WMT Options History — October 2013

In October 2013, WMT traded between $23.96 and $25.71. ATM implied volatility averaged 14.7%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.2% (HV 20d: 14.5%). Max pain ranged from $24.17 to $25.33. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.14.

Notable Days

2013-10-15: Highest Volume — 105,300 contracts
2013-10-10: Largest IV drop — 14.3% change
2013-10-08: Highest IV Rank — 22.5%
2013-10-08: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.99	$23.96	$25.71	$24.53	$25.58
Max Pain	$24.94	$24.17	$25.33	$24.67	$25.33
ATM IV	14.7%	13.8%	17.0%	14.0%	13.9%
Expected Move	4.2%	3.9%	4.9%	4.0%	4.0%
HV 20d	14.5%	11.7%	15.9%	11.7%	15.3%
HV 60d	12.2%	10.6%	13.3%	10.8%	13.1%
IV Rank	14.1%	10.7%	22.5%	11.4%	11.3%
IV Percentile	46.2%	29.0%	76.2%	34.5%	31.7%
Term Structure	0.1%	-1.6%	1.8%	1.8%	0.2%
VWIV	15.1%	13.4%	17.4%	15.0%	13.9%
Skew 25d	2.3%	1.7%	3.6%	2.6%	1.8%
Skew 10d	5.8%	3.3%	8.9%	7.3%	3.3%
Call IV 25d	13.9%	12.8%	16.1%	13.2%	13.2%
Put IV 25d	16.2%	14.6%	19.3%	15.8%	15.0%
Bid-Ask Spread %	13.08	4.20	20.40	15.63	14.89
Gamma HHI	0.15	0.10	0.25	0.11	0.22
Net GEX	16.1M	-4.1M	34.3M	2.0M	26.1M
Net DEX	-233.8M	-494.0M	149.0M	-25.2M	-395.9M
Net VEX	-3.4M	-3.6M	-3.1M	-3.4M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.40	2.22	1.14	0.64
Total Volume	54,246.13	16,668	105,300	39,366	16,668
Total OI	1,201,231.043	1,136,853	1,288,053	1,136,853	1,205,391

Daily Data (23 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
2013-10-01	$24.53	$24.67	14.0%	4.0%	11.7%	11.4%	15.0%	2.6%	1.8%	2.0M	-25.2M	-3.4M	1.14	15.63	18,435	20,931	571,620	565,233
2013-10-02	$24.57	$24.67	14.3%	4.1%	11.7%	12.5%	14.3%	2.0%	1.8%	1.7M	-46.7M	-3.4M	1.10	13.38	14,910	16,473	576,885	572,037
2013-10-03	$24.39	$24.67	14.5%	4.2%	12.0%	13.3%	14.7%	2.2%	1.7%	-1.6M	17.1M	-3.3M	1.31	13.85	18,606	24,288	581,451	577,707
2013-10-04	$24.27	$24.67	14.1%	4.0%	12.1%	11.9%	14.4%	2.2%	1.8%	-3.2M	57.9M	-3.3M	1.57	10.52	15,861	24,933	585,738	589,038
2013-10-07	$23.96	$24.67	15.8%	4.5%	12.0%	18.3%	16.7%	2.7%	1.0%	-3.9M	149.0M	-3.4M	1.01	12.56	44,502	44,757	574,683	586,734
2013-10-08	$24.30	$24.50	17.0%	4.9%	13.0%	22.5%	17.1%	2.5%	1.2%	-3.7M	25.2M	-3.6M	1.49	9.79	22,785	34,035	594,738	607,302
2013-10-09	$24.33	$24.33	16.7%	4.8%	13.0%	21.7%	16.7%	2.7%	0.9%	-4.1M	6.7M	-3.6M	1.20	12.61	24,162	28,953	600,066	617,976
2013-10-10	$24.93	$0.00	14.3%	4.1%	15.7%	12.8%	15.3%	2.1%	1.3%	8.0M	-233.5M	-3.6M	0.47	4.20	50,430	23,811	613,299	631,827
2013-10-11	$24.94	$24.17	14.0%	3.9%	15.6%	11.5%	14.1%	2.1%	1.4%	12.6M	-228.5M	-3.5M	1.57	15.26	23,487	36,759	614,916	641,892
2013-10-14	$24.89	$25.00	15.4%	4.5%	15.5%	16.8%	17.4%	3.0%	-0.9%	9.8M	-183.6M	-3.5M	2.22	10.83	23,526	52,152	603,474	629,367
2013-10-15	$24.79	$25.00	16.2%	4.7%	15.4%	19.8%	17.2%	3.6%	-1.4%	688.6K	-147.8M	-3.5M	0.96	12.47	53,793	51,507	614,592	652,884
2013-10-16	$25.20	$25.00	15.2%	4.4%	15.4%	15.9%	16.4%	2.8%	-0.9%	19.8M	-353.5M	-3.5M	0.73	11.42	46,344	33,867	629,418	658,635
2013-10-17	$25.26	$25.00	14.6%	4.2%	15.4%	13.9%	14.7%	2.7%	-0.2%	31.5M	-393.3M	-3.3M	0.81	11.27	18,369	14,880	623,274	657,573
2013-10-18	$25.24	$25.00	14.2%	4.1%	15.3%	12.4%	14.5%	2.7%	-0.4%	33.1M	-381.5M	-3.3M	0.40	5.86	52,125	20,754	626,745	660,453
2013-10-21	$25.05	$25.33	14.4%	4.1%	15.2%	13.2%	14.4%	2.2%	-0.7%	20.2M	-260.8M	-3.2M	0.79	15.19	28,296	22,281	561,054	577,074
2013-10-22	$25.44	$25.00	13.9%	4.0%	15.9%	11.1%	14.1%	2.1%	-1.6%	32.8M	-394.5M	-3.2M	0.55	16.66	30,654	16,767	567,669	589,167
2013-10-23	$25.30	$25.00	14.7%	4.2%	15.1%	14.1%	14.9%	2.2%	-0.5%	25.7M	-343.6M	-3.3M	1.32	18.32	21,024	27,648	581,583	593,028
2013-10-24	$25.47	$25.33	14.4%	4.2%	15.2%	13.0%	14.5%	2.0%	-0.7%	34.3M	-425.3M	-3.2M	1.22	12.22	14,235	17,352	587,862	602,658
2013-10-25	$25.36	$25.33	14.3%	4.2%	15.3%	12.7%	14.5%	2.0%	-0.8%	34.3M	-406.3M	-3.2M	1.21	12.22	25,842	31,149	592,053	608,409
2013-10-28	$25.71	$25.33	13.8%	3.9%	15.7%	10.7%	14.2%	1.8%	-0.8%	32.3M	-494.0M	-3.1M	1.14	20.40	21,768	24,765	564,537	584,259
2013-10-29	$25.69	$25.33	13.8%	3.9%	15.5%	10.9%	13.4%	1.7%	-1.0%	30.5M	-458.9M	-3.3M	1.54	15.84	20,055	30,837	570,420	595,626
2013-10-30	$25.64	$25.33	14.0%	4.0%	15.6%	11.5%	14.5%	1.8%	-1.0%	31.5M	-461.6M	-3.2M	1.83	15.56	15,150	27,735	579,711	608,256
2013-10-31	$25.58	$25.33	13.9%	4.0%	15.3%	11.3%	13.9%	1.8%	0.2%	26.1M	-395.9M	-3.3M	0.64	14.89	10,191	6,477	585,195	620,196