WMT Options History — July 2013

In July 2013, WMT traded between $24.86 and $26.18. ATM implied volatility averaged 14.2%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.4% (HV 20d: 12.8%). Max pain ranged from $25.00 to $26.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.85.

Notable Days

2013-07-19: Highest Volume — 92,283 contracts
2013-07-11: Largest IV spike — 26.1% change
2013-07-23: Highest IV Rank — 16.0%
2013-07-23: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.71	$24.86	$26.18	$24.86	$25.98
Max Pain	$25.26	$25.00	$26.67	$25.00	$26.67
ATM IV	14.2%	11.5%	15.2%	12.8%	14.7%
Expected Move	4.2%	3.6%	4.4%	3.6%	4.2%
HV 20d	12.8%	10.1%	15.0%	13.8%	10.2%
HV 60d	13.6%	12.7%	14.4%	14.2%	12.7%
IV Rank	12.1%	2.3%	16.0%	7.0%	14.2%
IV Percentile	40.4%	4.8%	53.6%	22.2%	49.6%
Term Structure	-0.5%	-2.0%	2.6%	2.5%	-0.8%
VWIV	14.7%	12.6%	15.9%	12.7%	14.9%
Skew 25d	2.4%	1.7%	3.2%	2.0%	1.8%
Skew 10d	4.6%	3.0%	6.1%	5.8%	3.1%
Call IV 25d	13.5%	12.1%	14.3%	12.3%	14.3%
Put IV 25d	15.9%	14.1%	16.8%	14.3%	16.0%
Bid-Ask Spread %	6.43	3.73	10.62	6.52	10.62
Gamma HHI	0.33	0.16	0.53	0.16	0.39
Net GEX	30.6M	9.7M	57.0M	9.7M	20.9M
Net DEX	-419.7M	-584.1M	-136.9M	-136.9M	-452.7M
Net VEX	-4.0M	-4.3M	-3.8M	-4.3M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.33	1.94	0.69	0.97
Total Volume	42,361.091	16,707	92,283	25,749	32,946
Total OI	1,120,434.409	1,028,283	1,178,025	1,097,343	1,137,267

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
2013-07-01	$24.86	$25.00	12.8%	3.6%	13.8%	7.0%	12.7%	2.0%	2.5%	9.7M	-136.9M	-4.3M	0.69	6.52	15,249	10,500	586,527	510,816
2013-07-02	$24.90	$25.00	12.0%	3.6%	13.7%	4.2%	12.6%	2.0%	2.6%	11.7M	-151.5M	-4.3M	0.93	3.73	16,470	15,342	591,006	514,269
2013-07-03	$24.92	$25.00	13.1%	3.6%	13.4%	8.2%	12.6%	1.7%	2.5%	13.1M	-166.7M	-4.2M	0.93	10.17	11,037	10,284	595,251	518,028
2013-07-05	$25.07	$25.00	12.3%	4.4%	13.4%	5.3%	15.4%	2.9%	-0.5%	14.2M	-203.9M	-4.2M	0.42	7.07	24,888	10,512	594,888	517,527
2013-07-08	$25.57	$25.00	14.4%	4.2%	14.9%	13.2%	15.4%	2.7%	-0.5%	30.3M	-401.9M	-4.1M	0.67	6.09	44,577	29,955	595,263	517,467
2013-07-09	$25.68	$25.00	13.7%	4.3%	14.6%	10.6%	14.9%	3.0%	-0.7%	34.9M	-451.4M	-4.0M	0.50	6.14	25,692	12,846	602,556	524,367
2013-07-10	$25.59	$25.00	11.5%	4.2%	14.4%	2.3%	15.0%	3.2%	-0.4%	31.2M	-411.8M	-4.0M	1.19	6.25	20,901	24,885	604,206	529,836
2013-07-11	$25.88	$25.00	14.5%	4.2%	14.7%	13.5%	14.8%	2.7%	-0.9%	44.0M	-539.6M	-3.9M	0.58	5.73	28,485	16,479	614,274	530,835
2013-07-12	$25.88	$25.00	14.5%	4.2%	14.7%	13.5%	14.7%	2.8%	-1.0%	50.1M	-544.2M	-3.9M	0.90	5.84	29,085	26,271	618,591	530,064
2013-07-15	$25.68	$25.00	14.6%	4.2%	15.0%	13.9%	14.9%	2.7%	-1.0%	38.6M	-452.6M	-3.8M	0.65	5.78	17,343	11,289	620,859	537,168
2013-07-16	$25.79	$25.00	14.6%	4.2%	15.0%	13.9%	14.7%	2.5%	-0.9%	42.8M	-498.0M	-3.8M	0.55	6.36	17,994	9,846	621,429	537,408
2013-07-17	$25.73	$25.00	14.6%	4.2%	14.7%	13.7%	14.6%	2.4%	-0.9%	45.4M	-454.9M	-3.9M	1.94	5.91	13,959	27,123	623,364	539,358
2013-07-18	$25.78	$25.00	14.6%	4.2%	13.1%	13.9%	14.3%	2.3%	-1.1%	57.0M	-469.3M	-3.8M	0.40	3.93	41,541	16,458	621,828	545,664
2013-07-19	$26.03	$25.00	14.7%	4.2%	10.7%	14.2%	14.1%	2.2%	-1.5%	40.0M	-584.1M	-3.9M	0.33	4.35	69,561	22,722	627,510	550,515
2013-07-22	$25.96	$25.00	14.9%	4.3%	10.8%	14.9%	15.0%	2.3%	-1.7%	28.9M	-458.1M	-3.8M	0.99	4.05	12,003	11,868	539,685	488,598
2013-07-23	$26.18	$25.00	15.2%	4.4%	10.8%	16.0%	14.7%	2.6%	-2.0%	31.8M	-537.8M	-3.8M	0.66	5.90	32,226	21,144	545,826	494,748
2013-07-24	$26.08	$25.00	14.9%	4.3%	11.1%	14.7%	14.8%	2.3%	-1.8%	31.1M	-479.6M	-3.9M	0.59	6.15	24,696	14,691	565,590	505,641
2013-07-25	$26.00	$0.00	14.9%	4.3%	11.0%	14.8%	15.6%	2.5%	-0.3%	29.2M	-476.3M	-4.0M	1.58	8.30	28,248	44,709	571,566	508,797
2013-07-26	$26.00	$25.50	14.9%	4.3%	11.0%	14.8%	15.2%	2.3%	-0.5%	24.0M	-474.4M	-3.8M	1.72	7.89	18,783	32,334	579,330	531,618
2013-07-29	$26.00	$26.67	15.0%	4.2%	10.1%	15.2%	15.9%	2.0%	-0.9%	22.6M	-438.3M	-4.0M	0.60	6.85	12,663	7,632	582,492	545,040
2013-07-30	$25.96	$26.67	14.9%	4.2%	10.1%	14.8%	15.4%	2.3%	-0.8%	21.8M	-450.4M	-3.9M	0.90	7.83	8,796	7,911	587,859	544,626
2013-07-31	$25.98	$26.67	14.7%	4.2%	10.2%	14.2%	14.9%	1.8%	-0.8%	20.9M	-452.7M	-3.9M	0.97	10.62	16,701	16,245	589,605	547,662