WMT Options History — July 2012

In July 2012, WMT traded between $23.12 and $24.99. ATM implied volatility averaged 16.4%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.4% (HV 20d: 15.1%). Max pain ranged from $22.50 to $24.17. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.51.

Notable Days

2012-07-10: Highest Volume — 274,791 contracts
2012-07-03: Largest IV spike — 39.5% change
2012-07-26: Highest IV Rank — 32.9%
2012-07-30: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.14	$23.12	$24.99	$23.12	$24.81
Max Pain	$23.10	$22.50	$24.17	$22.50	$23.33
ATM IV	16.4%	12.7%	19.0%	12.7%	17.3%
Expected Move	4.9%	3.7%	5.7%	3.7%	5.7%
HV 20d	15.1%	13.1%	18.8%	18.2%	14.5%
HV 60d	18.4%	15.6%	20.7%	20.6%	16.2%
IV Rank	24.0%	11.1%	32.9%	11.1%	27.0%
IV Percentile	45.8%	10.7%	70.2%	10.7%	52.8%
Term Structure	-1.0%	-3.3%	2.3%	2.2%	-3.3%
VWIV	18.0%	13.5%	20.6%	13.5%	20.2%
Skew 25d	3.2%	2.1%	4.3%	2.2%	3.0%
Skew 10d	6.6%	4.8%	8.3%	5.3%	6.8%
Call IV 25d	16.0%	12.8%	19.4%	12.8%	19.4%
Put IV 25d	19.2%	15.1%	22.4%	15.1%	22.4%
Bid-Ask Spread %	4.10	2.90	6.20	6.20	3.65
Gamma HHI	0.34	0.27	0.43	0.43	0.41
Net GEX	30.3M	19.4M	37.4M	34.5M	34.0M
Net DEX	-1.67B	-1.93B	-1.25B	-1.25B	-1.83B
Net VEX	-5.6M	-6.4M	-4.9M	-5.6M	-5.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.51	0.53	4.13	1.41	0.57
Total Volume	99,471.429	32,286	274,791	37,488	129,789
Total OI	2,136,587	1,874,289	2,350,080	1,874,289	2,186,250

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
2012-07-02	$23.12	$22.50	12.7%	3.7%	18.2%	11.1%	13.5%	2.2%	2.2%	34.5M	-1.25B	-5.6M	1.41	6.20	15,558	21,930	956,310	917,979
2012-07-03	$23.58	$22.50	17.7%	4.1%	18.8%	28.3%	14.4%	2.5%	1.8%	36.7M	-1.51B	-5.0M	1.25	6.09	43,224	54,138	958,926	919,521
2012-07-05	$23.69	$22.50	16.0%	4.1%	18.8%	22.3%	14.5%	2.2%	2.3%	33.4M	-1.54B	-5.2M	1.15	4.81	38,010	43,704	972,471	940,872
2012-07-06	$23.79	$22.50	12.7%	4.4%	18.7%	11.1%	17.0%	3.4%	-0.3%	33.0M	-1.60B	-5.0M	1.68	4.06	19,215	32,277	988,662	963,294
2012-07-09	$23.92	$22.50	15.0%	4.7%	14.7%	18.9%	18.1%	3.6%	-0.5%	29.9M	-1.63B	-4.9M	1.43	3.29	29,856	42,714	982,176	968,247
2012-07-10	$24.04	$22.50	15.9%	4.8%	13.9%	22.0%	18.3%	3.2%	-0.8%	28.7M	-1.66B	-5.0M	0.53	4.90	180,018	94,773	994,134	983,274
2012-07-11	$24.09	$22.50	13.9%	4.8%	13.9%	15.3%	18.5%	2.9%	-1.0%	37.4M	-1.84B	-5.4M	3.83	3.76	22,734	86,979	1,132,995	1,014,570
2012-07-12	$24.10	$23.33	17.2%	4.9%	13.1%	26.6%	19.7%	3.7%	-1.0%	31.9M	-1.76B	-5.8M	2.42	4.75	34,287	82,950	1,130,145	1,067,556
2012-07-13	$24.39	$23.33	17.1%	4.9%	13.3%	26.3%	17.2%	3.4%	-1.5%	32.4M	-1.93B	-5.4M	0.90	3.45	57,345	51,630	1,133,442	1,101,984
2012-07-16	$24.33	$23.33	17.6%	5.0%	13.5%	27.8%	17.9%	3.3%	-1.7%	30.7M	-1.88B	-5.5M	2.20	3.45	16,224	35,730	1,144,728	1,121,418
2012-07-17	$24.37	$23.33	16.8%	4.8%	13.5%	25.1%	17.7%	2.9%	-1.7%	30.7M	-1.88B	-5.7M	0.65	4.24	48,687	31,878	1,143,318	1,124,145
2012-07-18	$24.28	$23.33	16.6%	4.8%	13.5%	24.5%	17.7%	2.9%	-1.7%	23.7M	-1.90B	-5.5M	2.82	3.13	25,542	72,090	1,161,534	1,135,908
2012-07-19	$23.84	$24.17	16.8%	4.8%	15.3%	25.2%	18.9%	3.6%	-1.2%	19.4M	-1.50B	-6.0M	4.13	2.90	44,721	184,668	1,152,939	1,197,141
2012-07-20	$24.08	$23.33	16.9%	4.8%	14.5%	25.5%	17.5%	3.5%	-1.3%	26.0M	-1.69B	-5.9M	0.78	2.92	50,418	39,432	1,158,297	1,188,765
2012-07-23	$23.95	$23.33	17.6%	5.1%	14.5%	28.0%	19.4%	4.3%	-1.1%	25.8M	-1.43B	-5.9M	0.70	3.86	37,503	26,391	1,057,551	1,051,074
2012-07-24	$24.05	$23.33	18.1%	5.2%	14.0%	29.6%	19.8%	3.6%	-1.6%	25.9M	-1.43B	-6.4M	1.80	2.93	14,799	26,634	1,077,414	1,064,958
2012-07-25	$24.03	$23.33	17.7%	5.1%	14.1%	28.2%	18.8%	3.7%	-1.3%	26.1M	-1.46B	-6.1M	1.32	3.57	13,929	18,357	1,073,073	1,079,097
2012-07-26	$24.56	$23.33	19.0%	5.5%	15.6%	32.9%	18.9%	3.1%	-2.0%	30.1M	-1.70B	-5.9M	0.88	4.01	58,140	51,081	1,074,021	1,087,236
2012-07-27	$24.84	$23.33	15.2%	5.4%	15.6%	19.6%	20.2%	2.1%	-2.4%	30.5M	-1.80B	-6.1M	0.57	4.90	81,318	46,377	1,102,704	1,108,461
2012-07-30	$24.99	$23.33	17.7%	5.7%	14.4%	28.2%	20.6%	3.0%	-3.3%	34.6M	-1.91B	-6.0M	0.60	5.19	52,290	31,560	1,136,793	1,114,944
2012-07-31	$24.81	$23.33	17.3%	5.7%	14.5%	27.0%	20.2%	3.0%	-3.3%	34.0M	-1.83B	-5.6M	0.57	3.65	82,728	47,061	1,097,469	1,088,781