2.53	5.80	17,745	44,874	817,989	582,648
2012-01-30	$20.43	$20.00	10.6%	3.6%	9.9%	0.0%	14.6%	1.5%	1.8%	38.0M	-694.8M	-4.4M	1.51	6.71	25,170	37,995	810,765	584,433
2012-01-31	$20.45	$20.00	14.8%	3.5%	9.7%	14.9%	13.3%	1.3%	1.8%	38.4M	-688.8M	-4.3M	2.13	5.97	26,958	57,345	812,781	603,465