WMT Options History — December 2012

In December 2012, WMT traded between $22.54 and $24.10. ATM implied volatility averaged 17.0%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.2% (HV 20d: 19.2%). Max pain ranged from $23.33 to $24.17. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2012-12-04: Highest Volume — 2,515,191 contracts
  • 2012-12-11: Largest IV spike — 29.2% change
  • 2012-12-11: Highest IV Rank — 41.0%
  • 2012-12-28: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.24$22.54$24.10$23.78$22.74
Max Pain$23.79$23.33$24.17$23.33$23.33
ATM IV17.0%14.1%20.4%19.3%19.1%
Expected Move4.6%3.9%5.1%4.1%5.1%
HV 20d19.2%15.8%23.1%20.2%15.8%
HV 60d16.6%15.8%17.2%16.2%17.2%
IV Rank28.3%17.5%41.0%36.8%36.2%
IV Percentile70.1%36.5%92.9%88.1%88.9%
Term Structure0.5%-0.8%1.8%-0.2%-0.8%
VWIV16.7%13.6%18.7%15.5%18.4%
Skew 25d2.8%1.8%3.5%2.8%3.4%
Skew 10d6.7%4.5%8.5%7.3%7.1%
Call IV 25d15.3%13.3%17.1%14.3%16.6%
Put IV 25d18.1%15.3%20.3%17.1%19.9%
Bid-Ask Spread %6.653.2811.139.796.02
Gamma HHI0.230.170.380.280.17
Net GEX-1.7M-36.7M39.0M25.0M-7.5M
Net DEX24.4M-657.5M294.6M-488.0M126.2M
Net VEX-3.8M-4.2M-3.5M-3.9M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.042.420.591.04
Total Volume184,503.626,5922,515,19163,87052,389
Total OI1,786,664.851,476,8581,984,0681,973,0851,538,346

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$23.78$23.3319.3%4.1%20.2%36.8%15.5%2.8%-0.2%25.0M-488.0M-3.9M0.599.7940,07423,7961,004,778968,307
2012-12-04$24.04$23.3316.6%4.1%20.5%26.8%13.6%2.1%0.3%37.5M-657.5M-4.1M0.0410.902,410,659104,5321,009,128974,940
2012-12-05$23.88$24.1717.3%4.0%20.3%29.4%15.3%1.8%0.2%24.4M-152.0M-4.1M0.7311.1332,86524,045826,0021,000,848
2012-12-06$23.86$24.1714.4%3.9%20.1%18.5%15.2%2.3%0.5%21.8M-135.6M-4.2M1.1210.0812,85814,430832,4101,001,019
2012-12-07$24.10$24.1714.1%4.0%20.3%17.5%14.7%1.9%1.8%39.0M-272.1M-4.1M1.345.6713,07717,529838,6711,006,437
2012-12-10$24.05$24.1715.8%4.0%20.3%23.7%15.4%2.1%1.8%32.9M-273.8M-4.1M2.425.158,36120,202834,0781,004,721
2012-12-11$23.63$24.1720.4%4.4%21.2%41.0%15.2%3.1%1.2%2.9M2.6M-3.9M1.045.2922,46423,397836,8051,012,425
2012-12-12$22.98$24.1716.9%4.7%23.1%27.7%17.8%3.2%0.6%-25.2M294.6M-3.6M0.424.82248,844103,785840,2611,016,760
2012-12-13$23.01$24.1716.4%4.7%23.0%26.1%17.7%3.0%0.9%-17.8M243.5M-3.8M0.426.1151,50721,672800,1271,065,609
2012-12-14$22.92$24.1717.6%5.0%18.9%30.5%16.6%2.8%0.7%-18.6M225.7M-3.9M0.765.9826,30119,920822,4861,070,733
2012-12-17$23.07$24.1716.2%4.6%18.7%25.3%16.9%2.8%0.9%-14.7M157.2M-3.9M1.016.6719,68319,857824,0731,069,764
2012-12-18$23.17$24.1715.9%4.6%18.0%24.1%16.5%2.7%0.9%-12.7M115.3M-3.9M0.726.0224,03617,367828,3061,074,969
2012-12-19$22.84$24.1717.5%5.0%18.7%30.0%18.7%3.3%0.8%-23.6M293.2M-3.7M1.155.2219,61122,602829,4521,068,255
2012-12-20$23.00$23.3315.8%4.5%18.9%23.6%17.2%2.7%1.4%-13.0M158.4M-3.7M1.956.2516,94732,988796,4791,058,877
2012-12-21$22.88$23.3317.2%4.9%17.6%29.1%17.5%3.3%1.2%-10.4M242.5M-3.6M1.276.7223,70030,105797,4091,061,787
2012-12-24$22.86$23.3317.1%4.9%17.6%28.7%17.7%3.2%-0.2%-9.9M119.0M-3.5M1.323.2811,46915,123638,685838,173
2012-12-26$22.66$23.3317.1%4.9%17.7%28.7%18.5%3.5%-0.3%-13.9M171.6M-3.5M0.856.2234,51529,472646,005847,158
2012-12-27$22.73$23.3317.3%5.0%16.7%29.4%17.2%3.3%-0.6%-12.9M140.1M-3.7M0.776.4823,94318,387659,376855,816
2012-12-28$22.54$23.3318.5%5.1%16.8%33.8%18.1%3.2%-0.7%-36.7M177.1M-3.7M0.955.3219,22718,333669,078864,744
2012-12-31$22.74$23.3319.1%5.1%15.8%36.2%18.4%3.4%-0.8%-7.5M126.2M-3.7M1.046.0225,71926,670674,313864,033