WMT Options History — September 2012

In September 2012, WMT traded between $24.50 and $25.05. ATM implied volatility averaged 13.4%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.9% (HV 20d: 14.3%). Max pain ranged from $24.17 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.12.

Notable Days

2012-09-21: Highest Volume — 111,315 contracts
2012-09-10: Largest IV spike — 36.0% change
2012-09-04: Highest IV Rank — 37.8%
2012-09-04: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.73	$24.50	$25.05	$24.50	$24.60
Max Pain	$24.56	$24.17	$25.00	$24.17	$25.00
ATM IV	13.4%	11.5%	18.5%	18.5%	11.5%
Expected Move	3.7%	3.3%	4.5%	4.5%	3.3%
HV 20d	14.3%	12.4%	17.4%	15.1%	12.4%
HV 60d	14.6%	13.6%	15.1%	14.6%	13.6%
IV Rank	16.4%	8.6%	37.8%	37.8%	8.6%
IV Percentile	20.7%	4.0%	68.3%	68.3%	4.0%
Term Structure	1.1%	-0.1%	2.0%	-0.1%	2.0%
VWIV	13.6%	11.8%	15.8%	15.8%	11.8%
Skew 25d	2.2%	1.4%	2.9%	2.7%	1.9%
Skew 10d	5.4%	3.9%	6.9%	5.6%	3.9%
Call IV 25d	12.6%	11.5%	14.5%	14.5%	11.7%
Put IV 25d	14.8%	13.3%	17.2%	17.2%	13.6%
Bid-Ask Spread %	6.25	2.60	10.19	7.43	10.19
Gamma HHI	0.57	0.46	0.66	0.46	0.55
Net GEX	47.8M	35.3M	83.3M	41.6M	35.8M
Net DEX	-1.13B	-1.38B	-913.2M	-1.07B	-913.2M
Net VEX	-5.5M	-6.1M	-5.2M	-6.1M	-5.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.31	3.22	1.34	1.15
Total Volume	55,698.474	17,895	111,315	71,442	46,509
Total OI	2,045,409.316	1,694,958	2,248,563	2,100,510	1,782,384

Daily Data (19 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
2012-09-04	$24.50	$24.17	18.5%	4.5%	15.1%	37.8%	15.8%	2.7%	-0.1%	41.6M	-1.07B	-6.1M	1.34	7.43	30,498	40,944	954,594	1,145,916
2012-09-05	$24.52	$24.17	17.9%	4.5%	15.1%	35.3%	15.5%	2.5%	0.2%	35.3M	-1.08B	-6.0M	2.25	6.81	16,077	36,132	955,107	1,167,408
2012-09-06	$24.94	$24.17	13.5%	3.8%	16.2%	16.7%	13.5%	1.4%	0.6%	46.6M	-1.31B	-5.8M	0.89	8.33	29,799	26,418	958,377	1,167,147
2012-09-07	$24.61	$24.17	12.7%	3.8%	16.8%	13.6%	15.2%	2.8%	1.1%	41.0M	-1.11B	-5.8M	0.87	6.89	31,356	27,144	956,130	1,175,244
2012-09-10	$24.50	$24.17	17.3%	4.2%	16.8%	32.7%	14.2%	2.9%	0.6%	43.0M	-1.05B	-5.6M	0.89	6.58	12,426	11,106	959,520	1,164,531
2012-09-11	$24.69	$24.17	14.7%	3.8%	17.0%	21.7%	14.4%	2.9%	0.9%	47.4M	-1.18B	-5.6M	0.60	3.72	25,014	15,000	957,384	1,166,772
2012-09-12	$24.69	$24.17	12.9%	3.7%	16.7%	14.3%	14.1%	2.7%	1.0%	48.7M	-1.18B	-5.4M	0.43	5.33	12,471	5,424	963,054	1,170,774
2012-09-13	$25.05	$24.17	12.8%	3.7%	17.4%	14.0%	13.5%	2.3%	1.2%	56.3M	-1.38B	-5.4M	0.58	6.16	51,465	30,018	962,559	1,172,124
2012-09-14	$24.83	$24.17	12.9%	3.7%	13.2%	14.2%	13.4%	2.4%	1.1%	52.8M	-1.24B	-5.7M	2.33	6.61	19,158	44,646	972,231	1,178,649
2012-09-17	$24.66	$24.17	13.2%	3.8%	13.5%	15.5%	15.0%	2.4%	0.9%	45.4M	-1.17B	-5.3M	3.22	5.76	11,850	38,187	968,121	1,193,277
2012-09-18	$24.65	$25.00	12.9%	3.7%	13.4%	14.2%	13.4%	2.0%	1.0%	42.6M	-1.15B	-5.3M	0.80	4.24	24,255	19,320	970,005	1,213,527
2012-09-19	$24.79	$25.00	12.0%	3.4%	12.6%	10.4%	12.6%	1.8%	1.7%	57.3M	-1.23B	-5.3M	0.31	4.38	39,258	12,291	984,390	1,225,095
2012-09-20	$24.92	$25.00	12.0%	3.4%	12.6%	10.6%	13.1%	2.0%	1.7%	83.3M	-1.30B	-5.5M	1.72	6.99	39,921	68,667	984,510	1,225,044
2012-09-21	$24.82	$25.00	11.8%	3.4%	12.6%	9.9%	12.0%	1.6%	1.3%	63.5M	-1.19B	-5.4M	0.50	7.52	74,451	36,864	982,368	1,266,195
2012-09-24	$24.91	$25.00	11.9%	3.4%	12.5%	10.0%	12.4%	2.2%	1.6%	43.5M	-1.10B	-5.2M	0.72	4.05	29,850	21,447	844,284	850,674
2012-09-25	$24.75	$25.00	12.1%	3.5%	12.7%	11.0%	12.5%	1.8%	1.5%	42.7M	-1000.0M	-5.5M	0.81	8.30	27,330	22,062	860,427	861,864
2012-09-26	$24.73	$25.00	12.2%	3.5%	12.7%	11.5%	13.1%	1.8%	1.6%	40.6M	-980.5M	-5.5M	1.22	2.60	9,462	11,565	875,901	874,161
2012-09-27	$24.66	$25.00	11.7%	3.4%	12.7%	9.3%	12.0%	1.9%	1.9%	41.1M	-939.3M	-5.4M	0.67	6.88	35,790	24,096	876,060	876,969
2012-09-28	$24.60	$25.00	11.5%	3.3%	12.4%	8.6%	11.8%	1.9%	2.0%	35.8M	-913.2M	-5.6M	1.15	10.19	21,603	24,906	891,402	890,982