WMT Options History — February 2014

In February 2014, WMT traded between $24.22 and $25.26. ATM implied volatility averaged 15.4%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.8% (HV 20d: 14.5%). Max pain ranged from $21.67 to $23.33. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.81.

Notable Days

2014-02-20: Highest Volume — 194,541 contracts
2014-02-14: Largest IV drop — 8.3% change
2014-02-03: Highest IV Rank — 32.6%
2014-02-03: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.69	$24.22	$25.26	$24.22	$24.90
Max Pain	$22.13	$21.67	$23.33	$23.33	$21.67
ATM IV	15.4%	12.4%	19.3%	19.3%	12.5%
Expected Move	4.7%	4.5%	4.9%	4.9%	4.5%
HV 20d	14.5%	12.5%	16.8%	12.5%	16.3%
HV 60d	11.3%	10.7%	12.1%	11.1%	12.1%
IV Rank	18.2%	7.4%	32.6%	32.6%	7.6%
IV Percentile	63.7%	26.2%	95.6%	95.6%	27.0%
Term Structure	-0.6%	-1.6%	0.4%	-1.6%	0.2%
VWIV	17.4%	15.7%	21.1%	17.0%	18.9%
Skew 25d	2.4%	1.5%	3.8%	3.5%	1.6%
Skew 10d	4.6%	2.9%	7.1%	3.1%	3.0%
Call IV 25d	14.4%	11.9%	17.5%	17.4%	11.9%
Put IV 25d	16.7%	13.5%	20.9%	20.9%	13.5%
Bid-Ask Spread %	10.13	3.77	32.76	13.18	4.42
Gamma HHI	0.19	0.14	0.29	0.14	0.29
Net GEX	15.5M	-106.8K	37.4M	-106.8K	37.4M
Net DEX	33.0M	-242.4M	244.9M	244.9M	-125.3M
Net VEX	-3.7M	-3.9M	-3.3M	-3.4M	-3.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.32	1.22	0.32	1.13
Total Volume	60,661.579	29,433	194,541	137,472	38,985
Total OI	1,156,200.316	1,050,999	1,289,448	1,050,999	1,161,678

Daily Data (19 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
2014-02-03	$24.22	$23.33	19.3%	4.9%	12.5%	32.6%	17.0%	3.5%	-1.6%	-106.8K	244.9M	-3.4M	0.32	13.18	103,764	33,708	604,284	446,715
2014-02-04	$24.24	$23.33	18.8%	4.8%	12.6%	30.4%	17.3%	3.2%	-1.6%	3.5M	219.6M	-3.6M	0.87	19.32	19,500	16,932	663,774	455,631
2014-02-05	$24.29	$23.33	18.9%	4.8%	12.6%	30.9%	17.2%	3.2%	-1.2%	4.5M	190.2M	-3.7M	1.09	23.62	18,111	19,674	669,177	458,337
2014-02-06	$24.27	$23.33	18.6%	4.8%	12.5%	29.8%	21.1%	3.3%	-1.3%	3.6M	214.0M	-3.7M	1.20	7.40	20,964	25,119	676,635	468,549
2014-02-07	$24.58	$21.67	17.5%	4.8%	13.6%	25.8%	15.7%	3.8%	-1.2%	6.0M	109.9M	-3.7M	1.16	7.60	26,151	30,255	681,786	483,675
2014-02-10	$24.59	$21.67	16.9%	4.7%	13.6%	23.7%	17.1%	3.2%	-1.3%	5.0M	104.9M	-3.8M	0.58	6.47	18,648	10,785	672,363	479,547
2014-02-11	$24.93	$21.67	16.0%	4.7%	14.7%	20.4%	16.5%	2.2%	-0.9%	14.2M	-57.7M	-3.9M	0.49	13.50	34,608	16,872	677,466	477,567
2014-02-12	$24.99	$21.67	16.0%	4.7%	14.5%	20.3%	18.1%	2.0%	-1.0%	16.7M	-89.9M	-3.8M	1.22	6.12	14,859	18,165	689,970	479,373
2014-02-13	$25.12	$21.67	15.6%	4.7%	14.7%	19.1%	17.7%	2.1%	-0.5%	22.4M	-168.9M	-3.9M	0.58	8.55	22,803	13,254	696,399	485,445
2014-02-14	$25.26	$21.67	14.3%	4.7%	14.4%	14.3%	17.0%	1.9%	0.4%	31.0M	-242.4M	-3.8M	0.61	6.26	35,277	21,672	703,806	490,167
2014-02-18	$25.11	$21.67	14.5%	4.7%	14.3%	15.0%	16.8%	2.1%	-0.2%	24.3M	-130.0M	-3.7M	0.96	9.06	21,279	20,457	696,603	476,844
2014-02-19	$24.95	$21.67	14.7%	4.6%	14.4%	15.7%	16.8%	2.3%	-0.2%	20.5M	-45.0M	-3.6M	1.05	6.26	36,222	38,175	705,621	482,664
2014-02-20	$24.51	$21.67	14.6%	4.7%	15.6%	15.3%	18.3%	2.3%	-0.7%	1.2M	185.6M	-3.3M	0.46	7.29	133,467	61,074	703,602	491,145
2014-02-21	$24.37	$21.67	13.9%	4.8%	15.6%	12.8%	18.4%	1.6%	-0.4%	6.8M	202.6M	-3.4M	1.08	7.37	29,523	31,842	788,718	500,730
2014-02-24	$24.45	$0.00	12.8%	4.5%	15.5%	8.8%	17.3%	1.9%	0.2%	12.1M	116.7M	-3.4M	0.58	32.76	49,521	28,773	630,384	454,953
2014-02-25	$24.45	$23.33	12.6%	4.5%	15.4%	8.1%	17.3%	1.5%	0.3%	12.4M	123.1M	-3.4M	0.50	5.70	22,728	11,307	653,988	468,360
2014-02-26	$24.93	$21.67	12.6%	4.6%	16.8%	7.9%	16.2%	1.6%	0.1%	36.9M	-134.0M	-3.8M	0.81	3.84	36,144	29,379	667,002	473,235
2014-02-27	$24.85	$21.67	12.4%	4.5%	16.6%	7.4%	15.8%	1.6%	-0.0%	35.8M	-91.8M	-3.8M	0.65	3.77	25,860	16,713	673,173	478,440
2014-02-28	$24.90	$21.67	12.5%	4.5%	16.3%	7.6%	18.9%	1.6%	0.2%	37.4M	-125.3M	-3.8M	1.13	4.42	18,333	20,652	677,424	484,254