WMT Options History — September 2013

In September 2013, WMT traded between $24.20 and $25.47. ATM implied volatility averaged 12.8%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.1% (HV 20d: 10.7%). Max pain ranged from $24.17 to $25.67. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2013-09-25: Highest Volume — 117,369 contracts
  • 2013-09-25: Largest IV spike — 13.3% change
  • 2013-09-03: Highest IV Rank — 14.2%
  • 2013-09-03: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.81$24.20$25.47$24.23$24.65
Max Pain$24.83$24.17$25.67$24.17$25.00
ATM IV12.8%11.0%14.7%14.7%14.4%
Expected Move3.7%3.1%4.2%4.2%4.1%
HV 20d10.7%8.1%12.3%10.8%11.7%
HV 60d11.5%10.8%12.1%11.9%11.5%
IV Rank6.9%0.4%14.2%14.2%13.0%
IV Percentile20.3%1.2%52.0%52.0%42.9%
Term Structure0.4%-0.5%2.0%-0.2%0.7%
VWIV12.9%11.5%15.1%15.1%14.2%
Skew 25d2.2%1.6%2.7%2.4%2.4%
Skew 10d5.0%3.6%6.8%5.3%5.3%
Call IV 25d12.1%10.5%14.0%14.0%13.5%
Put IV 25d14.3%12.9%16.4%16.4%15.9%
Bid-Ask Spread %12.546.3929.5513.9819.83
Gamma HHI0.160.130.310.130.13
Net GEX10.3M-17.4M27.8M-554.7K6.5M
Net DEX-110.6M-375.4M119.2M109.5M-76.5M
Net VEX-3.5M-3.6M-3.3M-3.5M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.402.020.791.54
Total Volume43,466.5520,355117,36939,53739,936
Total OI1,174,378.21,047,4471,255,7461,153,0051,110,594

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$24.23$24.1714.7%4.2%10.8%14.2%15.1%2.4%-0.2%-554.7K109.5M-3.5M0.7913.9822,04717,490587,382565,623
2013-09-04$24.30$24.1714.2%4.1%10.7%12.5%13.6%2.1%-0.1%-1.6M89.7M-3.6M1.1114.399,91511,040587,784576,834
2013-09-05$24.22$24.1714.0%4.0%10.7%11.4%13.9%2.3%0.0%-6.0M119.2M-3.5M0.4010.1822,8339,030591,717583,128
2013-09-06$24.20$24.1713.5%3.9%10.7%9.8%14.3%2.1%0.1%-17.4M113.6M-3.3M2.0211.7610,86622,002603,885584,790
2013-09-09$24.50$24.1713.2%3.8%12.0%8.5%14.3%2.2%0.6%1.5M27.8M-3.6M1.2211.7621,56726,301592,299587,931
2013-09-10$24.65$24.1712.6%3.6%12.3%6.3%12.8%2.4%-0.4%5.1M-28.1M-3.6M0.6911.7421,97215,228600,903604,254
2013-09-11$24.68$24.1712.3%3.5%12.3%5.2%12.5%2.1%-0.3%6.3M-44.0M-3.4M0.6210.4812,5317,824604,458608,994
2013-09-12$24.64$0.0012.3%3.6%12.2%5.3%12.2%1.7%-0.5%6.5M-17.9M-3.6M0.676.3913,8879,273607,728609,969
2013-09-13$24.79$25.0011.9%3.4%8.4%3.8%12.6%1.6%-0.3%10.0M-93.3M-3.4M0.8618.4513,57211,670609,579611,919
2013-09-16$24.93$25.0011.8%3.4%8.4%3.5%12.0%1.9%1.8%11.7M-147.4M-3.4M0.469.7034,26015,855602,568598,575
2013-09-17$25.05$25.0011.9%3.4%8.1%3.9%11.7%2.0%1.7%13.5M-185.0M-3.5M0.419.1928,52711,658617,958600,618
2013-09-18$25.47$25.0011.0%3.1%9.5%0.4%12.1%2.4%2.0%26.1M-375.4M-3.4M0.5211.3848,63025,179627,918602,412
2013-09-19$25.40$25.0011.8%3.4%9.6%3.3%11.7%2.4%-0.1%26.9M-367.3M-3.4M0.878.2921,18318,399639,594609,729
2013-09-20$25.28$25.0011.7%3.4%9.9%3.0%11.5%2.5%-0.1%27.8M-312.6M-3.5M1.0010.1627,09327,213643,920611,826
2013-09-23$25.47$25.6711.5%3.4%10.1%2.3%12.1%2.0%0.9%27.2M-356.5M-3.5M1.2310.6920,93125,716522,267525,180
2013-09-24$25.25$25.6712.0%3.4%10.5%4.2%11.6%2.1%2.0%19.0M-277.2M-3.5M0.659.2133,39621,654531,321538,332
2013-09-25$24.88$25.6713.6%3.9%11.9%10.1%13.6%2.7%0.9%10.6M-135.2M-3.5M1.2729.5551,66065,709551,064547,956
2013-09-26$24.87$25.3313.4%3.8%11.6%9.3%13.5%2.4%-0.0%13.2M-146.2M-3.5M1.3411.5315,18020,337573,783565,035
2013-09-27$24.79$25.3313.3%3.8%11.7%8.9%13.6%2.3%-0.2%19.3M-108.3M-3.5M0.7312.2121,81315,954577,482570,255
2013-09-30$24.65$25.0014.4%4.1%11.7%13.0%14.2%2.4%0.7%6.5M-76.5M-3.4M1.5419.8315,74424,192559,881550,713