WMT Options History — February 2012

In February 2012, WMT traded between $19.49 and $20.83. ATM implied volatility averaged 14.6%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.2% (HV 20d: 12.4%). Max pain ranged from $19.17 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2012-02-21: Highest Volume — 268,143 contracts
  • 2012-02-09: Largest IV spike — 22.8% change
  • 2012-02-16: Highest IV Rank — 20.4%
  • 2012-02-16: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.30$19.49$20.83$20.73$19.69
Max Pain$19.25$19.17$20.00$20.00$19.17
ATM IV14.6%11.7%16.3%15.0%15.6%
Expected Move4.1%3.4%4.7%3.5%3.9%
HV 20d12.4%8.6%18.8%10.2%18.7%
HV 60d13.4%11.1%14.8%14.7%14.3%
IV Rank14.2%3.9%20.4%15.9%18.0%
IV Percentile30.8%2.0%50.0%35.3%44.4%
Term Structure0.2%-1.5%2.2%1.8%0.0%
VWIV15.0%12.6%17.1%12.6%13.7%
Skew 25d2.0%0.9%3.0%1.5%1.4%
Skew 10d4.8%1.3%7.3%5.0%2.3%
Call IV 25d13.9%12.4%15.7%12.4%12.7%
Put IV 25d15.9%13.3%18.2%13.8%14.2%
Bid-Ask Spread %6.354.699.624.958.46
Gamma HHI0.370.250.630.370.34
Net GEX36.1M11.0M101.1M41.6M18.5M
Net DEX-617.6M-893.0M-228.6M-807.3M-335.7M
Net VEX-4.4M-4.7M-4.0M-4.5M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.171.500.800.24
Total Volume80,865.618,906268,143120,46858,293
Total OI1,534,639.051,420,2691,641,3241,420,2691,641,324

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$20.73$20.0015.0%3.5%10.2%15.9%12.6%1.5%1.8%41.6M-807.3M-4.5M0.804.9566,82553,643827,844592,425
2012-02-02$20.65$20.0012.6%3.4%9.5%7.1%13.4%0.9%2.2%42.9M-798.2M-4.6M1.506.5317,39426,169857,784598,272
2012-02-03$20.68$19.1712.3%4.2%9.1%5.9%14.9%2.8%0.5%40.7M-785.3M-4.5M0.675.8826,10617,523858,516603,306
2012-02-06$20.63$19.1713.7%4.2%8.6%11.0%15.6%2.5%0.5%42.4M-790.5M-4.3M1.405.9113,67719,173862,806604,707
2012-02-07$20.56$19.1714.7%4.2%8.8%14.8%15.0%2.5%0.3%41.6M-775.6M-4.3M0.775.2615,73512,048867,291617,733
2012-02-08$20.54$19.1711.7%4.1%8.8%3.9%15.9%2.5%0.3%42.3M-736.9M-4.4M0.884.6916,33514,373871,539622,695
2012-02-09$20.65$19.1714.3%4.1%8.7%13.4%16.6%2.5%0.6%41.0M-789.8M-4.5M0.744.7045,96634,095860,343632,013
2012-02-10$20.63$19.1715.0%4.3%8.8%15.7%15.8%2.7%0.5%41.2M-752.1M-4.6M0.845.2423,07619,362865,689653,070
2012-02-13$20.60$19.1715.3%4.4%8.9%16.7%16.5%2.5%0.0%41.8M-745.9M-4.5M0.755.5510,8158,091868,983656,814
2012-02-14$20.74$19.1715.3%4.4%9.0%16.7%15.2%2.6%0.4%45.5M-806.8M-4.6M0.335.4732,13310,614870,543659,370
2012-02-15$20.59$19.1715.9%4.5%9.6%18.8%17.1%3.0%0.3%43.0M-743.3M-4.6M1.136.6524,69927,822888,099664,686
2012-02-16$20.68$19.1716.3%4.7%9.1%20.4%16.4%2.5%-0.1%48.2M-785.2M-4.6M0.175.3680,10613,827878,583674,181
2012-02-17$20.83$19.1715.8%4.5%9.2%18.7%16.0%1.8%0.2%101.1M-893.0M-4.7M0.297.11122,82635,466930,489680,160
2012-02-21$20.02$19.1714.0%4.0%17.1%12.2%14.0%1.9%0.3%21.6M-452.3M-4.3M0.517.11177,79890,345870,075612,435
2012-02-22$19.53$19.1715.1%4.3%18.8%16.2%15.0%1.3%-1.3%11.8M-243.2M-4.1M0.627.74147,66391,305886,452643,989
2012-02-23$19.51$19.1714.5%4.2%18.7%14.1%14.5%0.9%-1.1%12.2M-228.6M-4.2M0.586.5945,09026,259929,511678,330
2012-02-24$19.60$19.1713.9%3.9%18.7%11.7%14.0%1.4%-0.4%16.3M-308.8M-4.1M1.187.6625,54530,267933,267693,108
2012-02-27$19.49$19.1715.5%4.1%18.8%17.5%14.1%1.1%-1.5%11.0M-259.5M-4.0M0.619.6255,41933,888916,233689,862
2012-02-28$19.64$19.1714.7%3.9%18.6%14.8%14.4%1.5%-0.4%16.9M-314.7M-4.4M0.826.5126,07921,462928,812701,442
2012-02-29$19.69$19.1715.6%3.9%18.7%18.0%13.7%1.4%0.0%18.5M-335.7M-4.4M0.248.4647,15111,142933,012708,312