WMT Options History — September 2014

In September 2014, WMT traded between $25.20 and $25.84. ATM implied volatility averaged 10.8%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.9% (HV 20d: 9.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2014-09-19: Highest Volume — 99,375 contracts
2014-09-19: Largest IV drop — 13.2% change
2014-09-30: Highest IV Rank — 29.9%
2014-09-29: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.45	$25.20	$25.84	$25.25	$25.49
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	10.8%	9.5%	12.2%	10.0%	12.2%
Expected Move	3.7%	3.5%	3.9%	3.8%	3.7%
HV 20d	9.9%	7.6%	13.1%	8.3%	13.1%
HV 60d	9.4%	8.6%	10.5%	8.6%	10.5%
IV Rank	15.5%	3.1%	29.9%	7.4%	29.9%
IV Percentile	21.4%	2.0%	49.6%	6.0%	49.6%
Term Structure	0.1%	-0.5%	1.0%	0.4%	0.1%
VWIV	13.3%	12.5%	14.4%	13.8%	13.5%
Skew 25d	1.6%	0.9%	2.2%	1.3%	2.1%
Skew 10d	3.6%	2.3%	5.2%	2.8%	4.7%
Call IV 25d	10.3%	9.2%	11.3%	9.7%	11.3%
Put IV 25d	11.9%	10.4%	13.4%	11.0%	13.4%
Bid-Ask Spread %	10.23	8.85	12.51	9.10	9.16
Gamma HHI	0.27	0.21	0.35	0.21	0.28
Net GEX	64.9M	51.1M	81.7M	51.4M	74.4M
Net DEX	-470.5M	-780.2M	-289.3M	-356.3M	-479.5M
Net VEX	-4.1M	-4.5M	-3.7M	-4.0M	-4.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.19	1.58	0.62	0.69
Total Volume	53,496.286	16,095	99,375	22,212	27,966
Total OI	1,329,151.143	1,164,240	1,420,566	1,282,899	1,325,220

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-09-02	$25.25	$25.00	10.0%	3.8%	8.3%	7.4%	13.8%	1.3%	0.4%	51.4M	-356.3M	-4.0M	0.62	9.10	13,710	8,502	723,390	559,509
2014-09-03	$25.34	$25.00	10.2%	3.8%	8.2%	9.2%	13.3%	1.0%	-0.3%	57.2M	-425.5M	-4.0M	0.84	10.33	18,828	15,843	726,624	563,853
2014-09-04	$25.52	$25.00	9.5%	3.6%	7.6%	3.1%	12.9%	1.4%	0.3%	65.2M	-553.3M	-4.0M	0.37	11.20	67,947	25,182	732,576	572,469
2014-09-05	$25.84	$25.00	9.6%	3.6%	8.3%	4.2%	13.0%	0.9%	0.2%	81.0M	-780.2M	-4.1M	0.41	10.52	64,815	26,310	774,612	581,022
2014-09-08	$25.51	$25.00	10.2%	3.6%	9.4%	9.7%	13.4%	1.4%	0.4%	72.4M	-543.3M	-4.1M	0.68	8.92	31,185	21,252	781,689	573,924
2014-09-09	$25.58	$25.00	10.4%	3.6%	9.2%	11.6%	14.4%	1.2%	0.1%	81.0M	-597.3M	-4.1M	0.65	12.38	26,580	17,256	795,069	582,972
2014-09-10	$25.50	$25.00	10.4%	3.6%	9.2%	11.3%	13.8%	1.4%	0.2%	81.7M	-537.1M	-4.2M	1.37	12.51	19,260	26,328	801,096	587,817
2014-09-11	$25.37	$25.00	11.1%	3.8%	9.5%	18.4%	12.6%	1.1%	0.8%	61.5M	-428.1M	-4.2M	0.39	10.38	22,764	8,793	808,821	603,495
2014-09-12	$25.26	$25.00	11.0%	3.8%	9.6%	17.8%	13.4%	1.5%	1.0%	51.1M	-358.0M	-4.2M	0.37	8.86	30,942	11,571	817,227	603,339
2014-09-15	$25.27	$25.00	11.6%	3.8%	9.2%	23.7%	13.9%	1.8%	-0.5%	51.6M	-341.1M	-4.1M	0.47	9.57	10,959	5,136	794,310	586,860
2014-09-16	$25.44	$25.00	10.7%	3.6%	9.0%	14.7%	13.8%	2.0%	0.6%	61.4M	-444.8M	-4.0M	0.45	8.85	23,808	10,620	797,478	587,130
2014-09-17	$25.41	$25.00	11.3%	3.8%	9.0%	20.5%	13.0%	2.1%	-0.1%	64.1M	-466.2M	-3.9M	0.57	11.41	38,085	21,585	800,685	589,431
2014-09-18	$25.41	$25.00	11.2%	3.7%	9.0%	19.6%	13.8%	1.7%	-0.5%	56.1M	-444.0M	-3.8M	0.19	11.14	40,089	7,476	796,254	601,218
2014-09-19	$25.61	$25.00	9.7%	3.5%	9.0%	5.0%	12.9%	1.5%	0.5%	76.1M	-584.7M	-3.9M	0.48	11.44	67,014	32,361	817,812	602,277
2014-09-22	$25.44	$25.00	10.4%	3.5%	9.4%	11.6%	12.8%	2.0%	0.1%	66.3M	-426.6M	-3.8M	0.89	11.05	23,178	20,706	689,928	474,312
2014-09-23	$25.20	$25.00	10.5%	3.7%	10.0%	12.3%	12.6%	1.7%	0.0%	55.4M	-289.3M	-3.7M	1.50	9.41	25,782	38,607	700,764	490,797
2014-09-24	$25.69	$25.00	10.8%	3.6%	12.1%	15.7%	12.5%	1.9%	0.2%	71.9M	-570.9M	-4.0M	0.72	10.19	54,969	39,381	708,795	518,475
2014-09-25	$25.37	$25.00	11.8%	3.9%	12.9%	25.3%	13.9%	1.4%	-0.2%	56.3M	-411.2M	-4.2M	1.56	9.66	18,420	28,728	728,868	544,776
2014-09-26	$25.50	$25.00	11.7%	3.7%	13.0%	24.7%	13.0%	2.2%	-0.2%	64.3M	-463.0M	-4.2M	1.58	9.63	22,929	36,264	733,413	559,095
2014-09-29	$25.36	$25.00	12.2%	3.9%	13.0%	29.6%	13.1%	1.9%	-0.1%	61.5M	-380.8M	-4.3M	0.23	9.19	58,743	13,548	726,030	548,742
2014-09-30	$25.49	$25.00	12.2%	3.7%	13.1%	29.9%	13.5%	2.1%	0.1%	74.4M	-479.5M	-4.5M	0.69	9.16	16,500	11,466	767,889	557,331