WMT Options History — August 2014

In August 2014, WMT traded between $24.45 and $25.30. ATM implied volatility averaged 11.5%, 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 1.6% (HV 20d: 9.9%). Max pain ranged from $24.17 to $25.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2014-08-05: Highest Volume — 160,899 contracts
  • 2014-08-14: Largest IV drop — 23.3% change
  • 2014-08-07: Highest IV Rank — 51.8%
  • 2014-08-05: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.89$24.45$25.30$24.51$25.17
Max Pain$24.92$24.17$25.00$25.00$25.00
ATM IV11.5%9.2%14.7%14.6%10.0%
Expected Move3.9%3.7%4.2%4.2%3.7%
HV 20d9.9%8.0%10.8%9.5%8.3%
HV 60d9.0%8.4%10.0%9.8%8.6%
IV Rank20.6%0.0%51.8%50.6%8.0%
IV Percentile31.5%0.0%84.1%81.3%6.3%
Term Structure-0.1%-1.0%0.7%-0.8%0.2%
VWIV14.2%12.7%15.9%15.7%13.4%
Skew 25d1.8%1.2%2.8%2.1%1.7%
Skew 10d3.9%2.1%5.8%4.0%3.5%
Call IV 25d11.0%8.9%14.2%14.2%9.2%
Put IV 25d12.8%10.4%16.2%16.2%10.9%
Bid-Ask Spread %10.598.0213.719.8010.44
Gamma HHI0.170.110.280.280.21
Net GEX5.2M-56.0M53.2M-56.0M46.9M
Net DEX-59.6M-394.5M286.5M286.5M-334.5M
Net VEX-4.0M-4.4M-3.6M-3.6M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.233.341.090.56
Total Volume64,391.28617,337160,89953,72732,871
Total OI1,232,096.2861,087,8001,295,7751,200,7141,295,775

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$24.51$25.0014.6%4.2%9.5%50.6%15.7%2.1%-0.8%-56.0M286.5M-3.6M1.099.8025,67128,056584,190616,524
2014-08-04$24.51$25.0014.4%4.2%9.2%49.3%14.9%2.8%-0.3%-20.2M252.7M-3.6M1.0410.0123,58024,612574,530596,496
2014-08-05$24.45$25.0013.9%4.2%8.6%43.8%15.7%2.1%-0.4%-25.9M257.5M-3.7M0.4511.04111,03349,866583,665610,287
2014-08-06$24.73$24.1714.3%4.1%9.3%48.0%14.7%2.5%-0.6%-15.9M132.5M-4.0M1.3111.9531,62341,346586,590637,050
2014-08-07$24.65$25.0014.7%4.2%9.3%51.8%15.4%1.9%-0.3%-18.6M176.3M-4.0M0.9210.0228,38626,112593,526648,408
2014-08-08$24.89$25.0014.0%4.1%10.2%45.2%15.3%2.2%-0.2%-4.1M56.4M-4.1M0.4910.1834,72817,139603,507656,019
2014-08-11$24.79$25.0013.8%4.1%10.2%43.1%15.2%2.2%-0.5%-6.7M60.7M-4.0M1.329.5116,79422,167595,833614,307
2014-08-12$24.74$25.0013.6%4.1%10.0%41.1%13.7%2.1%-1.0%-11.3M85.0M-4.0M1.6211.0913,92922,521598,479624,780
2014-08-13$24.68$25.0012.9%4.0%10.0%33.7%15.9%2.0%-1.0%-16.0M132.8M-3.9M3.3413.7136,822122,895604,458633,174
2014-08-14$24.80$24.179.9%3.9%10.3%2.6%13.3%1.9%-0.4%-32.8M85.9M-3.7M0.558.3153,82929,520602,841665,313
2014-08-15$24.63$25.0010.4%3.9%10.0%7.8%13.9%1.7%-0.6%-50.0M131.5M-3.8M1.7111.4136,67862,628634,740657,291
2014-08-18$24.83$25.009.5%3.7%10.6%0.0%13.4%1.3%0.3%2.1M-38.9M-3.6M0.6311.3225,06515,903545,292542,508
2014-08-19$24.96$25.009.6%3.8%10.8%0.3%13.6%1.4%0.5%11.1M-100.3M-3.8M0.4112.7671,23229,313560,556549,081
2014-08-20$24.99$25.009.5%3.7%10.7%0.0%12.9%1.2%0.4%25.0M-206.0M-4.1M1.0611.6215,44116,380623,265568,203
2014-08-21$25.18$25.009.5%3.8%10.8%0.3%13.2%1.2%0.5%41.7M-388.3M-4.4M0.2311.86119,31927,018680,037577,470
2014-08-22$25.24$25.009.3%3.8%10.7%0.0%13.7%1.4%0.7%45.7M-377.7M-4.3M0.338.0234,22111,364706,701585,819
2014-08-25$25.23$25.009.7%3.8%10.6%3.8%12.7%1.3%0.1%47.3M-360.8M-4.3M1.1211.8116,72218,762707,562560,247
2014-08-26$25.17$25.009.6%3.7%10.6%2.7%13.3%1.2%0.3%45.2M-326.0M-4.2M0.5710.1211,4486,543714,477564,162
2014-08-27$25.28$25.009.5%3.7%10.2%1.7%12.9%1.2%0.5%49.4M-382.2M-4.1M0.748.449,9367,401717,327566,115
2014-08-28$25.30$25.009.2%3.7%8.0%0.0%15.2%1.6%0.6%53.2M-394.5M-4.2M0.259.0418,6514,692719,733567,684
2014-08-29$25.17$25.0010.0%3.7%8.3%8.0%13.4%1.7%0.2%46.9M-334.5M-4.1M0.5610.4421,06011,811729,747566,028