WMT Options History — December 2013

In December 2013, WMT traded between $25.75 and $27.07. ATM implied volatility averaged 12.2%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.3% (HV 20d: 9.9%). Max pain ranged from $21.67 to $25.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2013-12-03: Highest Volume — 631,593 contracts
  • 2013-12-06: Largest IV drop — 9.3% change
  • 2013-12-17: Highest IV Rank — 11.0%
  • 2013-12-16: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.26$25.75$27.07$27.04$26.23
Max Pain$23.25$21.67$25.00$21.67$23.33
ATM IV12.2%11.4%13.4%12.0%11.4%
Expected Move4.7%4.7%4.8%4.7%4.7%
HV 20d9.9%8.4%11.1%8.4%9.9%
HV 60d12.1%11.7%12.6%12.1%11.7%
IV Rank6.5%3.6%11.0%5.8%3.9%
IV Percentile17.3%7.5%33.3%13.5%8.7%
Term Structure0.8%-0.1%2.1%0.9%1.9%
VWIV17.6%16.1%19.7%16.6%18.0%
Skew 25d1.7%0.8%2.2%1.7%1.5%
Skew 10d4.0%2.8%5.3%3.5%3.8%
Call IV 25d11.6%10.5%13.0%11.5%11.1%
Put IV 25d13.3%12.0%14.8%13.2%12.6%
Bid-Ask Spread %10.305.1820.505.3414.06
Gamma HHI0.240.170.600.210.21
Net GEX311.3K-66.3M46.5M42.7M13.7M
Net DEX-173.3M-937.9M113.7M-850.2M-159.1M
Net VEX-3.3M-3.7M-3.0M-3.1M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.053.700.530.85
Total Volume71,81617,937631,593150,09023,727
Total OI1,163,536.7141,023,9901,334,5981,275,7951,063,758

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$27.04$21.6712.0%4.7%8.4%5.8%16.6%1.7%0.9%42.7M-850.2M-3.1M0.535.3498,36151,729640,875634,920
2013-12-03$27.07$21.6711.9%4.7%8.4%5.4%17.0%0.8%0.6%46.5M-937.9M-3.0M0.059.04598,96832,625667,272667,326
2013-12-04$26.74$21.6712.6%4.7%9.9%8.0%18.0%1.8%0.5%17.4M-300.8M-3.6M0.886.9533,07829,043502,350683,604
2013-12-05$26.48$23.3312.9%4.7%10.2%9.2%17.2%1.9%-0.1%5.0M-194.4M-3.7M0.915.7626,31324,060511,536682,521
2013-12-06$26.65$23.3311.7%4.7%9.8%4.8%16.8%1.7%0.4%3.3M-271.4M-3.6M0.495.1829,10914,313518,463684,081
2013-12-09$26.65$25.0011.7%4.7%9.7%4.9%19.5%1.6%0.6%20.2M-307.0M-3.5M2.017.6510,30820,688509,256663,642
2013-12-10$26.36$25.0011.9%4.7%9.5%5.4%19.4%1.9%0.0%5.4M-152.5M-3.6M1.316.299,95713,059510,129673,116
2013-12-11$26.36$23.3312.3%4.7%9.4%7.0%16.9%1.7%0.1%5.0M-146.1M-3.6M1.235.5711,26213,872512,964676,194
2013-12-12$26.17$23.3312.9%4.8%9.7%9.0%17.7%1.8%0.4%-3.6M-53.9M-3.5M0.596.0223,52913,782515,733677,313
2013-12-13$26.03$23.3312.9%4.8%9.8%9.2%16.8%1.7%0.4%-16.3M-4.2M-3.5M2.306.0813,63831,368518,178678,033
2013-12-16$25.91$23.3313.3%4.8%9.9%10.7%18.0%2.2%0.9%-18.4M30.6M-3.3M3.709.2518,22867,377516,141665,775
2013-12-17$25.75$23.3313.4%4.8%10.1%11.0%17.0%1.7%1.0%-28.9M113.7M-3.3M1.0113.1113,82113,893523,620678,687
2013-12-18$25.98$23.3312.5%4.8%10.7%7.6%17.0%1.8%1.7%-27.7M11.2M-3.3M1.2018.3428,08333,702528,438677,736
2013-12-19$25.75$23.3312.3%4.8%11.0%6.8%17.4%1.6%0.2%-36.9M99.6M-3.2M1.7511.4712,37221,678536,499672,318
2013-12-20$25.81$23.3312.0%4.8%11.1%6.0%17.5%1.8%0.3%-66.3M76.0M-3.1M1.8011.9413,93525,140538,119675,603
2013-12-23$25.96$23.3311.7%4.7%10.3%4.7%19.7%1.5%2.0%3.3M-60.1M-3.0M0.8013.5218,08414,418477,291546,699
2013-12-24$26.00$23.3311.6%4.8%9.8%4.6%16.6%1.6%2.0%5.4M-82.8M-3.1M0.5120.5011,8866,051485,709555,183
2013-12-26$26.13$23.3311.6%4.7%10.0%4.4%16.7%1.5%0.4%11.4M-126.2M-3.1M0.8114.7917,59514,259490,434556,599
2013-12-27$26.16$23.3311.4%4.7%9.9%3.6%16.1%1.5%0.4%10.3M-135.3M-3.0M0.5711.9720,58011,817498,657563,109
2013-12-30$26.21$23.3311.4%4.7%9.9%3.6%18.7%1.7%2.1%15.0M-188.0M-3.1M0.7013.5513,1679,261495,435560,955
2013-12-31$26.23$23.3311.4%4.7%9.9%3.9%18.0%1.5%1.9%13.7M-159.1M-3.1M0.8514.0612,83710,890498,135565,623