WMT Options History — April 2012

In April 2012, WMT traded between $19.12 and $20.82. ATM implied volatility averaged 15.5%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.2% (HV 20d: 14.3%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.70.

Notable Days

2012-04-23: Highest Volume — 359,151 contracts
2012-04-10: Largest IV spike — 41.1% change
2012-04-24: Highest IV Rank — 34.1%
2012-04-24: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.05	$19.12	$20.82	$20.45	$19.64
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	15.5%	10.1%	19.4%	10.1%	19.3%
Expected Move	4.4%	2.9%	5.6%	2.9%	5.4%
HV 20d	14.3%	8.2%	26.2%	8.8%	26.0%
HV 60d	15.0%	12.9%	19.1%	12.9%	18.9%
IV Rank	20.8%	2.3%	34.1%	2.3%	33.8%
IV Percentile	41.8%	0.4%	75.4%	0.4%	75.0%
Term Structure	-0.5%	-2.4%	3.3%	2.5%	-2.1%
VWIV	15.8%	10.7%	19.8%	10.7%	19.8%
Skew 25d	2.2%	1.4%	2.8%	1.4%	2.4%
Skew 10d	4.7%	2.7%	6.4%	2.7%	3.9%
Call IV 25d	14.9%	10.3%	18.8%	10.3%	18.4%
Put IV 25d	17.1%	11.6%	21.1%	11.6%	20.8%
Bid-Ask Spread %	4.70	2.37	7.18	3.23	4.57
Gamma HHI	0.32	0.18	0.82	0.39	0.19
Net GEX	30.2M	-5.8M	175.7M	29.6M	8.9M
Net DEX	-454.6M	-836.9M	-30.3M	-605.1M	-236.4M
Net VEX	-4.7M	-5.5M	-4.4M	-4.7M	-5.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.18	1.44	0.20	0.62
Total Volume	98,403.9	16,611	359,151	42,924	37,494
Total OI	1,599,699.75	1,463,565	1,841,694	1,482,798	1,801,857

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
2012-04-02	$20.45	$20.00	10.1%	2.9%	8.8%	2.3%	10.7%	1.4%	2.5%	29.6M	-605.1M	-4.7M	0.20	3.23	35,634	7,290	824,406	658,392
2012-04-03	$20.22	$20.00	13.1%	3.3%	9.5%	12.5%	11.6%	2.1%	2.9%	22.0M	-522.2M	-4.6M	0.82	6.53	27,948	22,983	848,577	660,588
2012-04-04	$20.09	$20.00	15.1%	3.4%	8.4%	19.4%	11.9%	2.0%	3.1%	17.3M	-457.4M	-4.6M	1.44	7.18	15,057	21,723	854,178	664,392
2012-04-05	$20.22	$20.00	11.3%	3.2%	8.7%	6.1%	11.3%	1.5%	3.3%	24.7M	-534.0M	-4.6M	0.65	2.56	12,447	8,052	862,407	669,681
2012-04-09	$20.04	$20.00	13.2%	4.3%	9.2%	12.7%	15.0%	2.5%	-0.9%	18.5M	-434.2M	-4.7M	0.79	2.37	9,270	7,341	866,217	668,688
2012-04-10	$19.98	$20.00	18.6%	4.6%	8.5%	31.3%	16.2%	2.6%	-0.8%	14.2M	-390.6M	-4.8M	0.44	4.08	52,671	23,412	867,153	670,545
2012-04-11	$19.93	$20.00	13.0%	4.5%	8.2%	12.1%	15.9%	2.5%	-0.9%	25.0M	-388.8M	-4.7M	0.38	5.78	41,196	15,612	885,930	673,653
2012-04-12	$20.05	$20.00	15.0%	4.3%	8.5%	19.0%	15.6%	2.6%	-1.0%	52.4M	-475.4M	-4.5M	0.32	4.66	56,307	17,919	907,095	675,960
2012-04-13	$19.92	$20.00	15.2%	4.4%	8.6%	19.6%	15.8%	2.8%	-0.6%	18.2M	-391.5M	-4.4M	0.50	5.52	19,500	9,801	894,714	680,241
2012-04-16	$20.19	$20.00	15.6%	4.5%	9.8%	21.0%	15.6%	2.3%	-1.5%	25.4M	-527.5M	-4.4M	0.27	4.01	71,217	18,870	877,404	679,086
2012-04-17	$20.62	$20.00	14.9%	4.3%	12.4%	18.7%	14.9%	2.2%	-1.1%	46.6M	-789.5M	-4.6M	0.18	4.92	102,549	18,951	910,182	681,255
2012-04-18	$20.69	$20.00	14.5%	4.2%	12.3%	17.4%	15.2%	1.9%	-0.8%	53.4M	-782.8M	-4.7M	0.80	3.81	18,774	14,961	912,054	684,423
2012-04-19	$20.58	$20.00	14.2%	4.1%	12.5%	16.4%	14.7%	2.2%	-0.8%	38.1M	-717.9M	-4.6M	1.32	5.15	10,743	14,145	912,414	691,704
2012-04-20	$20.82	$20.00	14.5%	4.2%	13.0%	17.4%	15.2%	1.8%	-1.0%	175.7M	-836.9M	-4.4M	0.75	3.90	34,275	25,668	913,608	692,340
2012-04-23	$19.85	$20.00	18.9%	5.4%	21.8%	32.3%	19.1%	2.5%	-2.4%	15.4M	-347.8M	-4.6M	0.63	6.12	219,717	139,434	841,941	621,624
2012-04-24	$19.26	$20.00	19.4%	5.6%	23.8%	34.1%	19.5%	2.1%	-1.9%	2.5M	-119.6M	-4.6M	0.99	4.97	166,284	164,598	899,796	680,190
2012-04-25	$19.12	$20.00	18.8%	5.4%	23.9%	32.2%	19.5%	2.1%	-1.5%	-5.8M	-30.3M	-4.8M	1.28	5.33	115,833	148,383	947,778	752,286
2012-04-26	$19.65	$20.00	19.1%	5.5%	26.2%	33.2%	19.7%	2.3%	-2.2%	11.8M	-238.8M	-5.4M	0.51	4.88	120,678	61,518	984,201	835,341
2012-04-27	$19.68	$20.00	16.7%	5.3%	26.2%	25.0%	19.0%	2.3%	-1.8%	10.9M	-264.4M	-5.5M	1.06	4.49	29,043	30,780	999,177	842,517
2012-04-30	$19.64	$20.00	19.3%	5.4%	26.0%	33.8%	19.8%	2.4%	-2.1%	8.9M	-236.4M	-5.5M	0.62	4.57	23,205	14,289	977,514	824,343