WMT Options History — November 2013

In November 2013, WMT traded between $25.69 and $27.00. ATM implied volatility averaged 12.9%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.0% (HV 20d: 10.9%). Max pain ranged from $21.67 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.34.

Notable Days

  • 2013-11-14: Highest Volume — 154,272 contracts
  • 2013-11-14: Largest IV drop — 29.3% change
  • 2013-11-12: Highest IV Rank — 21.0%
  • 2013-11-12: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.32$25.69$27.00$25.69$27.00
Max Pain$23.58$21.67$26.00$25.33$21.67
ATM IV12.9%10.4%16.6%14.1%12.4%
Expected Move4.5%4.0%4.7%4.0%4.7%
HV 20d10.9%8.4%15.0%15.0%8.4%
HV 60d12.4%12.0%13.3%13.1%12.1%
IV Rank8.0%0.0%21.0%11.8%7.4%
IV Percentile28.7%0.0%78.6%35.3%18.7%
Term Structure-0.3%-2.6%1.4%0.0%0.2%
VWIV16.3%13.8%18.7%14.6%17.4%
Skew 25d2.1%1.4%2.5%1.8%1.4%
Skew 10d4.3%3.0%5.4%3.5%3.0%
Call IV 25d12.1%9.8%15.4%13.2%12.1%
Put IV 25d14.1%11.8%17.6%15.0%13.6%
Bid-Ask Spread %7.864.0615.4415.448.15
Gamma HHI0.310.190.470.190.20
Net GEX28.7M14.6M39.3M21.2M35.8M
Net DEX-623.8M-867.1M-456.5M-456.5M-867.1M
Net VEX-3.2M-3.4M-2.9M-3.3M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.216.820.800.40
Total Volume74,382.1518,513154,27241,88051,609
Total OI1,261,022.851,174,9681,371,2221,211,6821,301,148

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$25.69$25.3314.1%4.0%15.0%11.8%14.6%1.8%0.0%21.2M-456.5M-3.3M0.8015.4423,31018,570589,278622,404
2013-11-04$25.78$25.3314.4%4.1%13.8%12.9%14.4%1.8%-1.3%30.9M-470.8M-3.3M1.1913.8428,50633,789584,553610,371
2013-11-05$25.81$26.0014.5%4.2%13.3%13.3%13.8%2.2%-1.4%33.2M-498.4M-3.3M1.2414.918,28010,233600,486626,394
2013-11-06$26.05$26.0014.6%4.2%13.4%13.9%14.7%2.5%-0.6%34.3M-594.2M-3.2M1.4712.4122,28432,784599,157626,856
2013-11-07$25.84$26.0015.5%4.5%11.6%17.2%15.6%2.2%-1.2%29.0M-499.8M-3.3M6.8212.6516,797114,564606,621649,902
2013-11-08$25.99$26.0014.8%4.3%11.7%14.6%15.4%2.4%-0.9%14.6M-494.7M-3.4M3.439.7420,72471,046610,173723,429
2013-11-11$26.34$0.0015.7%4.7%12.2%17.6%17.5%2.0%-2.4%23.1M-660.4M-3.2M0.936.7560,00055,692602,118686,538
2013-11-12$26.24$21.6716.6%4.7%12.2%21.0%18.3%2.2%-1.2%20.5M-601.3M-3.3M0.968.4733,72932,367622,023704,712
2013-11-13$26.30$21.6716.5%4.7%11.1%20.9%16.5%2.2%-2.6%21.5M-623.3M-3.4M1.028.1948,20449,056634,161716,082
2013-11-14$26.36$21.6711.7%4.7%11.1%2.9%16.9%2.4%-0.6%35.1M-713.0M-3.0M1.274.9468,03486,238643,050728,172
2013-11-15$26.41$25.0011.0%4.7%11.0%0.3%18.7%1.9%-1.0%29.8M-745.6M-3.0M0.514.0640,63520,520647,298716,004
2013-11-18$26.41$23.3311.0%4.6%10.5%0.5%17.4%2.2%0.9%27.8M-571.8M-3.0M1.734.2521,57337,272571,485603,483
2013-11-19$26.42$23.3310.7%4.6%9.3%0.0%15.0%2.1%1.1%24.3M-562.0M-3.2M1.244.2413,66217,007574,647627,186
2013-11-20$26.30$23.3310.7%4.6%9.2%0.1%16.4%2.3%1.0%22.4M-531.3M-3.1M1.214.6125,22430,603577,008628,974
2013-11-21$26.29$23.3310.5%4.6%9.1%0.0%17.5%2.2%0.5%21.9M-516.9M-3.1M0.594.2626,91915,912587,439636,705
2013-11-22$26.60$23.3310.4%4.6%9.5%0.0%17.0%2.2%0.1%35.3M-674.5M-3.2M0.475.0552,84824,801601,311643,437
2013-11-25$26.81$21.6710.8%4.6%8.7%1.7%17.1%1.7%0.9%37.4M-747.2M-3.0M0.444.9464,12828,077586,212625,746
2013-11-26$26.89$21.6710.6%4.6%8.7%0.6%16.4%1.7%1.4%35.9M-783.3M-2.9M0.214.9980,74216,983595,578637,404
2013-11-27$26.98$21.6711.1%4.6%8.5%2.7%16.2%1.8%0.4%39.3M-863.6M-3.1M0.835.2346,37138,550629,658643,254
2013-11-29$27.00$21.6712.4%4.7%8.4%7.4%17.4%1.4%0.2%35.8M-867.1M-3.2M0.408.1536,99614,613644,706656,442