WMT Options History — March 2012

In March 2012, WMT traded between $19.61 and $20.41. ATM implied volatility averaged 13.0%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 2.1% (HV 20d: 15.1%). Max pain ranged from $19.17 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-03-07: Highest Volume — 2,549,763 contracts
  • 2012-03-07: Largest IV drop — 33.5% change
  • 2012-03-06: Highest IV Rank — 33.8%
  • 2012-03-01: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.14$19.61$20.41$19.61$20.40
Max Pain$19.81$19.17$20.00$19.17$20.00
ATM IV13.0%9.5%20.1%15.8%9.5%
Expected Move3.5%3.2%4.0%4.0%3.3%
HV 20d15.1%8.7%19.8%17.8%9.0%
HV 60d13.8%13.0%14.4%14.2%13.0%
IV Rank8.7%0.0%33.8%18.6%0.0%
IV Percentile16.8%0.0%81.0%47.2%0.0%
Term Structure2.0%-0.0%3.0%-0.0%2.9%
VWIV12.3%10.9%15.4%14.2%10.9%
Skew 25d1.8%1.3%2.5%1.3%1.3%
Skew 10d4.3%1.8%6.4%1.8%3.5%
Call IV 25d11.4%10.2%13.5%13.2%10.2%
Put IV 25d13.2%11.5%15.5%14.5%11.5%
Bid-Ask Spread %6.945.319.428.368.84
Gamma HHI0.330.210.530.360.37
Net GEX27.7M12.7M56.6M17.5M26.3M
Net DEX-506.4M-686.2M-313.4M-331.9M-589.0M
Net VEX-4.6M-5.0M-4.2M-4.2M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.012.210.620.44
Total Volume170,602.90919,7312,549,76389,14839,258
Total OI1,557,725.8641,264,6351,731,5071,666,6771,479,258

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$19.61$19.1715.8%4.0%17.8%18.6%14.2%1.3%-0.0%17.5M-331.9M-4.2M0.628.3654,87334,275955,353711,324
2012-03-02$19.67$19.1714.6%3.9%17.9%14.3%15.4%1.5%-0.0%18.2M-340.2M-4.6M0.275.6051,87014,073973,362723,387
2012-03-05$19.80$19.1717.6%3.6%18.2%25.2%13.2%2.1%1.6%24.8M-403.1M-4.6M0.527.7846,99224,507981,390726,315
2012-03-06$19.66$19.1720.1%3.9%18.3%33.8%14.0%2.1%1.2%17.6M-313.4M-4.5M0.337.4660,86720,358974,748735,942
2012-03-07$19.95$19.1713.3%3.7%19.3%9.8%12.8%1.4%1.6%42.0M-490.8M-5.0M0.015.382,515,25734,506990,102741,405
2012-03-08$19.92$20.0012.7%3.7%19.3%7.6%13.5%2.0%1.7%43.4M-377.8M-5.0M0.405.3160,27924,309930,672747,786
2012-03-09$20.03$20.0011.3%3.5%19.2%2.4%12.5%1.9%1.9%56.6M-472.5M-5.0M0.626.2943,25426,919930,747755,820
2012-03-12$20.23$20.0013.4%3.6%19.7%10.0%12.3%1.9%1.9%38.0M-610.3M-4.5M0.365.3247,76317,127931,482756,303
2012-03-13$20.33$20.0013.3%3.5%19.8%9.8%12.1%1.6%1.7%37.1M-626.9M-4.7M0.319.4223,6407,443939,348763,728
2012-03-14$20.36$20.0015.7%3.5%19.6%18.1%12.3%2.0%1.7%36.1M-638.1M-4.6M0.725.8214,71210,659937,311763,962
2012-03-15$20.41$20.0012.3%3.5%19.5%6.1%12.5%2.5%1.7%39.1M-686.2M-4.4M0.547.2933,84618,297937,647764,751
2012-03-16$20.28$20.0011.7%3.3%19.5%3.8%11.6%2.1%1.9%35.0M-569.9M-4.5M0.767.7239,64230,315939,276765,855
2012-03-19$20.25$20.0011.8%3.4%19.3%4.4%12.0%2.1%2.1%17.9M-492.9M-4.5M2.215.5520,63445,693699,384565,251
2012-03-20$20.20$20.0011.7%3.4%13.1%4.0%11.6%2.2%2.2%12.7M-450.8M-4.5M0.977.1037,71036,393710,082593,469
2012-03-21$20.19$20.0011.3%3.2%9.1%2.4%11.2%1.8%2.5%14.9M-477.2M-4.3M0.547.5241,93722,578735,876612,249
2012-03-22$20.22$20.0011.4%3.3%9.1%2.9%11.8%1.9%2.6%17.9M-511.0M-4.5M0.735.7911,3948,337759,156617,259
2012-03-23$20.25$20.0011.3%3.2%9.0%2.4%11.6%1.6%2.9%19.5M-510.7M-4.3M1.288.1217,12421,903763,290620,169
2012-03-26$20.40$20.0011.6%3.3%8.8%3.7%11.5%1.6%2.7%24.8M-576.7M-4.3M1.046.5635,64637,137770,463621,747
2012-03-27$20.36$20.0011.5%3.3%8.7%3.2%11.2%1.5%3.0%23.2M-555.5M-4.6M0.685.4016,35611,061790,563644,373
2012-03-28$20.40$20.0012.0%3.4%8.7%5.0%11.7%1.9%2.6%25.2M-584.5M-4.6M0.846.9026,74222,476794,667649,185
2012-03-29$20.27$20.0011.4%3.3%8.8%3.0%11.3%1.8%2.8%21.5M-532.1M-4.6M1.519.1917,94027,162809,316656,196
2012-03-30$20.40$20.009.5%3.3%9.0%0.0%10.9%1.3%2.9%26.3M-589.0M-4.7M0.448.8427,34211,916815,754663,504