WMT Options History — January 2013

In January 2013, WMT traded between $22.77 and $23.32. ATM implied volatility averaged 13.4%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.7% (HV 20d: 12.7%). Max pain ranged from $22.50 to $23.33. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2013-01-10: Highest Volume — 80,889 contracts
  • 2013-01-07: Largest IV spike — 23.9% change
  • 2013-01-02: Highest IV Rank — 26.9%
  • 2013-01-14: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.03$22.77$23.32$23.08$23.32
Max Pain$22.98$22.50$23.33$23.33$23.33
ATM IV13.4%11.0%16.6%16.6%12.8%
Expected Move3.7%3.2%4.2%4.1%3.5%
HV 20d12.7%9.2%16.8%16.8%9.2%
HV 60d16.6%15.8%17.5%17.5%15.8%
IV Rank14.8%5.8%26.9%26.9%12.7%
IV Percentile27.0%1.2%66.7%66.7%19.8%
Term Structure2.4%0.2%3.3%0.2%3.2%
VWIV13.7%11.4%15.8%15.6%12.7%
Skew 25d2.4%1.9%2.8%2.3%2.5%
Skew 10d6.3%4.7%8.3%6.8%7.7%
Call IV 25d12.4%10.9%14.0%14.0%12.3%
Put IV 25d14.8%12.9%16.4%16.4%14.8%
Bid-Ask Spread %6.444.268.626.418.52
Gamma HHI0.210.160.250.160.23
Net GEX1.4M-7.1M12.8M-2.4M12.4M
Net DEX751.2K-176.2M132.3M26.8M-173.4M
Net VEX-3.4M-3.6M-3.2M-3.6M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.373.950.631.12
Total Volume44,733.85718,57680,88969,56134,635
Total OI1,363,023896,3161,677,6271,556,8531,012,917

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$23.08$23.3316.6%4.1%16.8%26.9%15.6%2.3%0.2%-2.4M26.8M-3.6M0.636.4142,73526,826685,032871,821
2013-01-03$22.93$23.3314.2%3.8%16.2%17.7%14.6%2.6%0.4%-5.0M89.8M-3.6M0.966.8321,57320,706697,464878,601
2013-01-04$23.02$22.5012.9%3.8%16.2%12.9%14.2%2.8%2.4%-1.6M44.1M-3.5M0.766.0739,49529,994703,407883,470
2013-01-07$22.80$22.5016.0%4.1%16.5%24.5%14.3%2.6%1.9%-5.7M119.4M-3.4M1.426.5623,59233,546706,587881,280
2013-01-08$22.86$22.5016.3%4.1%16.0%25.6%14.2%2.6%2.0%-4.1M109.9M-3.3M1.235.7113,94717,112702,021877,593
2013-01-09$22.86$22.5013.6%4.0%16.0%15.3%13.6%2.5%2.1%-3.1M95.0M-3.4M0.896.8617,94015,996704,421878,610
2013-01-10$22.79$22.5014.3%4.1%15.0%18.1%15.5%2.6%2.1%-6.1M110.3M-3.3M1.924.9727,67853,211711,231884,370
2013-01-11$22.88$22.5014.1%4.0%11.5%17.3%13.5%2.5%2.2%-4.7M87.2M-3.4M0.606.1919,28411,532713,835909,948
2013-01-14$22.77$22.5014.7%4.2%11.6%19.6%14.6%2.7%2.3%-7.1M132.3M-3.3M3.954.7910,73442,432715,665900,126
2013-01-15$22.99$22.5012.8%3.7%12.0%12.3%13.7%2.4%2.7%-1.9M64.1M-3.3M0.715.7424,55517,382719,628926,652
2013-01-16$23.07$23.3312.5%3.6%11.9%11.3%13.2%2.2%2.9%-112.2K49.6M-3.4M0.926.1512,63611,574723,936936,654
2013-01-17$22.95$23.3312.3%3.5%11.9%10.6%15.8%2.5%2.7%-4.3M104.8M-3.3M1.455.0919,75528,740719,061935,685
2013-01-18$23.07$22.5011.4%3.3%10.9%7.4%12.5%2.3%3.3%149.1K69.2M-3.3M1.095.0623,58925,704725,313952,314
2013-01-22$23.19$23.3311.1%3.2%10.8%6.1%12.6%1.9%3.0%6.6M-137.9M-3.3M0.785.2924,13518,789483,009413,307
2013-01-23$23.16$23.3311.0%3.2%10.6%5.8%11.4%1.9%2.8%8.4M-119.8M-3.3M1.334.2618,00623,961496,203424,635
2013-01-24$23.26$23.3311.2%3.2%10.6%6.3%12.1%2.1%2.9%10.7M-155.4M-3.2M0.377.8830,66011,352506,400425,982
2013-01-25$23.00$23.3311.5%3.4%11.0%7.6%14.4%2.6%2.4%6.8M-70.9M-3.3M2.247.4714,77533,150521,925428,844
2013-01-28$23.12$23.3313.2%3.4%11.1%14.0%12.6%2.1%2.5%7.8M-110.0M-3.3M0.578.6219,92311,418523,986450,318
2013-01-29$23.30$23.3314.6%3.5%10.8%19.2%12.9%2.1%2.7%12.8M-176.2M-3.3M0.638.2329,28018,483531,606455,814
2013-01-30$23.25$23.3314.5%3.5%10.5%18.9%13.7%2.7%3.0%10.6M-143.0M-3.5M1.178.428,57110,005539,034464,778
2013-01-31$23.32$23.3312.8%3.5%9.2%12.7%12.7%2.5%3.2%12.4M-173.4M-3.5M1.128.5216,37418,261541,254471,663