WMT Options History — July 2014

In July 2014, WMT traded between $24.53 and $25.74. ATM implied volatility averaged 11.7%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.8% (HV 20d: 7.8%). Max pain ranged from $24.17 to $26.67. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2014-07-31: Highest Volume — 86,334 contracts
  • 2014-07-31: Largest IV spike — 9.6% change
  • 2014-07-31: Highest IV Rank — 44.7%
  • 2014-07-02: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.40$24.53$25.74$25.09$24.53
Max Pain$24.56$24.17$26.67$24.17$25.83
ATM IV11.7%9.7%14.0%10.2%14.0%
Expected Move3.9%3.7%4.1%4.1%4.1%
HV 20d7.8%7.1%9.5%7.7%9.5%
HV 60d9.8%9.2%10.5%10.5%9.8%
IV Rank20.6%0.0%44.7%4.6%44.7%
IV Percentile30.1%0.0%69.4%1.6%69.4%
Term Structure0.4%-0.7%2.8%0.8%-0.6%
VWIV14.5%13.4%16.4%14.4%13.7%
Skew 25d1.9%1.3%2.3%1.6%1.6%
Skew 10d3.8%1.9%5.2%3.8%3.4%
Call IV 25d11.1%9.4%13.7%9.6%13.7%
Put IV 25d13.0%10.8%15.3%11.2%15.3%
Bid-Ask Spread %10.998.2913.348.9910.34
Gamma HHI0.170.120.230.230.12
Net GEX4.0M-30.2M25.3M-25.1M-30.2M
Net DEX-155.5M-345.3M269.5M2.0M269.5M
Net VEX-3.8M-4.0M-3.6M-3.9M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.392.280.391.30
Total Volume41,339.45518,45086,33440,16486,334
Total OI1,189,571.0451,066,2721,260,0481,205,2591,174,119

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$25.09$24.1710.2%4.1%7.7%4.6%14.4%1.6%0.8%-25.1M2.0M-3.9M0.398.9928,97411,190647,826557,433
2014-07-02$25.21$24.179.7%4.1%7.6%0.0%14.1%1.6%0.9%-15.0M-70.2M-3.9M1.0210.6120,99721,468664,329562,890
2014-07-03$25.25$24.179.9%4.1%7.6%2.4%15.9%1.4%0.8%-7.8M-97.6M-3.9M0.909.7612,07810,869670,905572,508
2014-07-07$25.36$24.1710.5%4.1%7.8%8.7%14.0%1.9%2.8%-4.7M-102.2M-3.9M0.8410.0018,06315,120659,757545,418
2014-07-08$25.55$24.1710.4%4.0%8.3%7.5%14.2%1.9%1.6%10.0M-209.8M-4.0M0.649.7539,43825,044666,978554,091
2014-07-09$25.74$24.1710.4%4.0%8.5%7.6%14.4%1.8%1.6%21.0M-345.3M-4.0M0.7410.1823,07016,971677,478560,664
2014-07-10$25.69$24.1710.6%4.0%8.2%9.6%14.0%1.3%1.7%25.3M-331.1M-4.0M0.749.8815,81011,664687,237567,207
2014-07-11$25.61$24.1710.8%4.0%8.0%12.0%14.8%1.3%1.7%21.5M-261.5M-4.0M1.4611.1114,61021,261688,686571,362
2014-07-14$25.52$24.1711.8%4.0%7.8%21.8%16.4%2.3%0.5%14.9M-204.0M-3.8M1.0011.8118,61818,618681,180541,257
2014-07-15$25.61$24.1711.8%3.9%7.9%21.9%15.1%2.0%0.3%18.8M-259.3M-3.8M1.1011.669,42910,374684,465547,935
2014-07-16$25.62$24.1711.8%3.9%7.6%22.3%15.2%2.0%0.3%20.5M-233.9M-3.8M0.9011.869,7328,718688,638551,235
2014-07-17$25.54$24.1712.6%4.0%7.1%30.0%14.0%2.1%-0.2%17.0M-224.4M-3.8M1.4112.8814,12119,881689,385549,633
2014-07-18$25.70$24.1712.0%4.0%7.3%24.6%15.6%2.0%0.2%24.6M-279.0M-3.7M1.5212.5525,56938,961693,480563,034
2014-07-21$25.59$0.0012.2%3.7%7.5%26.5%13.5%2.3%-0.1%14.9M-254.4M-3.7M1.568.2917,97628,080541,053525,219
2014-07-22$25.55$26.6712.4%3.7%7.5%28.4%14.3%2.1%-0.3%13.6M-226.1M-3.7M1.6211.8112,70820,556550,641543,738
2014-07-23$25.66$24.1712.3%3.7%7.6%27.2%15.7%2.0%-0.6%14.9M-283.8M-3.6M0.909.9712,23410,956554,877556,869
2014-07-24$25.45$24.1712.6%3.7%8.1%30.3%13.4%2.3%-0.4%8.4M-187.6M-3.7M1.2913.0624,50731,725560,016557,604
2014-07-25$25.32$25.0012.6%3.8%7.5%30.2%14.1%2.0%-0.4%-16.7M-84.7M-3.7M1.1610.8617,68220,559571,230579,522
2014-07-28$25.24$25.0012.4%3.9%7.4%28.8%13.8%2.1%-0.7%-10.0M-67.3M-3.6M1.2412.7914,87418,498553,584569,034
2014-07-29$25.15$25.0012.7%3.9%7.4%31.6%14.0%1.8%-0.6%-7.6M-53.9M-3.6M2.2810.2115,93936,387559,728568,524
2014-07-30$24.93$25.8312.8%3.8%8.0%32.0%13.8%1.7%-0.7%-21.3M82.9M-3.6M0.7713.3433,84325,962567,186592,608
2014-07-31$24.53$25.8314.0%4.1%9.5%44.7%13.7%1.6%-0.6%-30.2M269.5M-3.6M1.3010.3437,55748,777573,276600,843