WMT Options History — October 2012

In October 2012, WMT traded between $24.58 and $25.72. ATM implied volatility averaged 15.7%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.4% (HV 20d: 12.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.18.

Notable Days

2012-10-10: Highest Volume — 289,407 contracts
2012-10-02: Largest IV spike — 46.6% change
2012-10-25: Highest IV Rank — 36.5%
2012-10-31: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.10	$24.58	$25.72	$24.68	$25.01
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	15.7%	11.8%	18.2%	12.3%	18.1%
Expected Move	4.5%	3.5%	5.6%	3.5%	5.6%
HV 20d	12.3%	9.3%	14.1%	12.4%	14.0%
HV 60d	13.8%	13.5%	14.3%	13.6%	13.5%
IV Rank	26.1%	9.7%	36.5%	11.8%	36.1%
IV Percentile	52.2%	6.7%	79.8%	11.5%	79.0%
Term Structure	-0.9%	-3.2%	2.0%	1.7%	-3.2%
VWIV	16.1%	12.2%	19.7%	12.2%	19.7%
Skew 25d	2.2%	1.3%	2.6%	1.7%	2.4%
Skew 10d	4.7%	3.1%	5.6%	3.7%	5.6%
Call IV 25d	15.1%	11.7%	18.7%	12.1%	18.7%
Put IV 25d	17.3%	13.5%	21.0%	13.8%	21.0%
Bid-Ask Spread %	5.52	3.40	9.98	7.53	9.98
Gamma HHI	0.40	0.24	0.59	0.55	0.30
Net GEX	29.6M	-52.5M	47.7M	38.1M	33.9M
Net DEX	-1.14B	-1.50B	-914.5M	-926.2M	-1.03B
Net VEX	-5.5M	-5.9M	-5.0M	-5.7M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.43	2.21	0.43	0.58
Total Volume	68,261.571	17,973	289,407	26,091	32,625
Total OI	1,933,207.857	1,768,899	2,107,926	1,768,899	1,982,736

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
2012-10-01	$24.68	$25.00	12.3%	3.5%	12.4%	11.8%	12.2%	1.7%	1.7%	38.1M	-926.2M	-5.7M	0.43	7.53	18,201	7,890	881,628	887,271
2012-10-02	$24.58	$25.00	18.0%	3.8%	11.7%	35.7%	12.6%	1.9%	1.6%	38.9M	-914.5M	-5.3M	1.16	3.40	9,516	11,001	884,079	890,988
2012-10-03	$24.73	$25.00	12.9%	3.5%	11.9%	14.3%	12.2%	1.3%	2.0%	42.8M	-1.00B	-5.5M	0.93	8.67	28,200	26,229	884,616	892,164
2012-10-04	$24.91	$25.00	12.3%	3.5%	10.5%	11.6%	12.7%	1.8%	1.9%	47.7M	-1.08B	-5.4M	2.16	9.42	17,151	37,011	895,503	909,333
2012-10-05	$25.04	$25.00	11.8%	3.9%	9.5%	9.7%	13.5%	2.0%	-0.4%	35.0M	-1.18B	-5.2M	0.95	5.05	37,680	35,715	897,411	924,873
2012-10-08	$25.08	$25.00	15.3%	4.1%	9.3%	24.2%	14.8%	2.3%	-0.7%	45.7M	-1.20B	-5.1M	1.14	5.20	18,690	21,378	902,943	914,700
2012-10-09	$24.71	$25.00	15.5%	4.1%	10.5%	25.0%	14.2%	2.5%	-0.8%	35.6M	-933.6M	-5.4M	0.88	4.47	32,925	28,842	906,072	926,109
2012-10-10	$25.14	$25.00	14.0%	4.7%	12.2%	18.7%	16.2%	2.2%	-1.3%	41.1M	-1.21B	-5.3M	0.85	6.60	156,753	132,654	917,286	936,696
2012-10-11	$25.00	$25.00	16.1%	4.6%	11.3%	27.8%	16.0%	2.2%	-1.1%	34.5M	-1.08B	-5.9M	1.56	6.60	35,151	54,867	972,285	993,174
2012-10-12	$25.27	$25.00	16.6%	4.7%	11.4%	29.6%	16.5%	2.1%	-1.2%	38.5M	-1.30B	-5.4M	2.21	5.38	26,397	58,371	976,101	1,006,068
2012-10-15	$25.72	$25.00	16.9%	4.8%	12.4%	30.8%	18.0%	2.4%	-1.6%	44.6M	-1.49B	-5.4M	1.59	6.47	56,979	90,555	965,901	1,009,998
2012-10-16	$25.64	$25.00	16.1%	4.6%	12.6%	27.8%	17.4%	2.5%	-1.3%	33.6M	-1.43B	-5.4M	0.95	4.02	25,920	24,522	985,566	1,063,851
2012-10-17	$25.68	$25.00	15.8%	4.5%	12.5%	26.6%	16.2%	2.6%	-1.4%	37.4M	-1.50B	-5.0M	0.88	5.48	51,048	44,952	989,097	1,075,182
2012-10-18	$25.52	$25.00	15.9%	4.5%	12.7%	26.7%	17.1%	2.5%	-1.4%	30.3M	-1.35B	-5.4M	1.72	3.84	27,336	46,956	993,549	1,087,557
2012-10-19	$25.21	$25.00	17.4%	5.0%	13.5%	33.1%	18.1%	2.5%	-1.7%	18.8M	-1.15B	-5.7M	1.65	5.29	28,554	47,157	1,006,659	1,101,267
2012-10-22	$25.22	$25.00	17.3%	4.9%	13.4%	32.5%	17.5%	2.5%	-1.8%	27.0M	-1.12B	-5.5M	1.04	3.89	16,338	16,929	962,670	1,003,431
2012-10-23	$24.92	$25.00	17.9%	5.1%	13.9%	35.4%	18.7%	2.4%	-2.3%	18.4M	-931.6M	-5.8M	1.70	3.43	17,922	30,396	969,684	1,006,173
2012-10-24	$24.94	$25.00	17.9%	5.1%	13.9%	35.2%	18.3%	2.3%	-2.0%	18.2M	-955.6M	-5.6M	0.96	3.42	9,171	8,802	974,286	1,015,422
2012-10-25	$25.11	$25.00	18.2%	5.2%	14.0%	36.5%	18.2%	2.3%	-2.2%	13.0M	-1.08B	-5.5M	0.62	4.16	17,073	10,632	975,738	1,024,410
2012-10-26	$25.04	$25.00	14.0%	5.2%	14.1%	18.8%	17.8%	2.2%	-2.2%	-52.5M	-1.02B	-5.6M	0.80	3.52	19,425	15,579	978,537	1,026,351
2012-10-31	$25.01	$25.00	18.1%	5.6%	14.0%	36.1%	19.7%	2.4%	-3.2%	33.9M	-1.03B	-5.4M	0.58	9.98	20,652	11,973	980,478	1,002,258