WMT Options History — March 2014

In March 2014, WMT traded between $24.71 and $25.62. ATM implied volatility averaged 12.3%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.8% (HV 20d: 13.1%). Max pain ranged from $21.67 to $22.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.69.

Notable Days

2014-03-21: Highest Volume — 205,068 contracts
2014-03-21: Largest IV spike — 7.5% change
2014-03-03: Highest IV Rank — 11.5%
2014-03-03: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.10	$24.71	$25.62	$24.71	$25.48
Max Pain	$22.26	$21.67	$22.50	$21.67	$22.50
ATM IV	12.3%	11.5%	13.5%	13.5%	12.0%
Expected Move	4.5%	4.3%	4.6%	4.6%	4.3%
HV 20d	13.1%	11.1%	16.5%	16.5%	11.1%
HV 60d	12.3%	12.0%	12.7%	12.2%	12.7%
IV Rank	7.0%	4.2%	11.5%	11.5%	6.0%
IV Percentile	23.7%	8.7%	39.7%	39.7%	18.7%
Term Structure	0.1%	-0.8%	0.7%	-0.1%	0.7%
VWIV	16.1%	14.9%	18.3%	16.7%	15.9%
Skew 25d	1.5%	0.6%	1.9%	1.4%	1.7%
Skew 10d	3.3%	1.8%	4.7%	2.8%	3.8%
Call IV 25d	11.9%	11.1%	13.2%	13.2%	11.4%
Put IV 25d	13.4%	12.8%	14.7%	14.6%	13.1%
Bid-Ask Spread %	6.14	3.02	8.12	3.83	5.60
Gamma HHI	0.28	0.21	0.37	0.28	0.27
Net GEX	45.4M	-14.6M	76.9M	27.8M	61.5M
Net DEX	-203.1M	-456.7M	-3.0M	-4.8M	-334.8M
Net VEX	-3.8M	-4.0M	-3.6M	-3.6M	-3.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.12	1.62	0.73	0.95
Total Volume	60,714.857	22,230	205,068	39,996	22,230
Total OI	1,125,283.286	1,010,400	1,190,934	1,137,852	1,010,400

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
2014-03-03	$24.71	$21.67	13.5%	4.6%	16.5%	11.5%	16.7%	1.4%	-0.1%	27.8M	-4.8M	-3.6M	0.73	3.83	23,058	16,938	669,144	468,708
2014-03-04	$25.04	$21.67	12.5%	4.5%	13.8%	7.8%	17.8%	1.7%	0.0%	44.1M	-186.8M	-3.7M	0.49	3.89	59,799	29,304	678,033	476,379
2014-03-05	$24.93	$21.67	12.5%	4.5%	14.0%	7.7%	16.4%	1.4%	0.1%	38.6M	-125.7M	-3.8M	0.73	3.02	27,753	20,172	686,985	483,777
2014-03-06	$24.96	$21.67	12.1%	4.5%	14.0%	6.2%	15.3%	0.6%	-0.0%	41.8M	-151.2M	-3.8M	0.12	6.52	163,911	20,166	694,554	496,380
2014-03-07	$24.86	$21.67	12.5%	4.5%	14.1%	7.6%	16.1%	1.2%	0.1%	20.3M	-24.7M	-3.9M	0.63	6.02	21,015	13,146	660,930	504,618
2014-03-10	$24.81	$21.67	12.6%	4.5%	13.5%	7.9%	15.7%	1.4%	-0.3%	37.4M	-66.0M	-3.8M	0.78	7.21	20,319	15,837	651,663	468,168
2014-03-11	$24.97	$22.50	12.6%	4.5%	13.6%	8.0%	14.9%	1.3%	-0.3%	47.6M	-160.5M	-3.9M	1.00	6.12	24,576	24,627	661,566	472,047
2014-03-12	$25.18	$22.50	12.2%	4.5%	13.0%	6.6%	15.8%	1.4%	-0.1%	55.7M	-280.1M	-3.9M	0.29	6.32	46,104	13,587	664,173	482,283
2014-03-13	$24.98	$22.50	12.8%	4.5%	13.3%	8.9%	15.8%	1.6%	-0.4%	45.2M	-158.3M	-3.9M	0.49	6.36	34,569	16,968	665,733	484,188
2014-03-14	$24.76	$22.50	13.2%	4.6%	13.5%	10.1%	18.3%	1.9%	-0.8%	27.7M	-26.5M	-3.8M	0.57	7.42	37,581	21,450	679,626	491,982
2014-03-17	$24.89	$22.50	12.2%	4.5%	13.5%	6.6%	0.0%	1.8%	0.5%	49.5M	-92.8M	-3.8M	0.67	5.87	22,293	14,949	673,647	483,819
2014-03-18	$24.92	$22.50	11.8%	4.5%	13.4%	5.2%	17.1%	1.8%	0.4%	57.4M	-111.7M	-3.8M	1.26	5.90	16,224	20,433	679,230	488,754
2014-03-19	$24.79	$22.50	11.6%	4.5%	13.3%	4.5%	16.5%	1.8%	0.7%	44.2M	-3.0M	-3.7M	0.28	7.61	42,288	12,030	683,991	497,337
2014-03-20	$25.13	$22.50	11.5%	4.5%	12.4%	4.2%	14.9%	1.7%	0.5%	76.9M	-297.4M	-3.8M	0.43	8.12	48,708	20,817	681,633	490,761
2014-03-21	$25.37	$22.50	12.4%	4.5%	12.5%	7.3%	14.9%	1.1%	0.0%	62.4M	-456.7M	-3.9M	0.28	7.17	160,476	44,592	684,459	498,792
2014-03-24	$25.59	$22.50	11.9%	4.4%	12.7%	5.5%	16.3%	1.3%	0.2%	64.2M	-451.8M	-4.0M	0.73	4.84	27,552	20,235	648,114	398,127
2014-03-25	$25.62	$22.50	11.8%	4.4%	12.7%	5.0%	15.4%	1.4%	0.0%	62.2M	-446.1M	-4.0M	0.69	6.15	19,743	13,617	623,712	405,150
2014-03-26	$25.41	$22.50	12.2%	4.5%	11.5%	6.5%	15.3%	1.7%	0.1%	53.2M	-330.1M	-4.0M	0.48	6.39	35,790	17,253	628,347	409,938
2014-03-27	$25.38	$22.50	12.4%	4.5%	11.5%	7.2%	14.9%	1.7%	0.1%	49.4M	-294.3M	-4.0M	1.32	7.00	14,316	18,900	629,181	417,099
2014-03-28	$25.34	$22.50	12.1%	4.5%	11.5%	6.3%	17.0%	1.5%	0.2%	-14.6M	-262.1M	-3.8M	1.62	7.55	12,108	19,578	635,415	422,106
2014-03-31	$25.48	$22.50	12.0%	4.3%	11.1%	6.0%	15.9%	1.7%	0.7%	61.5M	-334.8M	-3.8M	0.95	5.60	11,385	10,845	615,627	394,773