WMT Options History — November 2012

In November 2012, WMT traded between $22.68 and $24.59. ATM implied volatility averaged 19.2%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.3% (HV 20d: 16.9%). Max pain ranged from $23.33 to $25.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.87.

Notable Days

2012-11-15: Highest Volume — 287,073 contracts
2012-11-15: Largest IV drop — 52.4% change
2012-11-14: Highest IV Rank — 100.0%
2012-11-02: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.70	$22.68	$24.59	$24.48	$24.01
Max Pain	$23.49	$23.33	$25.00	$25.00	$23.33
ATM IV	19.2%	13.8%	36.1%	17.9%	16.4%
Expected Move	4.6%	4.0%	5.9%	5.8%	4.1%
HV 20d	16.9%	11.6%	20.3%	16.0%	20.2%
HV 60d	14.8%	13.0%	16.1%	14.2%	16.1%
IV Rank	38.7%	16.4%	100.0%	35.3%	26.0%
IV Percentile	66.8%	32.1%	100.0%	76.2%	65.1%
Term Structure	-0.6%	-3.8%	0.3%	-3.2%	-0.1%
VWIV	16.5%	13.9%	20.1%	19.4%	15.5%
Skew 25d	2.4%	1.5%	3.3%	2.9%	2.3%
Skew 10d	5.1%	3.2%	6.7%	5.9%	6.3%
Call IV 25d	15.4%	13.4%	19.4%	18.7%	14.1%
Put IV 25d	17.8%	15.6%	22.3%	21.6%	16.4%
Bid-Ask Spread %	6.48	2.05	10.41	6.08	10.41
Gamma HHI	0.27	0.17	0.39	0.28	0.36
Net GEX	13.2M	-10.8M	30.2M	23.1M	30.2M
Net DEX	-395.1M	-811.4M	169.6M	-707.3M	-593.0M
Net VEX	-4.5M	-5.4M	-3.8M	-5.3M	-4.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.21	2.21	1.26	0.29
Total Volume	82,944.429	30,558	287,073	100,443	120,390
Total OI	1,987,901.571	1,876,869	2,114,166	1,986,519	1,936,758

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
2012-11-01	$24.48	$25.00	17.9%	5.8%	16.0%	35.3%	19.4%	2.9%	-3.2%	23.1M	-707.3M	-5.3M	1.26	6.08	44,487	55,956	981,255	1,005,264
2012-11-02	$24.26	$25.00	17.5%	5.9%	16.1%	33.5%	20.1%	2.9%	-3.8%	22.0M	-605.5M	-5.3M	1.08	3.42	36,021	39,069	996,405	1,010,592
2012-11-05	$24.38	$23.33	19.6%	4.8%	16.0%	42.1%	16.6%	2.7%	-0.7%	25.0M	-684.2M	-5.0M	0.49	2.33	23,526	11,463	996,366	1,011,021
2012-11-06	$24.59	$23.33	18.6%	4.6%	16.2%	38.2%	17.0%	2.6%	-0.6%	28.2M	-811.4M	-5.4M	1.21	2.83	23,253	28,200	1,007,895	1,008,819
2012-11-07	$24.37	$23.33	22.8%	5.0%	16.4%	55.4%	17.2%	2.6%	-0.6%	23.6M	-682.3M	-5.4M	2.21	2.05	16,137	35,595	1,016,472	1,018,086
2012-11-08	$24.16	$23.33	22.7%	4.9%	15.9%	55.0%	17.3%	3.3%	-0.2%	10.0M	-565.1M	-5.2M	1.97	5.44	23,847	46,995	1,018,005	1,027,443
2012-11-09	$24.10	$23.33	24.7%	5.0%	14.3%	63.6%	18.0%	2.8%	-0.6%	-6.7M	-526.3M	-5.2M	0.78	2.75	51,462	39,882	1,028,406	1,042,257
2012-11-12	$24.16	$23.33	28.1%	4.8%	14.3%	77.7%	18.2%	2.7%	-0.6%	23.6M	-576.9M	-5.0M	0.82	6.21	24,726	20,259	1,026,288	1,018,479
2012-11-13	$23.94	$23.33	30.5%	4.8%	13.8%	87.6%	17.1%	2.4%	-0.5%	19.8M	-460.9M	-4.8M	0.91	5.77	48,930	44,583	1,031,304	1,018,062
2012-11-14	$23.77	$23.33	36.1%	5.0%	11.6%	100.0%	17.7%	2.3%	-0.8%	18.4M	-399.3M	-4.7M	0.52	8.48	134,628	70,140	1,031,835	1,012,569
2012-11-15	$22.91	$23.33	17.2%	4.9%	16.5%	28.9%	16.9%	1.6%	-0.9%	-1.9M	69.7M	-4.2M	0.67	9.05	171,627	115,446	1,065,342	1,014,507
2012-11-16	$22.68	$23.33	15.9%	4.6%	16.3%	24.3%	16.3%	1.5%	-0.1%	-10.8M	169.6M	-3.9M	0.53	5.62	66,084	35,109	1,076,856	1,037,310
2012-11-19	$23.01	$23.33	14.1%	4.1%	17.9%	17.5%	14.9%	1.8%	0.3%	4.1M	-131.8M	-4.0M	0.65	6.35	54,957	35,733	939,423	937,446
2012-11-20	$23.00	$23.33	14.3%	4.1%	17.8%	18.0%	15.1%	2.1%	0.3%	2.6M	-128.4M	-3.9M	1.45	6.87	18,489	26,883	955,329	946,338
2012-11-21	$22.96	$23.33	14.0%	4.0%	17.7%	16.9%	14.6%	2.2%	0.2%	4.8M	-155.9M	-3.9M	0.83	7.64	18,138	15,042	964,035	954,621
2012-11-23	$23.40	$23.33	13.8%	4.0%	19.4%	16.4%	13.9%	2.3%	0.3%	12.8M	-303.0M	-4.1M	0.21	7.86	44,670	9,600	966,111	955,626
2012-11-26	$23.30	$23.33	14.6%	4.2%	19.3%	19.3%	15.7%	2.2%	0.0%	9.2M	-252.4M	-3.9M	0.97	7.94	22,653	21,900	962,370	949,800
2012-11-27	$23.17	$23.33	14.3%	4.1%	18.9%	18.2%	14.5%	2.8%	0.2%	5.8M	-185.8M	-3.8M	0.44	9.68	34,809	15,225	967,119	951,693
2012-11-28	$23.52	$23.33	14.7%	4.2%	20.1%	19.8%	15.8%	2.0%	-0.1%	16.0M	-364.1M	-3.8M	0.67	9.52	39,036	26,325	969,315	956,838
2012-11-29	$23.61	$23.33	14.5%	4.2%	20.3%	18.9%	14.7%	1.9%	-0.3%	17.1M	-402.9M	-3.8M	0.35	9.72	22,581	7,977	969,393	962,880
2012-11-30	$24.01	$23.33	16.4%	4.1%	20.2%	26.0%	15.5%	2.3%	-0.1%	30.2M	-593.0M	-4.0M	0.29	10.41	93,027	27,363	972,621	964,137