WMT Options History — May 2014

In May 2014, WMT traded between $25.13 and $26.57. ATM implied volatility averaged 12.4%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.9% (HV 20d: 11.5%). Max pain ranged from $23.33 to $23.33. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2014-05-06: Highest Volume — 317,244 contracts
  • 2014-05-15: Largest IV drop — 14.3% change
  • 2014-05-02: Highest IV Rank — 16.3%
  • 2014-05-05: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.79$25.13$26.57$26.57$25.59
Max Pain$23.33$23.33$23.33$23.33$23.33
ATM IV12.4%9.9%14.8%14.7%9.9%
Expected Move4.2%4.1%4.4%4.3%4.1%
HV 20d11.5%9.0%13.3%10.4%12.5%
HV 60d11.6%11.1%12.4%11.4%11.2%
IV Rank8.4%0.0%16.3%15.8%0.0%
IV Percentile31.4%0.0%78.6%76.6%0.0%
Term Structure-0.3%-1.0%0.4%-0.4%0.0%
VWIV15.2%14.3%18.0%18.0%14.7%
Skew 25d1.5%1.1%1.8%1.6%1.1%
Skew 10d3.3%1.7%6.3%3.2%3.0%
Call IV 25d12.0%9.8%14.7%14.5%9.8%
Put IV 25d13.5%10.9%16.3%16.1%10.9%
Bid-Ask Spread %10.077.9617.228.7011.40
Gamma HHI0.300.120.500.410.18
Net GEX22.3M-21.2M69.7M61.0M-6.6M
Net DEX-213.9M-689.7M162.1M-689.7M-137.6M
Net VEX-3.9M-4.3M-3.2M-4.3M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.101.891.250.73
Total Volume69,149.42917,529317,24419,29983,985
Total OI1,140,131.4291,022,1361,241,0551,155,2041,167,015

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$26.57$23.3314.7%4.3%10.4%15.8%18.0%1.6%-0.4%61.0M-689.7M-4.3M1.258.708,58910,710687,336467,868
2014-05-02$26.37$23.3314.8%4.3%10.8%16.3%14.3%1.6%-0.6%57.7M-594.7M-4.1M1.397.9618,37825,626689,634472,455
2014-05-05$26.21$23.3314.6%4.4%11.1%15.2%0.0%1.5%-0.5%53.3M-440.4M-4.1M0.458.9427,60612,510681,630469,509
2014-05-06$26.00$23.3314.6%4.3%11.5%15.3%16.0%1.2%-0.5%48.8M-377.3M-3.9M0.108.11288,57628,668690,336471,915
2014-05-07$25.99$23.3314.8%4.3%10.8%16.2%14.8%1.7%-0.7%48.5M-323.6M-4.2M1.898.5113,55425,599669,375486,648
2014-05-08$26.23$23.3314.3%4.3%11.3%14.2%14.9%1.5%-0.5%56.3M-474.5M-4.3M0.688.3225,07716,953671,631492,270
2014-05-09$26.40$23.3314.0%4.2%10.1%13.2%14.4%1.5%-0.4%65.1M-580.2M-4.3M0.198.6133,3696,426678,600500,808
2014-05-12$26.38$23.3314.1%4.2%9.8%13.4%0.0%1.3%-1.0%68.3M-564.5M-4.2M1.248.937,8219,708671,004488,181
2014-05-13$26.38$23.3313.8%4.2%9.1%12.3%16.5%1.5%-0.9%69.7M-573.6M-4.2M0.7614.2024,00618,168673,224491,736
2014-05-14$26.25$23.3313.2%4.3%9.0%10.1%15.3%1.7%-0.2%61.3M-465.0M-4.1M1.2317.2250,96162,466675,561497,154
2014-05-15$25.61$23.3311.3%4.2%12.7%3.2%15.2%1.2%-0.0%3.8M37.1M-3.6M1.739.1245,18078,171689,025528,807
2014-05-16$25.67$23.3310.9%4.2%12.6%5.6%14.9%1.4%-0.3%3.3M13.5M-3.7M1.339.1421,51628,536696,417544,638
2014-05-19$25.54$23.3310.3%4.1%12.7%0.0%15.1%1.8%0.4%-8.3M9.7M-3.5M0.959.3017,48716,671562,584459,552
2014-05-20$25.23$23.3310.9%4.2%13.3%6.3%15.6%1.4%-0.1%-11.5M127.4M-3.2M1.4911.1038,37957,282569,694464,634
2014-05-21$25.22$23.3310.8%4.2%13.0%5.6%14.4%1.6%0.0%-10.6M116.5M-3.3M1.0610.3042,57044,973580,947479,742
2014-05-22$25.13$23.3310.7%4.2%12.9%3.7%15.0%1.3%0.4%-18.3M162.1M-3.4M0.689.3929,81120,169595,920504,984
2014-05-23$25.20$23.3310.4%4.1%12.8%0.8%15.9%1.7%-0.0%-14.0M112.1M-3.6M1.289.4022,00228,122609,174511,533
2014-05-27$25.20$23.3310.3%4.1%11.3%0.3%14.5%1.2%-0.2%-19.2M78.6M-3.5M0.7110.0826,90119,050591,417495,717
2014-05-28$25.18$23.3310.8%4.2%11.3%5.6%15.4%1.4%-0.1%-21.2M79.0M-3.6M0.4611.0556,25926,052602,103508,662
2014-05-29$25.33$23.3310.5%4.2%11.7%2.2%14.4%1.3%-0.1%-19.0M-7.3M-3.8M0.9711.7317,38516,866634,371518,949
2014-05-30$25.59$23.339.9%4.1%12.5%0.0%14.7%1.1%0.0%-6.6M-137.6M-3.9M0.7311.4048,56435,421638,214528,801