WMT Options History — May 2013

In May 2013, WMT traded between $24.95 and $26.62. ATM implied volatility averaged 18.0%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.2% (HV 20d: 13.8%). Max pain ranged from $24.17 to $25.83. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.87.

Notable Days

2013-05-07: Highest Volume — 1,811,607 contracts
2013-05-16: Largest IV drop — 65.1% change
2013-05-15: Highest IV Rank — 100.0%
2013-05-02: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.94	$24.95	$26.62	$26.02	$24.95
Max Pain	$25.57	$24.17	$25.83	$25.00	$25.83
ATM IV	18.0%	12.1%	37.9%	18.2%	14.5%
Expected Move	4.1%	3.5%	5.3%	5.3%	4.0%
HV 20d	13.8%	12.2%	15.0%	14.7%	13.5%
HV 60d	13.2%	12.6%	13.6%	13.6%	12.9%
IV Rank	27.7%	4.6%	100.0%	28.8%	13.3%
IV Percentile	52.7%	11.1%	100.0%	82.9%	38.9%
Term Structure	-0.6%	-3.2%	0.5%	-3.2%	0.3%
VWIV	14.8%	12.4%	20.0%	19.8%	14.1%
Skew 25d	2.3%	1.7%	3.1%	3.0%	2.1%
Skew 10d	5.8%	4.5%	7.7%	7.7%	5.3%
Call IV 25d	13.7%	11.8%	17.4%	17.4%	13.6%
Put IV 25d	15.9%	13.5%	20.4%	20.4%	15.6%
Bid-Ask Spread %	6.10	4.35	7.78	6.05	7.22
Gamma HHI	0.32	0.17	0.47	0.27	0.17
Net GEX	25.3M	5.5M	38.0M	26.4M	5.5M
Net DEX	-506.6M	-862.2M	-62.8M	-687.2M	-62.8M
Net VEX	-4.3M	-4.5M	-4.1M	-4.2M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.01	1.51	1.20	0.75
Total Volume	151,805.045	28,917	1,811,607	44,703	39,525
Total OI	1,221,531.136	1,078,614	1,343,298	1,224,864	1,174,533

Daily Data (22 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
2013-05-01	$26.02	$25.00	18.2%	5.3%	14.7%	28.8%	19.8%	3.0%	-3.2%	26.4M	-687.2M	-4.2M	1.20	6.05	20,292	24,411	659,166	565,698
2013-05-02	$26.15	$25.00	15.9%	5.3%	14.7%	19.9%	20.0%	2.9%	-3.2%	28.8M	-747.8M	-4.2M	0.30	6.50	50,733	14,997	668,052	582,348
2013-05-03	$26.42	$25.00	13.4%	4.9%	15.0%	9.9%	19.9%	3.1%	-2.5%	30.8M	-862.2M	-4.3M	0.42	6.97	39,096	16,404	680,205	589,425
2013-05-06	$26.28	$24.17	17.6%	3.9%	14.8%	26.5%	15.9%	2.9%	-0.5%	32.3M	-799.7M	-4.2M	0.31	6.62	116,334	35,772	688,770	592,710
2013-05-07	$26.28	$24.17	23.7%	3.9%	14.3%	50.8%	14.0%	1.9%	-1.0%	38.0M	-841.4M	-4.2M	0.01	5.43	1,785,642	25,965	712,851	612,909
2013-05-08	$26.08	$25.83	21.4%	4.3%	14.1%	41.7%	15.2%	2.4%	-0.8%	24.6M	-532.6M	-4.3M	0.80	5.34	47,133	37,497	611,535	623,532
2013-05-09	$26.13	$25.83	22.3%	4.3%	14.0%	45.2%	15.1%	2.5%	-0.8%	25.5M	-562.4M	-4.3M	1.09	4.88	13,854	15,063	629,793	641,814
2013-05-10	$26.30	$25.83	21.9%	4.0%	13.8%	43.6%	14.6%	2.4%	-0.7%	29.6M	-638.4M	-4.3M	1.37	4.35	16,074	22,029	631,323	645,177
2013-05-13	$26.17	$25.83	29.6%	4.4%	13.9%	74.2%	15.3%	2.8%	-1.0%	26.7M	-576.7M	-4.3M	1.02	4.88	28,290	28,848	633,747	641,265
2013-05-14	$26.26	$25.83	31.1%	4.2%	13.9%	80.0%	15.5%	2.8%	-1.0%	27.7M	-619.3M	-4.2M	1.51	5.66	30,231	45,654	631,536	637,632
2013-05-15	$26.62	$25.83	37.9%	4.5%	14.7%	100.0%	15.9%	2.3%	-1.6%	31.1M	-780.8M	-4.2M	0.88	7.42	94,773	83,718	636,054	651,162
2013-05-16	$26.17	$25.83	13.2%	3.8%	14.6%	8.6%	13.0%	2.0%	-0.0%	20.2M	-575.3M	-4.1M	1.20	6.66	88,377	105,843	662,220	674,826
2013-05-17	$25.96	$25.83	12.8%	3.7%	14.0%	6.9%	12.6%	1.9%	0.2%	28.7M	-448.9M	-4.3M	0.89	5.50	70,506	62,712	679,893	663,405
2013-05-20	$25.80	$25.83	12.3%	3.5%	14.1%	5.3%	12.4%	1.8%	0.3%	28.4M	-379.4M	-4.1M	1.19	5.08	21,702	25,929	564,876	513,738
2013-05-21	$25.80	$25.83	12.5%	3.6%	13.0%	5.8%	12.8%	1.7%	0.3%	26.7M	-365.0M	-4.4M	0.69	5.98	29,649	20,523	571,839	528,777
2013-05-22	$25.68	$25.83	12.1%	3.5%	12.3%	4.6%	12.6%	2.0%	0.4%	23.1M	-327.8M	-4.2M	0.74	7.78	40,395	29,946	575,700	538,533
2013-05-23	$25.44	$25.83	12.5%	3.6%	12.2%	5.8%	13.1%	2.0%	0.4%	19.1M	-239.4M	-4.3M	0.95	6.02	21,396	20,334	578,889	553,761
2013-05-24	$25.77	$25.83	12.3%	3.5%	13.0%	5.0%	12.6%	1.7%	0.5%	26.0M	-355.5M	-4.4M	0.85	6.66	22,044	18,720	586,233	559,752
2013-05-28	$25.77	$25.83	13.0%	3.7%	12.7%	7.8%	13.3%	1.8%	0.2%	26.2M	-358.6M	-4.5M	1.10	6.85	23,700	26,154	584,913	558,405
2013-05-29	$25.41	$25.83	14.6%	4.2%	13.3%	13.9%	13.8%	2.0%	-0.2%	17.7M	-221.8M	-4.4M	0.51	6.45	30,357	15,486	591,744	571,419
2013-05-30	$25.21	$25.83	14.3%	4.1%	13.4%	12.6%	14.0%	2.2%	0.0%	14.5M	-162.5M	-4.3M	1.39	5.98	14,064	19,539	598,347	575,178
2013-05-31	$24.95	$25.83	14.5%	4.0%	13.5%	13.3%	14.1%	2.1%	0.3%	5.5M	-62.8M	-4.3M	0.75	7.22	22,629	16,896	601,284	573,249