WMT Options History — February 2013

In February 2013, WMT traded between $22.92 and $23.89. ATM implied volatility averaged 16.2%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.8% (HV 20d: 12.4%). Max pain ranged from $23.33 to $23.33. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.02.

Notable Days

2013-02-15: Highest Volume — 311,400 contracts
2013-02-07: Largest IV spike — 45.7% change
2013-02-26: Highest IV Rank — 44.5%
2013-02-20: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.54	$22.92	$23.89	$23.50	$23.59
Max Pain	$23.33	$23.33	$23.33	$23.33	$23.33
ATM IV	16.2%	11.2%	21.3%	12.1%	18.1%
Expected Move	4.6%	3.9%	5.6%	4.4%	4.4%
HV 20d	12.4%	9.2%	15.1%	9.2%	15.1%
HV 60d	15.1%	14.0%	16.2%	15.9%	14.0%
IV Rank	25.3%	6.4%	44.5%	9.8%	32.4%
IV Percentile	57.5%	2.0%	94.0%	11.5%	81.7%
Term Structure	-1.8%	-3.5%	-0.0%	-1.7%	-1.8%
VWIV	16.5%	15.0%	19.8%	15.9%	16.6%
Skew 25d	3.3%	2.5%	4.9%	2.5%	3.3%
Skew 10d	6.9%	5.3%	9.1%	6.9%	8.0%
Call IV 25d	14.6%	12.9%	18.1%	14.2%	13.8%
Put IV 25d	17.9%	16.1%	22.2%	16.6%	17.1%
Bid-Ask Spread %	8.59	6.26	11.75	6.94	7.64
Gamma HHI	0.21	0.17	0.26	0.21	0.21
Net GEX	16.2M	1.1M	28.0M	13.4M	16.7M
Net DEX	-238.2M	-363.7M	4.1M	-230.7M	-228.3M
Net VEX	-3.6M	-4.0M	-3.4M	-3.5M	-4.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.38	1.65	1.13	0.95
Total Volume	79,826.842	16,620	311,400	32,211	54,858
Total OI	1,124,507.842	1,023,681	1,252,281	1,025,292	1,252,281

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
2013-02-01	$23.50	$23.33	12.1%	4.4%	9.2%	9.8%	15.9%	2.5%	-1.7%	13.4M	-230.7M	-3.5M	1.13	6.94	15,099	17,112	546,444	478,848
2013-02-04	$23.21	$23.33	15.4%	4.5%	10.3%	22.1%	16.4%	2.7%	-1.8%	8.1M	-137.7M	-3.4M	1.62	7.62	22,671	36,774	546,528	477,153
2013-02-05	$23.59	$23.33	15.7%	4.6%	11.0%	23.5%	15.9%	2.8%	-2.1%	15.7M	-263.4M	-3.6M	0.53	7.90	45,606	24,201	551,262	484,341
2013-02-06	$23.77	$23.33	11.2%	4.3%	11.2%	6.4%	15.7%	3.0%	-1.2%	21.1M	-336.3M	-3.6M	1.06	7.16	18,813	19,950	571,455	489,090
2013-02-07	$23.74	$23.33	16.3%	4.7%	11.2%	25.6%	15.7%	2.8%	-2.2%	20.2M	-320.7M	-3.6M	1.07	7.70	12,021	12,912	576,009	496,506
2013-02-08	$23.83	$23.33	14.7%	4.2%	11.1%	19.8%	15.0%	3.1%	-1.0%	21.1M	-363.7M	-3.5M	0.78	7.49	18,930	14,706	577,494	501,321
2013-02-11	$23.80	$23.33	15.0%	4.3%	11.1%	20.7%	15.5%	3.1%	-1.5%	20.7M	-344.6M	-3.4M	0.38	8.39	22,977	8,733	578,709	501,924
2013-02-12	$23.80	$23.33	14.8%	4.2%	10.8%	20.0%	16.0%	2.7%	-1.6%	20.4M	-337.7M	-3.5M	1.10	6.26	10,587	11,661	580,884	504,015
2013-02-13	$23.80	$23.33	14.6%	4.2%	10.5%	19.1%	16.0%	2.7%	-1.4%	21.2M	-342.6M	-3.5M	0.77	7.51	9,387	7,233	584,619	507,636
2013-02-14	$23.61	$23.33	16.2%	4.6%	11.0%	25.1%	15.2%	3.2%	-2.2%	17.3M	-277.7M	-3.5M	0.40	7.83	40,488	16,359	584,916	502,878
2013-02-15	$23.10	$23.33	18.6%	5.3%	13.5%	34.4%	19.8%	4.9%	-2.6%	10.8M	-68.2M	-3.4M	1.65	11.25	117,585	193,815	603,003	510,666
2013-02-19	$22.92	$23.33	18.5%	5.3%	13.7%	34.0%	19.7%	3.9%	-3.0%	1.1M	4.1M	-3.6M	1.06	9.17	51,030	53,889	605,361	520,242
2013-02-20	$23.07	$23.33	19.6%	5.6%	13.8%	37.9%	19.8%	4.1%	-3.5%	4.5M	-70.5M	-3.6M	1.17	11.75	78,429	91,890	616,926	541,776
2013-02-21	$23.42	$23.33	16.0%	4.6%	14.8%	24.5%	16.6%	4.3%	-1.0%	15.6M	-188.2M	-3.8M	1.12	9.64	98,748	111,033	634,848	567,960
2013-02-22	$23.47	$23.33	14.5%	4.3%	14.7%	18.8%	15.1%	3.8%	-0.8%	14.7M	-214.9M	-3.7M	0.69	9.42	48,867	33,639	655,236	583,236
2013-02-25	$23.48	$23.33	19.7%	4.8%	14.1%	38.5%	17.1%	3.7%	-1.8%	15.3M	-198.0M	-3.9M	1.49	9.83	33,696	50,343	641,250	543,813
2013-02-26	$23.70	$23.33	21.3%	4.7%	14.3%	44.5%	16.0%	3.0%	-2.4%	21.6M	-263.5M	-4.0M	1.37	9.66	28,146	38,634	655,416	553,428
2013-02-27	$23.89	$23.33	15.5%	3.9%	14.3%	22.7%	15.3%	3.2%	-0.0%	28.0M	-343.0M	-4.0M	0.97	10.12	23,331	22,557	668,442	569,733
2013-02-28	$23.59	$23.33	18.1%	4.4%	15.1%	32.4%	16.6%	3.3%	-1.8%	16.7M	-228.3M	-4.0M	0.95	7.64	28,098	26,760	675,018	577,263