WMT Options History — June 2014

In June 2014, WMT traded between $24.97 and $25.77. ATM implied volatility averaged 10.5%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.9% (HV 20d: 9.6%). Max pain ranged from $23.33 to $24.17. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2014-06-11: Highest Volume — 93,207 contracts
  • 2014-06-26: Largest IV spike — 10.1% change
  • 2014-06-04: Highest IV Rank — 12.3%
  • 2014-06-11: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.34$24.97$25.77$25.59$25.02
Max Pain$24.09$23.33$24.17$23.33$24.17
ATM IV10.5%9.7%11.1%10.3%10.5%
Expected Move4.2%4.1%4.2%4.1%4.1%
HV 20d9.6%7.6%12.4%12.4%7.6%
HV 60d10.7%10.3%11.2%11.2%10.4%
IV Rank6.1%0.0%12.3%3.9%8.2%
IV Percentile4.3%0.0%10.3%0.8%5.6%
Term Structure0.2%-0.2%1.0%0.1%1.0%
VWIV15.4%14.5%18.1%15.2%14.9%
Skew 25d1.3%0.6%2.0%1.1%1.6%
Skew 10d2.9%1.4%4.7%2.2%3.1%
Call IV 25d10.2%9.2%11.0%10.1%10.1%
Put IV 25d11.5%10.7%12.2%11.2%11.6%
Bid-Ask Spread %10.008.6111.9510.999.42
Gamma HHI0.170.110.250.190.18
Net GEX-340.9K-24.1M35.4M637.1K-24.1M
Net DEX-112.5M-369.9M39.7M-179.2M39.6M
Net VEX-4.0M-4.3M-3.7M-4.1M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.272.310.601.53
Total Volume48,987.42914,07693,20749,60274,343
Total OI1,226,057.2861,093,3831,298,8801,195,7221,153,035

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$25.59$23.3310.3%4.1%12.4%3.9%15.2%1.1%0.1%637.1K-179.2M-4.1M0.6010.9930,96018,642662,802532,920
2014-06-03$25.57$23.3310.4%4.1%12.3%4.6%14.8%1.1%0.0%-2.6M-156.9M-4.1M0.5610.0716,7739,342669,906542,136
2014-06-04$25.71$24.1711.1%4.2%12.2%12.3%15.4%1.2%-0.2%13.2M-285.3M-4.2M0.289.9064,71618,072678,843540,408
2014-06-05$25.77$24.1710.8%4.2%12.3%8.5%15.2%1.4%-0.2%35.4M-369.9M-4.3M0.5511.5119,11910,419726,258540,708
2014-06-06$25.74$24.1710.5%4.1%11.7%5.8%16.1%0.6%-0.1%30.6M-326.6M-4.2M0.2710.8824,6756,615728,976544,314
2014-06-09$25.67$24.1710.5%4.1%11.4%6.3%15.5%1.1%-0.0%17.4M-260.8M-4.1M0.6211.0022,44913,965711,537530,355
2014-06-10$25.54$24.1710.3%4.1%11.5%3.9%15.2%1.1%-0.1%12.8M-194.9M-4.0M1.3711.955,9378,139715,017533,517
2014-06-11$25.39$24.1710.5%4.2%11.5%6.4%15.4%1.1%0.6%2.5M-91.4M-3.9M0.539.0161,00832,199717,855539,013
2014-06-12$25.24$24.1710.5%4.2%11.6%6.3%14.9%1.4%0.7%-10.6M-27.2M-3.9M1.338.8518,87025,005706,695559,215
2014-06-13$25.09$24.1710.8%4.2%8.1%8.6%15.2%1.1%0.1%-16.6M39.7M-4.0M0.879.8123,30120,250711,684569,565
2014-06-16$25.11$24.1710.8%4.2%8.1%9.5%15.5%1.5%0.2%-11.1M2.0M-3.9M0.4210.0018,8707,839714,696549,924
2014-06-17$25.00$24.1710.9%4.2%8.0%10.4%18.1%1.0%0.3%-12.4M32.5M-4.0M1.909.9215,16228,863721,215553,962
2014-06-18$25.23$24.1710.6%4.2%7.7%7.0%15.9%1.2%0.0%-8.0M-64.9M-4.0M0.648.6126,10316,830728,466568,341
2014-06-19$25.29$24.1710.4%4.2%7.8%5.2%14.5%1.4%0.0%196.7K-114.5M-3.8M2.1411.9519,61441,973727,104571,776
2014-06-20$25.23$24.1710.2%4.2%7.7%2.3%14.8%1.7%0.4%-7.6M-110.3M-3.8M2.3110.4427,84964,236731,235566,322
2014-06-23$25.26$24.1710.0%4.2%7.7%0.8%15.8%1.1%0.2%998.2K-108.3M-3.9M0.528.9219,1259,927610,998482,385
2014-06-24$25.32$24.179.8%4.1%7.7%0.0%14.6%1.6%0.3%2.1M-124.2M-3.9M1.058.8224,44125,704622,890487,740
2014-06-25$25.21$24.179.7%4.1%7.9%0.0%15.3%1.2%0.4%-3.5M-72.0M-3.9M1.038.6812,76813,098636,843501,993
2014-06-26$24.97$24.1710.7%4.1%8.2%10.2%14.7%2.0%0.1%-11.1M30.0M-3.8M2.2310.0524,12653,682643,902511,764
2014-06-27$25.11$24.1710.5%4.1%7.6%8.5%15.8%1.6%-0.1%-15.3M-20.7M-3.9M1.549.1621,12332,604650,352550,536
2014-06-30$25.02$24.1710.5%4.1%7.6%8.2%14.9%1.6%1.0%-24.1M39.6M-3.7M1.539.4229,34944,994631,209521,826