WMT Options History — June 2012

In June 2012, WMT traded between $21.83 and $23.24. ATM implied volatility averaged 16.0%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 1.3% (HV 20d: 17.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.41.

Notable Days

2012-06-08: Highest Volume — 286,134 contracts
2012-06-06: Largest IV drop — 27.3% change
2012-06-04: Highest IV Rank — 47.3%
2012-06-04: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.50	$21.83	$23.24	$21.85	$23.24
Max Pain	$21.90	$20.00	$22.50	$20.00	$22.50
ATM IV	16.0%	11.7%	23.2%	19.2%	11.7%
Expected Move	4.5%	3.7%	5.4%	5.2%	3.7%
HV 20d	17.3%	15.7%	20.7%	16.4%	18.0%
HV 60d	19.7%	18.5%	20.5%	18.5%	20.5%
IV Rank	22.5%	7.6%	47.3%	33.3%	7.6%
IV Percentile	42.7%	6.0%	92.9%	73.0%	6.0%
Term Structure	1.5%	0.3%	2.6%	0.7%	2.6%
VWIV	16.1%	13.7%	19.8%	18.9%	13.7%
Skew 25d	3.0%	2.1%	4.5%	3.2%	2.4%
Skew 10d	7.0%	5.2%	9.8%	7.8%	6.5%
Call IV 25d	14.5%	12.4%	17.1%	17.1%	12.5%
Put IV 25d	17.6%	14.9%	21.1%	20.3%	14.9%
Bid-Ask Spread %	5.01	3.39	8.27	8.27	5.85
Gamma HHI	0.29	0.20	0.42	0.20	0.40
Net GEX	27.3M	19.8M	34.8M	29.4M	34.8M
Net DEX	-1.17B	-1.48B	-919.9M	-1.03B	-1.31B
Net VEX	-5.9M	-6.3M	-5.5M	-6.3M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.50	3.44	1.94	0.90
Total Volume	92,722.857	33,789	286,134	94,257	76,659
Total OI	1,936,191.429	1,728,030	2,161,323	1,981,503	1,882,215

Daily Data (21 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
2012-06-01	$21.85	$20.00	19.2%	5.2%	16.4%	33.3%	18.9%	3.2%	0.7%	29.4M	-1.03B	-6.3M	1.94	8.27	32,061	62,196	993,213	988,290
2012-06-04	$22.00	$21.67	23.2%	5.4%	16.0%	47.3%	19.8%	4.3%	0.9%	31.2M	-1.10B	-6.2M	3.44	5.71	26,451	91,122	973,032	964,791
2012-06-05	$21.83	$21.67	21.7%	5.2%	16.6%	42.0%	17.7%	4.5%	0.9%	23.9M	-997.5M	-6.3M	1.54	5.63	16,143	24,783	978,411	1,019,055
2012-06-06	$21.98	$21.67	15.8%	4.8%	16.4%	21.7%	16.6%	4.0%	1.0%	26.2M	-1.09B	-6.1M	1.97	4.53	21,174	41,718	983,199	1,019,325
2012-06-07	$21.96	$21.67	14.6%	4.6%	16.4%	17.7%	15.6%	3.8%	1.4%	29.3M	-1.12B	-5.9M	1.43	3.93	36,309	52,035	984,117	1,027,026
2012-06-08	$22.74	$21.67	16.3%	4.8%	19.4%	23.3%	16.4%	3.2%	0.6%	32.3M	-1.48B	-5.5M	0.74	5.24	164,745	121,389	999,027	1,022,805
2012-06-11	$22.51	$21.67	18.9%	5.0%	20.3%	32.5%	17.5%	3.4%	0.3%	31.9M	-1.34B	-5.8M	0.77	4.35	91,977	70,365	1,038,108	1,028,856
2012-06-12	$22.57	$21.67	16.6%	4.9%	19.9%	24.3%	17.3%	3.3%	0.7%	28.1M	-1.39B	-6.0M	0.86	3.78	48,489	41,622	1,062,717	1,058,217
2012-06-13	$22.36	$21.67	15.9%	4.9%	20.7%	22.1%	17.7%	3.6%	0.8%	26.3M	-1.27B	-6.1M	1.31	4.73	31,428	41,118	1,065,312	1,065,144
2012-06-14	$22.54	$21.67	17.0%	4.9%	20.5%	25.8%	17.6%	3.1%	0.8%	22.9M	-1.36B	-6.1M	1.38	4.65	30,888	42,678	1,066,518	1,075,356
2012-06-15	$22.58	$21.67	16.0%	4.6%	15.9%	22.2%	15.7%	2.5%	1.1%	19.8M	-1.40B	-6.1M	0.54	7.78	67,758	36,885	1,064,217	1,097,106
2012-06-18	$22.71	$21.67	14.4%	4.1%	15.7%	16.8%	14.7%	2.8%	2.1%	28.4M	-1.09B	-5.9M	1.09	4.67	39,900	43,632	897,072	830,958
2012-06-19	$22.60	$22.50	13.6%	3.9%	15.9%	14.1%	14.6%	2.7%	2.0%	27.8M	-1.06B	-5.7M	2.14	4.04	15,090	32,256	906,432	842,109
2012-06-20	$22.84	$21.67	13.8%	4.0%	15.8%	15.0%	13.9%	2.6%	2.2%	31.3M	-1.17B	-5.6M	1.65	5.11	19,998	32,982	911,754	857,244
2012-06-21	$22.57	$22.50	14.3%	4.1%	16.3%	16.6%	15.8%	2.6%	2.0%	23.5M	-1.03B	-5.9M	1.60	4.65	38,277	61,434	918,723	871,155
2012-06-22	$22.43	$22.50	13.5%	3.9%	16.5%	13.7%	13.7%	2.1%	2.1%	21.8M	-919.9M	-5.9M	1.30	5.02	29,565	38,331	914,325	885,363
2012-06-25	$22.73	$22.50	15.2%	4.4%	16.9%	19.7%	15.8%	2.8%	2.1%	25.0M	-1.08B	-5.7M	1.81	4.82	37,878	68,565	916,008	876,420
2012-06-26	$22.86	$22.50	15.4%	4.4%	16.9%	20.5%	15.8%	2.4%	2.2%	25.7M	-1.11B	-5.9M	0.50	4.14	77,829	39,084	927,237	905,775
2012-06-27	$22.86	$22.50	15.1%	4.3%	16.8%	19.2%	14.8%	2.5%	2.6%	29.4M	-1.15B	-5.8M	1.01	3.39	16,791	16,998	952,176	915,294
2012-06-28	$22.77	$22.50	14.6%	4.2%	16.9%	17.6%	14.6%	2.5%	2.6%	24.7M	-1.07B	-6.1M	1.76	5.01	24,879	43,698	955,965	919,953
2012-06-29	$23.24	$22.50	11.7%	3.7%	18.0%	7.6%	13.7%	2.4%	2.6%	34.8M	-1.31B	-5.7M	0.90	5.85	40,332	36,327	959,448	922,767