WMT Options History — August 2013

In August 2013, WMT traded between $24.13 and $26.26. ATM implied volatility averaged 14.3%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.3% (HV 20d: 10.1%). Max pain ranged from $24.67 to $26.67. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.78.

Notable Days

2013-08-06: Highest Volume — 457,488 contracts
2013-08-15: Largest IV drop — 19.4% change
2013-08-14: Highest IV Rank — 23.1%
2013-08-14: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.07	$24.13	$26.26	$26.07	$24.33
Max Pain	$25.67	$24.67	$26.67	$26.67	$24.67
ATM IV	14.3%	13.2%	17.1%	14.5%	14.5%
Expected Move	4.1%	3.8%	4.9%	4.2%	4.2%
HV 20d	10.1%	7.8%	12.2%	10.2%	10.9%
HV 60d	12.6%	12.0%	13.2%	12.8%	12.1%
IV Rank	12.7%	8.6%	23.1%	13.3%	13.6%
IV Percentile	41.5%	27.8%	74.6%	42.5%	46.8%
Term Structure	-0.5%	-2.4%	0.4%	-0.6%	0.1%
VWIV	14.4%	12.6%	16.7%	14.1%	14.4%
Skew 25d	1.9%	1.5%	2.2%	2.1%	2.1%
Skew 10d	3.7%	2.5%	4.7%	3.1%	4.2%
Call IV 25d	13.6%	12.4%	16.0%	13.8%	13.6%
Put IV 25d	15.5%	14.1%	18.1%	15.9%	15.7%
Bid-Ask Spread %	9.88	5.32	14.20	6.65	12.07
Gamma HHI	0.19	0.10	0.38	0.38	0.12
Net GEX	9.5M	-16.9M	36.6M	24.6M	1.9M
Net DEX	-94.9M	-550.4M	186.6M	-493.2M	76.8M
Net VEX	-3.7M	-3.9M	-3.4M	-3.9M	-3.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.07	1.55	1.31	0.54
Total Volume	68,210.318	19,452	457,488	24,420	47,463
Total OI	1,140,386.591	1,075,473	1,232,124	1,140,201	1,168,203

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
2013-08-01	$26.07	$26.67	14.5%	4.2%	10.2%	13.3%	14.1%	2.1%	-0.6%	24.6M	-493.2M	-3.9M	1.31	6.65	10,560	13,860	590,325	549,876
2013-08-02	$26.25	$26.50	13.9%	4.1%	10.2%	11.2%	15.1%	1.8%	-0.6%	36.0M	-544.1M	-3.9M	0.92	6.98	14,157	12,978	594,321	555,495
2013-08-05	$26.26	$25.83	13.8%	3.9%	7.8%	10.6%	13.8%	1.8%	-0.9%	36.6M	-550.4M	-3.7M	0.28	10.87	33,624	9,567	592,662	543,072
2013-08-06	$25.96	$26.00	14.1%	4.0%	9.0%	11.7%	13.5%	1.5%	-0.6%	33.2M	-459.5M	-3.8M	0.07	11.45	426,330	31,158	598,656	544,494
2013-08-07	$25.79	$26.00	14.6%	4.2%	9.2%	13.7%	14.5%	2.1%	-0.7%	19.8M	-280.8M	-3.9M	0.65	8.03	18,612	12,066	551,910	562,809
2013-08-08	$25.75	$26.00	14.8%	4.2%	8.3%	14.4%	14.9%	1.9%	-0.9%	19.2M	-264.9M	-3.9M	0.89	13.87	14,646	13,011	558,069	564,480
2013-08-09	$25.63	$26.00	14.6%	4.2%	8.5%	13.9%	14.4%	1.8%	-0.9%	15.8M	-213.6M	-3.9M	0.50	14.20	23,559	11,892	561,339	569,862
2013-08-12	$25.69	$26.00	15.2%	4.4%	8.0%	16.1%	15.9%	1.9%	-1.1%	22.4M	-266.9M	-3.8M	0.70	11.07	18,849	13,152	559,647	560,895
2013-08-13	$25.62	$26.00	15.7%	4.5%	7.9%	17.7%	15.6%	1.7%	-1.5%	20.2M	-234.5M	-3.8M	1.11	12.33	32,118	35,553	565,248	567,069
2013-08-14	$25.47	$25.83	17.1%	4.9%	8.2%	23.1%	16.7%	2.1%	-2.4%	13.7M	-168.0M	-3.8M	1.11	13.39	56,175	62,367	570,102	580,179
2013-08-15	$24.80	$0.00	13.8%	4.0%	12.2%	10.8%	14.2%	1.8%	-0.5%	-16.9M	170.7M	-3.6M	1.05	5.32	80,967	84,666	590,799	611,964
2013-08-16	$24.70	$25.00	13.7%	4.0%	11.5%	10.3%	14.3%	2.2%	-0.5%	-11.9M	186.6M	-3.6M	1.55	13.08	31,197	48,414	611,475	620,649
2013-08-19	$24.53	$25.83	14.1%	4.1%	11.6%	11.9%	13.8%	1.9%	0.2%	-2.1M	95.9M	-3.4M	0.76	7.50	28,740	21,837	527,226	548,247
2013-08-20	$24.41	$25.83	13.6%	3.9%	10.8%	10.2%	13.0%	1.8%	0.4%	-2.9M	131.1M	-3.5M	0.64	5.70	34,110	21,735	542,034	552,270
2013-08-21	$24.52	$25.83	14.0%	4.0%	11.1%	11.3%	14.0%	1.9%	0.2%	64.9K	74.9M	-3.5M	0.84	7.09	24,525	20,721	558,549	558,897
2013-08-22	$24.49	$25.83	13.7%	3.9%	11.1%	10.4%	13.6%	1.8%	-0.4%	208.7K	88.4M	-3.6M	0.75	6.59	11,109	8,343	572,004	564,222
2013-08-23	$24.48	$25.83	13.2%	3.8%	11.1%	8.6%	12.6%	1.7%	-0.2%	402.0K	88.2M	-3.6M	0.61	7.81	26,379	16,080	577,143	562,899
2013-08-26	$24.34	$24.67	13.6%	3.9%	11.1%	10.1%	13.5%	1.9%	0.4%	1.5M	89.4M	-3.5M	0.44	11.93	27,735	12,330	575,574	550,647
2013-08-27	$24.29	$25.33	14.4%	4.1%	11.1%	13.2%	14.0%	2.2%	-0.0%	1.2M	102.0M	-3.6M	1.02	9.49	16,887	17,148	586,560	555,636
2013-08-28	$24.13	$24.67	14.2%	4.1%	11.0%	12.2%	15.4%	2.1%	0.2%	-2.4M	147.6M	-3.5M	0.78	10.89	17,649	13,746	590,130	560,151
2013-08-29	$24.14	$24.67	14.1%	4.0%	10.8%	12.0%	14.9%	2.2%	0.1%	-1.5M	136.8M	-3.5M	0.72	10.95	14,313	10,299	597,474	565,242
2013-08-30	$24.33	$24.67	14.5%	4.2%	10.9%	13.6%	14.4%	2.1%	0.1%	1.9M	76.8M	-3.5M	0.54	12.07	30,768	16,695	600,327	567,876