WMT Options History — August 2012

In August 2012, WMT traded between $23.81 and $24.85. ATM implied volatility averaged 17.9%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.9% (HV 20d: 15.0%). Max pain ranged from $21.67 to $24.17. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.23.

Notable Days

2012-08-07: Highest Volume — 4,273,677 contracts
2012-08-16: Largest IV drop — 60.4% change
2012-08-13: Highest IV Rank — 100.0%
2012-08-01: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.35	$23.81	$24.85	$24.54	$24.20
Max Pain	$23.62	$21.67	$24.17	$23.33	$24.17
ATM IV	17.9%	11.8%	33.4%	20.9%	11.8%
Expected Move	4.2%	3.6%	6.0%	6.0%	3.9%
HV 20d	15.0%	14.0%	17.4%	14.0%	14.3%
HV 60d	16.0%	14.5%	16.5%	16.4%	16.0%
IV Rank	34.1%	9.8%	100.0%	39.2%	9.8%
IV Percentile	43.2%	6.0%	100.0%	83.7%	6.0%
Term Structure	0.2%	-3.9%	2.3%	-3.9%	1.5%
VWIV	15.6%	13.1%	20.3%	20.3%	14.5%
Skew 25d	2.5%	1.8%	3.6%	3.6%	2.3%
Skew 10d	6.0%	4.4%	8.0%	7.1%	5.4%
Call IV 25d	14.2%	12.3%	19.0%	19.0%	13.2%
Put IV 25d	16.8%	14.1%	22.7%	22.7%	15.5%
Bid-Ask Spread %	5.21	2.20	7.74	5.07	7.74
Gamma HHI	0.41	0.31	0.48	0.43	0.38
Net GEX	28.2M	-21.8M	42.6M	34.7M	34.8M
Net DEX	-1.07B	-1.86B	-584.4M	-1.70B	-907.5M
Net VEX	-6.2M	-6.6M	-6.0M	-6.5M	-6.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.03	3.49	0.53	0.86
Total Volume	258,709.957	24,765	4,273,677	104,121	49,218
Total OI	2,163,485.609	1,994,349	2,392,635	2,316,936	2,087,643

Daily Data (23 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
2012-08-01	$24.54	$23.33	20.9%	6.0%	14.0%	39.2%	20.3%	3.6%	-3.9%	34.7M	-1.70B	-6.5M	0.53	5.07	68,172	35,949	1,173,909	1,143,027
2012-08-02	$24.68	$23.33	15.8%	5.5%	14.1%	21.6%	20.1%	3.3%	-3.1%	37.5M	-1.76B	-6.6M	1.24	5.09	17,943	22,254	1,199,352	1,150,620
2012-08-03	$24.85	$23.33	13.8%	5.3%	14.2%	15.0%	19.6%	2.9%	-3.1%	41.7M	-1.86B	-6.4M	1.14	3.87	24,885	28,326	1,201,668	1,155,702
2012-08-06	$24.76	$21.67	15.1%	4.4%	14.2%	19.4%	18.2%	2.9%	-0.0%	42.6M	-1.84B	-6.2M	0.42	4.15	103,962	43,578	1,199,733	1,151,427
2012-08-07	$24.66	$21.67	21.1%	4.2%	14.3%	39.9%	14.7%	2.5%	0.2%	42.5M	-1.85B	-6.0M	0.03	3.26	4,146,948	126,729	1,218,399	1,174,236
2012-08-08	$24.77	$23.33	22.0%	4.4%	14.4%	43.1%	17.3%	3.2%	-0.1%	31.0M	-1.11B	-6.5M	0.94	4.51	42,636	40,239	916,458	1,206,354
2012-08-09	$24.62	$23.33	22.5%	4.3%	14.6%	44.6%	17.2%	3.3%	-0.0%	28.1M	-1.03B	-6.6M	1.98	4.16	22,689	44,985	929,271	1,217,664
2012-08-10	$24.56	$23.33	27.3%	4.7%	14.1%	92.3%	17.1%	3.3%	-0.6%	30.6M	-1.04B	-6.3M	2.39	3.37	15,726	37,647	934,851	1,241,514
2012-08-13	$24.47	$23.33	33.3%	4.6%	14.1%	100.0%	17.2%	3.0%	-0.5%	27.1M	-974.5M	-6.2M	1.97	4.05	23,856	47,028	933,825	1,235,598
2012-08-14	$24.67	$23.33	33.2%	4.4%	14.4%	99.4%	17.9%	2.5%	-0.4%	30.7M	-1.07B	-6.4M	3.49	4.39	32,262	112,746	937,812	1,243,590
2012-08-15	$24.82	$23.33	33.4%	4.4%	14.4%	100.0%	16.1%	2.2%	-0.3%	30.2M	-1.16B	-6.1M	0.93	5.64	81,966	76,443	948,195	1,299,717
2012-08-16	$24.05	$24.17	13.3%	3.8%	17.2%	15.8%	13.9%	2.0%	2.0%	-21.8M	-646.4M	-6.1M	1.61	5.68	88,929	143,115	961,770	1,301,445
2012-08-17	$24.00	$24.17	12.9%	3.7%	16.9%	14.5%	13.6%	2.0%	2.3%	15.7M	-584.4M	-6.1M	2.61	4.52	29,244	76,407	976,275	1,325,640
2012-08-20	$24.10	$24.17	12.5%	3.6%	16.8%	12.7%	13.4%	1.8%	1.0%	24.9M	-790.7M	-6.0M	0.92	5.88	25,977	23,877	886,965	1,107,384
2012-08-21	$23.81	$24.17	12.8%	3.7%	17.3%	13.7%	13.8%	2.3%	0.8%	20.8M	-665.7M	-6.0M	1.86	6.54	27,576	51,303	897,213	1,110,270
2012-08-22	$23.92	$24.17	12.6%	3.6%	17.4%	13.1%	13.6%	2.2%	1.1%	23.2M	-711.7M	-6.1M	1.03	6.74	14,991	15,513	902,079	1,116,975
2012-08-23	$23.85	$24.17	12.6%	3.6%	15.3%	13.2%	13.4%	2.4%	1.2%	20.5M	-650.2M	-6.4M	0.95	6.39	12,672	12,093	905,622	1,121,793
2012-08-24	$24.04	$24.17	12.7%	3.6%	15.0%	13.5%	13.2%	1.9%	1.3%	25.3M	-766.9M	-6.1M	0.50	5.98	27,288	13,728	910,455	1,123,383
2012-08-27	$24.17	$24.17	13.2%	3.8%	14.9%	15.4%	13.5%	2.1%	1.1%	31.3M	-858.4M	-6.1M	0.70	6.76	18,603	13,020	915,378	1,116,033
2012-08-28	$24.14	$24.17	13.1%	3.7%	14.8%	14.9%	13.1%	2.3%	1.1%	30.7M	-840.8M	-6.0M	0.22	6.92	32,760	7,227	921,027	1,121,166
2012-08-29	$24.26	$24.17	13.3%	3.8%	14.5%	15.8%	13.2%	2.2%	1.3%	36.3M	-925.9M	-6.1M	0.70	7.01	25,143	17,529	938,739	1,123,929
2012-08-30	$24.08	$24.17	13.5%	3.9%	14.5%	16.9%	15.0%	2.3%	1.3%	30.5M	-820.5M	-6.2M	1.35	2.20	11,571	15,576	942,720	1,133,343
2012-08-31	$24.20	$24.17	11.8%	3.9%	14.3%	9.8%	14.5%	2.3%	1.5%	34.8M	-907.5M	-6.2M	0.86	7.74	26,421	22,797	946,878	1,140,765