WMT Options History — April 2014

In April 2014, WMT traded between $25.50 and $26.59. ATM implied volatility averaged 13.3%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.9% (HV 20d: 10.4%). Max pain ranged from $23.33 to $23.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2014-04-23: Highest Volume — 127,443 contracts
  • 2014-04-07: Largest IV spike — 9.3% change
  • 2014-04-29: Highest IV Rank — 17.2%
  • 2014-04-11: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.94$25.50$26.59$25.59$26.57
Max Pain$23.33$23.33$23.33$23.33$23.33
ATM IV13.3%11.6%15.1%11.6%15.1%
Expected Move4.3%4.3%4.4%4.3%4.3%
HV 20d10.4%9.6%11.7%10.3%10.5%
HV 60d12.8%11.4%13.1%12.7%11.4%
IV Rank10.7%4.3%17.2%4.3%17.1%
IV Percentile43.7%7.1%81.0%7.1%81.0%
Term Structure0.3%-0.7%1.9%0.8%-0.5%
VWIV15.6%14.4%18.3%14.4%15.2%
Skew 25d2.0%1.2%2.9%1.4%1.9%
Skew 10d4.1%2.3%7.5%2.9%3.9%
Call IV 25d12.7%10.9%14.8%11.2%14.8%
Put IV 25d14.6%12.2%16.7%12.6%16.7%
Bid-Ask Spread %7.915.849.826.148.82
Gamma HHI0.380.250.630.270.43
Net GEX66.4M35.8M127.3M67.1M63.0M
Net DEX-471.4M-718.5M-283.0M-397.2M-693.0M
Net VEX-3.8M-4.3M-3.5M-3.9M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.111.390.540.97
Total Volume52,502.85721,690127,44340,57835,469
Total OI1,048,984.286944,8381,137,3421,027,7221,137,342

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$25.59$23.3311.6%4.3%10.3%4.3%14.4%1.4%0.8%67.1M-397.2M-3.9M0.546.1426,34014,238620,934406,788
2014-04-02$25.73$23.3311.6%4.3%10.1%4.4%18.1%1.4%0.7%72.8M-470.6M-3.9M1.205.8412,11414,496626,115412,059
2014-04-03$25.82$23.3311.7%4.3%10.2%5.0%15.7%1.2%0.8%76.5M-530.8M-3.9M0.756.9412,6999,474630,720419,163
2014-04-04$25.77$23.3311.7%4.3%10.0%4.7%15.6%1.4%0.7%74.2M-513.2M-3.8M0.247.5857,42013,620634,389423,519
2014-04-07$25.77$23.3312.8%4.4%10.0%8.7%15.6%2.0%1.0%62.0M-432.7M-3.8M0.576.6519,92611,328612,000417,438
2014-04-08$26.06$23.3312.4%4.4%10.4%7.5%15.1%1.4%1.8%67.2M-608.3M-3.7M0.267.9549,71013,116616,932421,308
2014-04-09$25.99$23.3312.3%4.4%10.3%7.0%14.6%1.6%1.9%69.7M-559.3M-3.8M1.399.1011,83816,455630,336427,866
2014-04-10$25.63$23.3313.0%4.4%11.2%9.7%17.0%2.1%1.1%61.5M-347.2M-3.8M0.356.7833,66011,709635,331433,047
2014-04-11$25.50$23.3313.6%4.4%10.8%11.8%15.7%1.6%0.5%49.6M-283.0M-3.7M0.478.2132,59815,294627,852435,426
2014-04-14$25.79$23.3313.7%4.4%11.3%12.2%15.0%2.9%0.2%85.5M-412.4M-3.8M0.477.2918,0848,457623,271432,399
2014-04-15$25.63$23.3313.7%4.4%11.7%12.1%14.8%2.6%0.3%68.7M-311.0M-3.7M0.487.8722,39810,692626,280436,011
2014-04-16$25.74$23.3313.6%4.3%11.5%11.8%14.5%2.9%0.4%99.1M-368.5M-3.6M0.367.4838,08513,836622,926435,987
2014-04-17$25.89$23.3313.6%4.3%10.7%11.7%15.0%1.9%-0.7%127.3M-484.1M-3.5M0.116.8890,8649,624625,821445,014
2014-04-21$25.87$23.3313.3%4.3%10.3%10.7%18.3%2.2%-0.6%35.8M-315.0M-3.5M0.498.8814,5627,128542,565402,273
2014-04-22$25.85$23.3313.2%4.3%9.9%10.2%15.0%2.4%-0.4%38.0M-318.7M-3.5M0.479.3117,3798,130549,534406,062
2014-04-23$26.01$23.3313.6%4.3%10.1%11.8%14.7%1.9%-0.6%44.9M-414.3M-3.6M0.328.7596,48030,963559,944409,110
2014-04-24$26.10$23.3314.5%4.3%9.6%15.0%16.5%2.3%-0.6%49.4M-462.0M-3.8M0.289.8286,83224,225599,832430,287
2014-04-25$26.21$23.3314.7%4.4%9.6%15.7%15.0%2.1%-0.6%55.0M-560.7M-4.1M0.378.6653,53519,878660,648444,396
2014-04-28$26.59$23.3315.1%4.3%10.5%17.0%14.9%2.0%-0.5%64.8M-718.5M-4.2M1.108.4330,78934,011667,617431,001
2014-04-29$26.56$23.3315.1%4.3%10.5%17.2%16.8%1.9%-0.4%63.3M-698.9M-4.1M1.298.7424,04831,056670,596438,531
2014-04-30$26.57$23.3315.1%4.3%10.5%17.1%15.2%1.9%-0.5%63.0M-693.0M-4.3M0.978.8218,01817,451683,184454,158