WMT Options History — April 2013

In April 2013, WMT traded between $25.14 and $26.36. ATM implied volatility averaged 16.3%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 5.0% (HV 20d: 11.3%). Max pain ranged from $24.17 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2013-04-18: Highest Volume — 135,447 contracts
  • 2013-04-29: Largest IV spike — 38.3% change
  • 2013-04-18: Highest IV Rank — 32.7%
  • 2013-04-18: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.90$25.14$26.36$25.14$25.91
Max Pain$24.85$24.17$25.00$24.17$25.00
ATM IV16.3%12.5%19.1%15.1%17.5%
Expected Move4.7%3.6%5.5%3.7%5.3%
HV 20d11.3%9.1%14.6%11.7%14.6%
HV 60d12.9%12.1%13.9%12.4%13.9%
IV Rank22.5%6.4%32.7%21.3%26.2%
IV Percentile59.8%14.3%88.5%47.2%73.4%
Term Structure-1.3%-2.9%2.1%2.0%-2.9%
VWIV17.0%12.8%19.9%13.4%19.4%
Skew 25d3.0%2.3%4.3%2.5%3.0%
Skew 10d7.2%5.2%9.6%6.5%7.3%
Call IV 25d15.1%11.2%17.9%12.2%17.2%
Put IV 25d18.1%13.5%22.3%14.7%20.2%
Bid-Ask Spread %5.583.999.185.235.60
Gamma HHI0.310.240.440.440.27
Net GEX33.3M22.7M46.8M46.8M28.1M
Net DEX-836.5M-1.01B-658.2M-689.3M-658.2M
Net VEX-4.1M-4.3M-3.8M-4.1M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.552.041.290.98
Total Volume62,273.59127,360135,44752,02958,551
Total OI1,190,999.7271,082,5831,315,6681,082,5831,206,969

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$25.14$24.1715.1%3.7%11.7%21.3%13.4%2.5%2.0%46.8M-689.3M-4.1M1.295.2322,70429,325612,123470,460
2013-04-02$25.34$24.1716.3%3.6%9.8%25.6%12.8%2.3%2.0%46.0M-781.1M-4.0M0.893.9928,61125,482615,738480,660
2013-04-03$25.33$24.1717.4%3.7%9.7%29.8%13.0%2.8%2.1%42.5M-757.5M-3.9M1.025.0323,27123,730627,864496,050
2013-04-04$25.40$24.1714.3%3.8%9.4%18.0%13.8%2.4%2.1%42.1M-781.0M-4.1M1.404.8412,87318,021632,403502,533
2013-04-05$25.46$25.0012.6%4.1%9.3%9.5%14.8%3.1%-0.7%42.1M-774.5M-4.2M1.045.6822,53923,535629,625514,176
2013-04-08$25.76$25.0014.8%4.4%9.6%15.6%16.6%2.8%-1.2%41.1M-907.8M-4.0M0.556.0361,60534,140639,678509,808
2013-04-09$26.04$25.0015.8%4.6%9.9%19.3%16.8%2.6%-1.7%39.9M-1.01B-3.8M0.595.4662,16936,867653,067520,611
2013-04-10$25.79$25.0012.6%4.5%10.8%6.6%16.0%2.5%-1.5%42.2M-912.7M-3.9M1.834.6625,40146,362667,497537,690
2013-04-11$25.93$25.0015.8%4.5%10.8%19.6%16.5%2.3%-1.5%34.4M-937.9M-4.0M1.035.0226,18126,862672,435564,981
2013-04-12$26.19$25.0016.6%4.8%10.6%22.7%17.0%2.6%-1.7%32.3M-1.01B-4.1M0.765.9241,85331,671672,708574,488
2013-04-15$26.16$25.0018.4%5.3%9.5%30.0%18.9%2.6%-2.4%30.3M-983.9M-4.1M0.985.9446,14945,147673,194575,622
2013-04-16$26.23$25.0017.4%5.0%9.1%25.9%17.2%2.9%-2.3%25.5M-992.6M-4.0M0.605.9023,91914,271664,128580,380
2013-04-17$26.17$25.0018.2%5.2%9.4%29.1%18.2%2.8%-2.9%27.3M-970.6M-4.0M0.665.2747,52631,497671,796581,511
2013-04-18$25.72$25.0019.1%5.5%11.9%32.7%19.9%4.3%-2.4%27.4M-771.5M-4.2M2.044.5244,58090,867680,061590,610
2013-04-19$26.10$25.0018.4%5.3%12.6%29.6%18.4%4.1%-2.4%23.9M-892.1M-4.3M1.226.3232,97040,263692,502623,166
2013-04-22$25.99$25.0017.6%5.0%12.0%26.5%18.5%3.6%-2.4%22.7M-691.6M-4.1M0.974.7025,41624,555618,483529,995
2013-04-23$26.36$25.0016.5%4.7%12.6%22.1%18.5%3.4%-1.7%26.3M-841.5M-4.1M0.859.1824,25520,505632,187539,502
2013-04-24$26.01$25.0017.7%5.1%13.8%26.9%18.6%3.2%-2.5%25.5M-701.2M-4.0M1.404.5117,59224,576633,303544,554
2013-04-25$26.22$25.0017.7%5.1%14.0%26.8%17.8%3.4%-2.5%26.8M-762.3M-4.1M0.975.2213,86613,494635,880554,295
2013-04-26$26.35$25.0012.5%4.6%14.0%6.4%18.0%3.2%-1.5%30.6M-836.2M-4.0M1.248.1218,67523,235638,751558,615
2013-04-29$26.13$25.0017.3%5.2%14.4%25.4%18.8%3.2%-2.9%28.9M-737.2M-4.1M0.635.6839,81025,098639,294542,601
2013-04-30$25.91$25.0017.5%5.3%14.6%26.2%19.4%3.0%-2.9%28.1M-658.2M-4.0M0.985.6029,56828,983653,280553,689