WMT Options History — October 2014

In October 2014, WMT traded between $24.61 and $26.10. ATM implied volatility averaged 15.2%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.6% (HV 20d: 16.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.92.

Notable Days

2014-10-15: Highest Volume — 279,684 contracts
2014-10-15: Largest IV spike — 21.3% change
2014-10-15: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.50	$24.61	$26.10	$25.37	$25.42
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	15.2%	12.1%	20.8%	12.6%	14.5%
Expected Move	4.1%	3.8%	4.7%	4.0%	4.0%
HV 20d	16.8%	12.3%	21.3%	13.2%	18.6%
HV 60d	12.7%	10.3%	14.6%	10.4%	13.9%
IV Rank	54.3%	28.2%	100.0%	33.5%	45.7%
IV Percentile	81.0%	46.0%	100.0%	59.5%	80.2%
Term Structure	0.1%	-2.2%	2.0%	-0.0%	0.4%
VWIV	14.7%	13.3%	17.5%	13.8%	13.8%
Skew 25d	2.3%	1.1%	5.1%	1.9%	1.4%
Skew 10d	5.1%	2.7%	11.1%	4.2%	3.2%
Call IV 25d	14.4%	11.3%	19.1%	11.9%	13.8%
Put IV 25d	16.7%	13.3%	24.2%	13.8%	15.2%
Bid-Ask Spread %	13.16	8.18	29.65	9.01	12.98
Gamma HHI	0.24	0.11	0.31	0.26	0.27
Net GEX	56.6M	-5.8M	92.9M	68.0M	44.5M
Net DEX	-434.4M	-926.4M	146.6M	-395.4M	-315.9M
Net VEX	-4.4M	-4.9M	-4.2M	-4.4M	-4.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.27	1.93	0.74	1.22
Total Volume	89,572.304	22,260	279,684	42,630	65,310
Total OI	1,387,627.696	1,306,125	1,540,797	1,331,478	1,395,561

Daily Data (23 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
2014-10-01	$25.37	$25.00	12.6%	4.0%	13.2%	33.5%	13.8%	1.9%	-0.0%	68.0M	-395.4M	-4.4M	0.74	9.01	24,432	18,198	770,073	561,405
2014-10-02	$25.41	$25.00	12.6%	4.0%	12.9%	32.9%	13.9%	1.3%	-0.2%	70.2M	-426.0M	-4.3M	0.42	8.18	24,756	10,305	775,584	568,740
2014-10-03	$25.77	$25.00	12.1%	3.8%	13.2%	28.2%	13.3%	2.0%	0.0%	84.9M	-661.0M	-4.4M	0.33	11.24	78,747	26,007	782,868	572,550
2014-10-06	$25.78	$25.00	12.2%	3.9%	12.3%	29.9%	14.3%	1.9%	2.0%	90.8M	-686.6M	-4.5M	0.32	9.69	53,097	16,956	802,887	553,404
2014-10-07	$25.77	$25.00	12.7%	3.9%	12.3%	34.1%	14.0%	2.1%	1.7%	90.5M	-699.8M	-4.6M	1.04	11.26	18,627	19,431	826,314	559,866
2014-10-08	$26.09	$25.00	12.7%	4.0%	12.9%	34.8%	14.2%	2.1%	1.6%	92.9M	-912.4M	-4.6M	0.54	11.86	80,823	43,464	830,793	568,740
2014-10-09	$25.95	$25.00	13.3%	4.1%	12.9%	40.8%	14.3%	1.8%	1.6%	90.4M	-825.7M	-4.6M	0.32	11.34	70,950	22,608	834,726	576,216
2014-10-10	$26.10	$25.00	15.5%	4.3%	12.8%	62.5%	14.6%	1.3%	1.6%	78.7M	-926.4M	-4.7M	0.57	13.09	104,076	58,878	840,276	584,154
2014-10-13	$25.85	$25.00	17.2%	4.4%	13.4%	79.2%	15.5%	1.1%	-0.3%	83.7M	-692.9M	-4.9M	0.47	10.53	33,051	15,393	844,038	583,590
2014-10-14	$26.05	$25.00	17.1%	4.3%	13.5%	78.1%	14.8%	2.3%	-0.3%	88.8M	-802.9M	-4.7M	0.94	10.76	29,055	27,273	845,919	587,139
2014-10-15	$25.06	$25.00	20.8%	4.7%	19.6%	100.0%	16.7%	3.9%	-1.8%	44.3M	-135.2M	-4.5M	0.85	29.65	151,257	128,427	852,048	600,267
2014-10-16	$24.61	$25.00	20.4%	4.7%	20.5%	97.0%	17.5%	5.1%	-2.2%	11.4M	146.6M	-4.3M	1.30	16.50	49,428	64,305	876,891	628,875
2014-10-17	$24.70	$25.00	18.3%	4.4%	20.3%	79.0%	15.3%	3.4%	-1.4%	-5.8M	137.1M	-4.2M	0.38	14.74	139,806	53,301	881,535	659,262
2014-10-20	$25.04	$25.00	17.2%	4.4%	20.9%	68.8%	15.7%	3.3%	0.0%	22.1M	-134.6M	-4.4M	0.83	16.81	61,053	50,649	731,241	574,884
2014-10-21	$25.39	$25.00	16.0%	4.3%	21.3%	59.0%	14.9%	3.2%	-0.6%	35.6M	-282.8M	-4.4M	1.48	13.66	31,992	47,232	735,768	581,415
2014-10-22	$25.35	$25.00	15.7%	4.3%	20.1%	56.0%	15.5%	2.3%	-0.6%	34.7M	-315.5M	-4.4M	1.65	12.31	35,256	58,113	745,752	597,597
2014-10-23	$25.39	$25.00	15.2%	4.2%	19.6%	51.8%	13.9%	2.3%	-0.6%	39.1M	-330.5M	-4.3M	1.84	11.89	27,960	51,510	749,619	598,146
2014-10-24	$25.45	$25.00	14.9%	3.9%	19.5%	49.4%	13.8%	2.1%	-0.4%	42.0M	-343.1M	-4.3M	1.15	12.33	27,930	32,220	755,697	608,799
2014-10-27	$25.53	$25.00	14.6%	4.0%	19.4%	46.8%	15.4%	2.2%	0.3%	47.8M	-369.8M	-4.3M	0.64	12.19	13,575	8,685	745,731	594,330
2014-10-28	$25.45	$25.00	14.8%	3.9%	19.4%	48.7%	15.2%	2.6%	0.3%	44.8M	-328.3M	-4.2M	0.27	13.56	61,569	16,761	751,215	599,121
2014-10-29	$25.46	$25.00	14.6%	3.9%	19.3%	46.5%	13.9%	2.3%	0.4%	50.5M	-346.2M	-4.4M	1.93	14.26	19,284	37,203	779,487	609,810
2014-10-30	$25.47	$25.00	14.4%	3.9%	19.3%	45.0%	13.7%	2.0%	0.4%	51.8M	-344.6M	-4.3M	1.85	14.74	17,985	33,225	781,647	611,457
2014-10-31	$25.42	$25.00	14.5%	4.0%	18.6%	45.7%	13.8%	1.4%	0.4%	44.5M	-315.9M	-4.2M	1.22	12.98	29,442	35,868	782,409	613,152