WMT Options History — March 2013

In March 2013, WMT traded between $23.91 and $24.95. ATM implied volatility averaged 12.7%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 2.0% (HV 20d: 14.8%). Max pain ranged from $23.33 to $24.17. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2013-03-07: Highest Volume — 2,283,270 contracts
  • 2013-03-14: Largest IV drop — 23.3% change
  • 2013-03-04: Highest IV Rank — 30.5%
  • 2013-03-06: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.48$23.91$24.95$23.91$24.94
Max Pain$23.96$23.33$24.17$23.33$24.17
ATM IV12.7%10.9%17.6%15.6%11.3%
Expected Move3.4%3.1%3.8%3.6%3.2%
HV 20d14.8%12.2%17.1%15.7%12.2%
HV 60d13.4%12.6%14.7%14.2%12.6%
IV Rank12.2%5.3%30.5%22.8%6.8%
IV Percentile19.3%0.8%75.4%49.6%4.4%
Term Structure2.0%0.5%2.5%0.5%2.4%
VWIV12.1%11.1%13.8%13.5%11.6%
Skew 25d2.3%1.7%3.4%3.4%1.9%
Skew 10d5.5%4.3%7.1%7.1%5.8%
Call IV 25d11.3%10.5%12.1%12.1%11.2%
Put IV 25d13.5%12.6%15.4%15.4%13.0%
Bid-Ask Spread %4.792.108.508.506.12
Gamma HHI0.400.280.500.280.48
Net GEX32.9M13.7M51.2M30.5M48.7M
Net DEX-477.2M-674.3M-283.1M-367.7M-608.8M
Net VEX-4.0M-4.2M-3.8M-4.0M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.021.320.440.79
Total Volume169,738.224,3572,283,27055,79729,676
Total OI1,151,283.3945,1081,319,6971,266,1981,083,075

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$23.91$23.3315.6%3.6%15.7%22.8%13.5%3.4%0.5%30.5M-367.7M-4.0M0.448.5038,76917,028679,884586,314
2013-03-04$24.42$23.3317.6%3.7%17.1%30.5%13.8%2.7%1.6%42.2M-621.3M-3.9M0.647.0580,57151,174683,109576,057
2013-03-05$24.57$23.3314.4%3.7%16.3%18.6%13.3%2.4%1.9%43.0M-674.3M-3.8M0.477.2176,35936,258705,195589,884
2013-03-06$24.46$23.3314.3%3.8%15.7%18.2%13.2%2.5%1.4%42.6M-631.9M-4.0M0.486.6557,67527,696717,186596,946
2013-03-07$24.44$23.3311.6%3.6%15.6%7.9%11.3%1.8%1.9%48.5M-656.4M-4.0M0.024.532,241,99941,271723,711595,986
2013-03-08$24.34$24.1712.4%3.6%15.7%11.1%12.8%2.3%1.7%19.1M-342.5M-4.0M0.632.1030,62119,248609,759600,789
2013-03-11$24.33$24.1712.7%3.5%15.7%12.2%12.0%2.3%1.9%19.6M-360.6M-3.9M0.714.0230,21921,399614,472593,253
2013-03-12$24.53$24.1714.1%3.5%15.9%17.6%11.1%2.5%2.1%32.3M-457.6M-3.9M0.623.9635,74521,990632,115595,872
2013-03-13$24.55$24.1715.0%3.4%15.8%20.8%12.1%2.3%2.1%31.5M-461.4M-4.0M0.823.5613,38610,971643,110604,731
2013-03-14$24.41$24.1711.5%3.3%16.1%7.7%11.3%2.6%2.2%20.8M-395.9M-3.9M0.684.0529,88620,241640,059601,581
2013-03-15$24.17$24.1711.2%3.2%16.2%6.3%11.5%2.1%2.5%13.7M-283.1M-3.9M1.324.5824,66932,508656,028609,639
2013-03-18$24.08$24.1711.8%3.4%13.9%8.7%11.9%2.1%2.0%18.6M-286.1M-3.8M0.925.1516,24514,988520,128424,980
2013-03-19$24.15$24.1712.1%3.5%13.4%9.8%12.9%2.1%1.9%19.4M-308.6M-3.9M1.003.8118,70518,633529,056430,788
2013-03-20$24.33$24.1712.0%3.5%13.5%9.7%11.9%2.3%2.3%23.3M-356.6M-4.0M0.373.7438,06114,202537,051443,145
2013-03-21$24.38$24.1712.3%3.5%12.7%10.6%11.9%2.3%2.3%26.8M-387.8M-4.1M0.543.9416,0208,679555,951451,644
2013-03-22$24.76$24.1711.0%3.1%13.5%5.7%11.4%1.7%2.5%36.9M-514.8M-4.1M0.244.4650,85312,252564,219456,594
2013-03-25$24.95$24.1711.5%3.3%13.6%7.5%11.8%1.9%2.3%40.8M-605.1M-4.0M0.385.0272,99327,540577,539454,044
2013-03-26$24.92$24.1710.9%3.1%13.5%5.3%11.2%2.0%2.4%48.0M-601.9M-4.2M0.493.8630,26714,850606,789458,916
2013-03-27$24.93$24.1711.3%3.2%13.4%6.7%11.4%2.1%2.4%51.2M-622.0M-4.0M0.453.5435,33715,780612,825463,242
2013-03-28$24.94$24.1711.3%3.2%12.2%6.8%11.6%1.9%2.4%48.7M-608.8M-4.1M0.796.1216,62013,056612,987470,088