WMT Options History — June 2013

In June 2013, WMT traded between $24.34 and $25.44. ATM implied volatility averaged 15.1%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.0% (HV 20d: 14.0%). Max pain ranged from $25.00 to $25.83. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2013-06-07: Highest Volume — 95,439 contracts
2013-06-10: Largest IV spike — 21.7% change
2013-06-05: Highest IV Rank — 32.0%
2013-06-20: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.99	$24.34	$25.44	$25.23	$24.83
Max Pain	$25.17	$25.00	$25.83	$25.83	$25.00
ATM IV	15.1%	11.7%	19.5%	17.7%	11.7%
Expected Move	4.1%	3.6%	4.6%	4.3%	3.6%
HV 20d	14.0%	12.0%	15.2%	13.7%	14.4%
HV 60d	13.5%	13.0%	14.2%	13.1%	14.2%
IV Rank	15.5%	2.8%	32.0%	25.3%	2.8%
IV Percentile	46.3%	6.0%	88.9%	78.6%	6.0%
Term Structure	1.6%	-0.1%	2.6%	-0.1%	2.6%
VWIV	14.3%	12.3%	16.1%	15.0%	12.3%
Skew 25d	2.2%	1.8%	2.9%	2.1%	1.8%
Skew 10d	5.0%	2.7%	6.6%	5.9%	5.1%
Call IV 25d	13.6%	12.0%	14.9%	14.0%	12.2%
Put IV 25d	15.8%	14.0%	17.6%	16.1%	14.0%
Bid-Ask Spread %	6.58	4.35	11.94	6.53	11.94
Gamma HHI	0.21	0.15	0.32	0.27	0.17
Net GEX	14.6M	-5.3M	28.6M	14.9M	10.8M
Net DEX	-150.7M	-286.9M	89.5M	-171.5M	-141.6M
Net VEX	-4.4M	-4.5M	-4.2M	-4.2M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.31	1.51	0.50	0.31
Total Volume	48,173.1	28,128	95,439	74,445	39,876
Total OI	1,232,528.1	1,061,421	1,335,402	1,175,217	1,104,474

Daily Data (20 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
2013-06-03	$25.23	$25.83	17.7%	4.3%	13.7%	25.3%	15.0%	2.1%	-0.1%	14.9M	-171.5M	-4.2M	0.50	6.53	49,752	24,693	603,396	571,821
2013-06-04	$25.31	$25.83	17.9%	4.3%	13.8%	26.1%	14.9%	2.2%	-0.1%	19.8M	-226.2M	-4.5M	0.76	5.67	24,783	18,735	626,280	578,490
2013-06-05	$25.08	$25.83	19.5%	4.4%	14.0%	32.0%	16.1%	2.4%	-0.0%	13.9M	-143.3M	-4.4M	1.08	5.51	20,136	21,837	634,008	588,435
2013-06-06	$25.21	$25.83	16.3%	4.4%	14.1%	19.9%	15.1%	1.8%	-0.1%	18.3M	-212.8M	-4.5M	0.98	5.69	31,254	30,501	637,122	597,447
2013-06-07	$25.44	$25.00	13.7%	3.9%	14.6%	10.6%	14.1%	2.1%	2.0%	28.6M	-286.9M	-4.5M	0.31	6.42	73,083	22,356	653,310	604,686
2013-06-10	$25.25	$25.00	16.7%	4.2%	14.4%	21.6%	14.4%	2.1%	1.8%	24.7M	-229.5M	-4.5M	0.80	6.64	15,729	12,636	675,603	606,156
2013-06-11	$25.08	$25.00	17.0%	4.2%	14.5%	22.6%	14.3%	2.1%	1.8%	18.9M	-166.7M	-4.4M	0.62	8.91	23,004	14,223	678,384	607,002
2013-06-12	$24.95	$25.00	14.6%	4.2%	14.4%	13.9%	14.8%	2.2%	2.0%	12.4M	-110.8M	-4.4M	0.60	5.80	28,761	17,313	683,121	610,359
2013-06-13	$25.00	$25.00	14.7%	4.2%	13.2%	14.2%	14.1%	2.1%	1.9%	16.5M	-152.0M	-4.5M	0.33	7.50	28,029	9,255	694,725	613,626
2013-06-14	$24.96	$25.00	14.5%	4.2%	12.1%	13.3%	14.4%	2.3%	2.0%	14.0M	-136.4M	-4.5M	0.82	4.69	20,214	16,491	696,891	615,288
2013-06-17	$24.98	$25.00	14.2%	4.1%	12.0%	12.1%	14.3%	2.0%	2.1%	15.2M	-142.6M	-4.4M	1.51	6.10	16,644	25,080	697,323	616,404
2013-06-18	$25.24	$25.00	14.0%	4.0%	12.6%	11.5%	13.8%	2.3%	2.2%	22.6M	-235.4M	-4.5M	0.57	6.23	24,042	13,707	702,738	625,317
2013-06-19	$24.82	$25.00	13.3%	3.8%	13.8%	9.0%	13.4%	1.9%	2.1%	8.7M	-69.1M	-4.3M	0.73	4.35	40,803	29,889	703,596	628,791
2013-06-20	$24.34	$25.00	16.0%	4.6%	15.1%	18.9%	15.6%	2.7%	1.6%	-5.3M	89.5M	-4.2M	0.52	6.71	53,259	27,546	706,434	627,642
2013-06-21	$24.50	$25.00	15.5%	4.4%	15.2%	17.0%	14.7%	2.6%	1.6%	4.1M	23.4M	-4.2M	1.12	6.01	22,950	25,599	708,261	627,141
2013-06-24	$24.73	$25.00	14.3%	4.1%	14.8%	12.6%	14.8%	2.9%	1.8%	8.8M	-122.8M	-4.3M	0.68	5.37	29,871	20,379	564,438	496,983
2013-06-25	$24.79	$25.00	13.9%	4.0%	14.9%	11.1%	14.2%	2.4%	1.8%	11.5M	-143.4M	-4.3M	0.81	7.21	15,954	12,882	574,155	501,921
2013-06-26	$25.00	$25.00	13.0%	3.7%	14.6%	7.7%	13.8%	2.2%	2.2%	15.4M	-200.8M	-4.3M	0.33	6.84	25,704	8,364	579,816	506,028
2013-06-27	$25.09	$25.00	12.8%	3.7%	14.4%	7.0%	12.8%	2.1%	2.5%	17.8M	-235.4M	-4.4M	0.83	7.47	15,396	12,732	594,780	508,170
2013-06-28	$24.83	$25.00	11.7%	3.6%	14.4%	2.8%	12.3%	1.8%	2.6%	10.8M	-141.6M	-4.3M	0.31	11.94	30,462	9,414	592,191	512,283