WMT Options History — January 2014

In January 2014, WMT traded between $24.70 and $26.30. ATM implied volatility averaged 13.2%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.7% (HV 20d: 8.5%). Max pain ranged from $21.67 to $23.33. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.89.

Notable Days

2014-01-31: Highest Volume — 167,589 contracts
2014-01-21: Largest IV spike — 10.1% change
2014-01-31: Highest IV Rank — 23.4%
2014-01-17: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.51	$24.70	$26.30	$26.30	$24.89
Max Pain	$23.17	$21.67	$23.33	$23.33	$23.33
ATM IV	13.2%	10.9%	16.8%	11.6%	16.8%
Expected Move	4.7%	4.6%	4.8%	4.6%	4.6%
HV 20d	8.5%	7.6%	10.0%	10.0%	9.0%
HV 60d	10.0%	9.3%	11.3%	11.3%	9.6%
IV Rank	10.1%	2.1%	23.4%	4.4%	23.4%
IV Percentile	38.0%	2.8%	86.9%	11.9%	86.9%
Term Structure	0.7%	-1.1%	2.4%	0.2%	0.6%
VWIV	17.0%	15.8%	19.3%	16.4%	16.4%
Skew 25d	1.8%	1.2%	2.5%	1.8%	2.5%
Skew 10d	3.8%	2.4%	5.3%	3.8%	4.8%
Call IV 25d	12.5%	10.7%	15.6%	11.0%	15.6%
Put IV 25d	14.3%	12.0%	18.0%	12.8%	18.0%
Bid-Ask Spread %	13.73	8.97	23.63	14.24	16.36
Gamma HHI	0.18	0.11	0.38	0.21	0.14
Net GEX	-6.3M	-51.8M	18.5M	18.5M	5.7M
Net DEX	12.3M	-195.1M	153.2M	-195.1M	34.5M
Net VEX	-3.0M	-3.5M	-2.8M	-3.1M	-3.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.22	1.94	1.40	0.57
Total Volume	61,799.714	19,962	167,589	43,467	167,589
Total OI	999,738.429	747,369	1,154,223	1,068,945	1,001,889

Daily Data (21 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
2014-01-02	$26.30	$23.33	11.6%	4.6%	10.0%	4.4%	16.4%	1.8%	0.2%	18.5M	-195.1M	-3.1M	1.40	14.24	18,138	25,329	500,025	568,920
2014-01-03	$26.22	$23.33	11.6%	4.7%	9.1%	4.6%	17.9%	1.7%	0.2%	9.9M	-140.1M	-3.0M	1.40	13.74	18,072	25,248	502,659	582,168
2014-01-06	$26.07	$23.33	12.2%	4.7%	8.7%	6.6%	17.5%	2.0%	1.3%	-6.4M	-57.7M	-2.9M	0.76	9.85	14,049	10,713	497,181	585,114
2014-01-07	$26.15	$23.33	11.8%	4.7%	8.4%	5.3%	17.4%	1.7%	1.5%	274.2K	-100.2M	-2.9M	0.97	14.19	10,158	9,804	500,535	589,149
2014-01-08	$25.94	$23.33	11.7%	4.7%	8.8%	4.8%	19.3%	1.6%	1.3%	-14.2M	-21.1M	-2.8M	0.81	13.15	16,215	13,209	503,157	588,723
2014-01-09	$26.03	$23.33	11.8%	4.7%	8.2%	5.0%	16.3%	1.5%	2.0%	-6.5M	-76.0M	-2.9M	0.53	14.60	47,241	25,092	506,784	593,190
2014-01-10	$26.01	$23.33	11.9%	4.7%	8.1%	5.4%	18.5%	1.6%	2.0%	-51.8M	-74.2M	-3.0M	1.89	8.97	15,663	29,592	520,785	600,594
2014-01-13	$25.83	$23.33	12.4%	4.7%	8.1%	7.4%	16.7%	1.5%	1.6%	-10.6M	1.7M	-2.9M	0.66	14.60	21,807	14,478	515,853	591,861
2014-01-14	$25.99	$23.33	11.5%	4.7%	8.2%	3.9%	17.0%	1.4%	2.2%	-6.3M	-71.0M	-2.9M	0.22	9.23	32,367	7,218	523,764	602,328
2014-01-15	$25.89	$23.33	10.9%	4.6%	8.2%	2.1%	15.8%	1.2%	2.1%	-15.7M	-32.3M	-2.9M	0.46	14.89	31,317	14,412	531,399	600,756
2014-01-16	$25.59	$23.33	11.7%	4.7%	8.9%	4.8%	18.5%	1.5%	1.9%	-11.8M	118.4M	-2.9M	1.94	9.09	16,689	32,352	542,751	606,486
2014-01-17	$25.40	$21.67	12.2%	4.8%	8.6%	6.6%	16.1%	1.5%	2.4%	-15.4M	153.2M	-2.9M	0.95	15.48	46,902	44,502	545,010	609,213
2014-01-21	$25.28	$21.67	13.4%	4.7%	8.2%	11.1%	16.8%	2.3%	-0.1%	-3.3M	36.9M	-2.8M	0.63	11.03	48,036	30,093	424,068	323,301
2014-01-22	$25.12	$23.33	13.7%	4.6%	8.3%	12.1%	15.8%	2.1%	-0.5%	-3.1M	63.4M	-2.8M	0.81	15.44	26,661	21,477	445,854	335,286
2014-01-23	$24.99	$23.33	14.2%	4.6%	8.0%	13.7%	16.7%	1.8%	0.1%	-4.0M	90.0M	-2.9M	1.28	11.13	24,678	31,569	461,142	347,346
2014-01-24	$24.81	$23.33	15.4%	4.7%	8.0%	18.3%	18.4%	2.1%	-0.5%	-7.7M	116.5M	-2.9M	0.59	21.97	52,302	31,098	468,390	359,427
2014-01-27	$24.72	$23.33	15.0%	4.6%	7.6%	16.8%	16.4%	1.6%	-1.0%	-4.0M	131.9M	-2.9M	1.20	10.45	47,694	57,465	475,344	361,539
2014-01-28	$24.89	$23.33	15.1%	4.6%	8.2%	17.2%	15.9%	1.7%	-1.1%	-682.0K	74.0M	-3.1M	0.72	14.10	29,739	21,366	490,869	383,823
2014-01-29	$24.70	$23.33	15.5%	4.6%	8.3%	18.6%	16.7%	2.2%	-1.0%	-4.7M	141.5M	-3.0M	0.41	23.63	42,657	17,433	497,274	395,082
2014-01-30	$24.92	$23.33	15.8%	4.6%	9.2%	19.8%	16.0%	2.0%	0.5%	-168.9K	63.6M	-3.2M	0.49	12.14	71,931	35,439	510,126	405,342
2014-01-31	$24.89	$23.33	16.8%	4.6%	9.0%	23.4%	16.4%	2.5%	0.6%	5.7M	34.5M	-3.5M	0.57	16.36	106,413	61,176	568,161	433,728