WMT Options History — May 2012

In May 2012, WMT traded between $19.57 and $21.94. ATM implied volatility averaged 17.6%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 5.1% (HV 20d: 22.7%). 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 19 of 22 days. Put/call ratio averaged 0.93.

Notable Days

2012-05-08: Highest Volume — 567,621 contracts
2012-05-08: Largest IV spike — 66.9% change
2012-05-08: Highest IV Rank — 58.8%
2012-05-02: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.49	$19.57	$21.94	$19.69	$21.94
Max Pain	$19.81	$19.17	$20.00	$20.00	$20.00
ATM IV	17.6%	14.1%	26.6%	18.6%	19.5%
Expected Move	4.8%	4.2%	5.3%	5.3%	5.0%
HV 20d	22.7%	16.0%	28.3%	26.0%	16.2%
HV 60d	18.7%	17.0%	19.0%	18.9%	18.6%
IV Rank	27.9%	15.9%	58.8%	31.3%	34.4%
IV Percentile	58.2%	25.8%	98.0%	65.9%	74.2%
Term Structure	0.4%	-2.2%	2.0%	-2.1%	0.7%
VWIV	17.7%	15.0%	19.8%	19.4%	18.1%
Skew 25d	2.8%	1.7%	3.8%	1.7%	3.3%
Skew 10d	6.1%	2.2%	8.9%	2.2%	6.3%
Call IV 25d	16.3%	13.5%	18.6%	18.5%	16.0%
Put IV 25d	19.1%	16.8%	20.8%	20.2%	19.2%
Bid-Ask Spread %	5.04	2.85	7.77	4.55	5.99
Gamma HHI	0.25	0.19	0.84	0.21	0.22
Net GEX	35.4M	4.0M	302.6M	9.9M	33.9M
Net DEX	-573.3M	-1.12B	-188.9M	-264.6M	-1.12B
Net VEX	-5.8M	-6.1M	-5.5M	-5.5M	-6.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.07	1.95	0.80	1.24
Total Volume	129,753.955	35,553	567,621	46,167	218,301
Total OI	1,860,243	1,671,267	1,973,037	1,837,911	1,897,122

Daily Data (22 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
2012-05-01	$19.69	$20.00	18.6%	5.3%	26.0%	31.3%	19.4%	1.7%	-2.1%	9.9M	-264.6M	-5.5M	0.80	4.55	25,719	20,448	993,450	844,461
2012-05-02	$19.67	$20.00	16.6%	5.3%	25.8%	24.4%	19.7%	2.2%	-2.1%	9.4M	-251.7M	-5.5M	1.87	3.80	16,140	30,246	998,880	849,183
2012-05-03	$19.66	$20.00	17.0%	5.3%	25.7%	25.7%	19.8%	2.3%	-2.2%	7.9M	-236.4M	-5.5M	1.90	5.04	14,370	27,360	997,989	849,054
2012-05-04	$19.57	$19.17	18.2%	5.1%	25.6%	30.0%	17.6%	2.5%	0.5%	4.0M	-188.9M	-5.5M	1.06	6.32	17,274	18,279	1,003,092	870,618
2012-05-07	$19.73	$19.17	15.9%	4.8%	25.6%	22.2%	17.9%	2.6%	0.6%	9.8M	-269.5M	-5.5M	0.39	7.37	35,535	13,737	998,844	868,407
2012-05-08	$19.68	$19.17	26.6%	4.8%	25.6%	58.8%	17.3%	2.2%	0.7%	5.1M	-259.7M	-5.6M	0.07	7.21	530,610	37,011	999,216	870,192
2012-05-09	$19.68	$20.00	21.2%	5.0%	25.6%	40.1%	18.1%	2.5%	0.5%	12.2M	-212.8M	-5.9M	0.86	6.24	44,190	38,166	968,673	882,159
2012-05-10	$19.73	$20.00	16.9%	4.9%	25.5%	25.6%	17.6%	2.6%	0.6%	12.8M	-240.1M	-5.9M	1.21	3.72	37,773	45,705	982,344	892,074
2012-05-11	$19.81	$20.00	17.2%	4.9%	25.5%	26.5%	17.6%	2.4%	0.5%	14.0M	-283.0M	-5.7M	0.86	2.91	34,329	29,370	987,492	905,595
2012-05-14	$19.69	$20.00	17.6%	5.1%	25.0%	28.0%	18.8%	2.8%	0.2%	11.3M	-218.0M	-6.0M	0.63	3.37	38,184	24,141	990,888	911,007
2012-05-15	$19.78	$19.17	18.1%	5.2%	23.8%	29.5%	19.4%	3.0%	0.2%	15.2M	-256.8M	-5.9M	1.95	3.20	27,240	53,052	987,567	916,320
2012-05-16	$19.73	$19.17	17.9%	5.1%	23.7%	29.0%	18.6%	3.1%	0.4%	13.6M	-239.9M	-5.8M	0.83	5.65	78,666	65,574	990,036	915,690
2012-05-17	$20.56	$20.00	15.8%	4.5%	28.2%	21.6%	17.2%	3.8%	2.0%	56.3M	-758.3M	-5.9M	0.45	4.36	260,835	116,280	1,017,354	931,107
2012-05-18	$20.81	$20.00	16.4%	4.7%	28.3%	23.6%	18.0%	3.3%	2.0%	302.6M	-824.1M	-6.0M	0.74	2.85	80,901	60,183	1,018,572	954,465
2012-05-21	$21.01	$20.00	14.8%	4.2%	22.1%	18.3%	15.0%	3.3%	0.7%	29.8M	-744.9M	-5.8M	0.34	5.29	117,672	40,506	854,214	817,053
2012-05-22	$21.24	$20.00	15.8%	4.5%	18.5%	21.6%	15.9%	3.1%	0.6%	38.6M	-863.2M	-6.0M	1.06	4.60	48,303	50,967	917,808	829,152
2012-05-23	$21.53	$20.00	15.2%	4.3%	18.1%	19.5%	16.4%	2.5%	0.7%	38.7M	-1.01B	-5.9M	0.79	5.52	83,427	65,793	930,051	853,125
2012-05-24	$21.69	$20.00	15.8%	4.5%	16.3%	21.8%	16.4%	2.6%	0.8%	39.5M	-1.07B	-6.1M	0.51	4.30	90,408	45,885	953,787	877,632
2012-05-25	$21.77	$20.00	14.1%	4.5%	16.3%	15.9%	15.9%	2.5%	1.1%	38.4M	-1.12B	-6.1M	0.52	5.69	61,656	31,755	978,978	899,463
2012-05-29	$21.89	$20.00	17.9%	4.5%	16.0%	29.1%	16.4%	3.0%	0.9%	40.0M	-1.12B	-6.0M	0.95	5.06	36,168	34,422	960,813	892,443
2012-05-30	$21.81	$20.00	20.3%	4.8%	16.3%	37.4%	18.2%	3.2%	0.7%	37.0M	-1.07B	-6.1M	1.37	7.77	45,624	62,382	964,020	904,956
2012-05-31	$21.94	$20.00	19.5%	5.0%	16.2%	34.4%	18.1%	3.3%	0.7%	33.9M	-1.12B	-6.1M	1.24	5.99	97,293	121,008	966,258	930,864