WMT Options History — November 2014 In November 2014, WMT traded between $25.42 and $29.18. ATM implied volatility averaged 14.2%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 3.4% (HV 20d: 17.6%). Max pain ranged from $25.00 to $28.33. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.62.
Notable Days 2014-11-13 : Highest Volume — 470,970 contracts2014-11-28 : Largest IV spike — 10.5% change2014-11-10 : Highest IV Rank — 66.7%2014-11-10 : Largest Expected Move — 4.2%Monthly Statistics Metric Avg Min Max Open Close Price $27.29 $25.42 $29.18 $25.42 $29.18 Max Pain $25.56 $25.00 $28.33 $25.00 $28.33 ATM IV 14.2% 12.2% 16.9% 15.5% 13.4% Expected Move 4.0% 3.9% 4.2% 4.1% 4.1% HV 20d 17.6% 11.9% 19.3% 18.6% 19.3% HV 60d 15.7% 13.8% 17.9% 13.8% 17.9% IV Rank 43.4% 25.5% 66.7% 54.2% 36.5% IV Percentile 75.6% 44.0% 95.6% 90.1% 68.3% Term Structure -0.4% -1.1% 0.6% -0.9% -0.3% VWIV 14.4% 13.1% 15.6% 13.7% 14.3% Skew 25d 1.7% 0.4% 3.3% 3.3% 1.2% Skew 10d 3.5% 1.1% 5.9% 5.6% 2.4% Call IV 25d 13.6% 11.6% 16.0% 13.9% 13.4% Put IV 25d 15.3% 13.2% 17.2% 17.2% 14.6% Bid-Ask Spread % 12.80 4.52 38.87 13.93 5.91 Gamma HHI 0.26 0.19 0.33 0.28 0.30 Net GEX 83.5M 46.0M 120.6M 46.0M 69.9M Net DEX -1.36B -2.21B -317.1M -317.1M -1.93B Net VEX -4.4M -4.9M -4.1M -4.1M -4.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.15 1.44 0.55 0.44 Total Volume 173,169.632 63,009 470,970 94,305 240,024 Total OI 1,597,734.789 1,361,784 1,858,638 1,361,784 1,632,489
Daily Data (19 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 2014-11-03 $25.42 $25.00 15.5% 4.1% 18.6% 54.2% 13.7% 3.3% -0.9% 46.0M -317.1M -4.1M 0.55 13.93 61,032 33,273 776,367 585,417 2014-11-04 $25.75 $25.00 15.5% 3.9% 19.2% 54.5% 14.6% 2.4% -0.8% 66.2M -521.6M -4.1M 1.16 14.96 29,979 34,869 798,441 589,446 2014-11-05 $25.89 $25.00 15.0% 4.0% 18.8% 50.3% 14.1% 2.1% -0.7% 74.2M -611.2M -4.1M 1.05 12.85 30,708 32,301 806,664 587,826 2014-11-06 $25.94 $25.00 14.8% 4.0% 18.7% 48.5% 15.0% 2.5% -0.4% 78.7M -647.5M -4.1M 1.44 8.68 27,567 39,654 806,487 590,655 2014-11-07 $26.25 $25.00 15.4% 4.1% 19.1% 53.2% 14.2% 1.7% -0.4% 77.5M -790.3M -4.3M 0.32 38.87 165,615 53,019 809,427 598,185 2014-11-10 $26.47 $25.00 16.9% 4.2% 19.0% 66.7% 14.4% 0.4% -1.1% 81.9M -966.5M -4.1M 0.27 21.04 239,832 65,889 829,221 589,005 2014-11-11 $26.34 $25.00 16.0% 4.1% 18.9% 58.7% 15.5% 1.1% -0.9% 86.6M -911.0M -4.1M 0.81 16.53 58,962 47,520 826,878 580,986 2014-11-12 $26.42 $25.00 15.5% 4.0% 11.9% 54.7% 15.6% 1.1% -0.6% 104.7M -950.5M -4.8M 0.38 15.65 180,567 69,408 968,034 615,747 2014-11-13 $27.63 $25.00 14.7% 4.1% 17.1% 47.5% 14.3% 1.7% -0.3% 94.7M -1.83B -4.3M 0.58 12.11 298,578 172,392 1,023,066 642,315 2014-11-14 $27.65 $25.00 14.0% 4.1% 17.2% 41.4% 14.1% 1.8% -0.5% 120.6M -1.86B -4.9M 0.54 12.75 130,197 70,209 1,118,865 705,579 2014-11-17 $27.84 $25.00 13.6% 4.1% 17.0% 38.1% 14.4% 1.4% -0.5% 95.1M -1.88B -4.9M 0.72 10.25 66,114 47,304 1,103,403 697,008 2014-11-18 $27.94 $25.00 12.7% 3.9% 16.7% 30.5% 15.5% 1.8% 0.2% 92.5M -1.94B -4.6M 0.38 10.88 117,774 44,895 1,108,053 702,708 2014-11-19 $28.33 $25.00 13.9% 4.1% 16.8% 40.4% 14.9% 1.4% -0.3% 87.7M -2.21B -4.7M 0.37 10.96 195,936 73,365 1,146,984 711,654 2014-11-20 $28.16 $25.00 13.4% 4.1% 17.2% 36.2% 14.9% 1.7% 0.0% 77.9M -1.97B -4.5M 0.42 11.21 83,658 35,208 1,106,589 726,510 2014-11-21 $28.21 $25.00 12.6% 4.0% 17.3% 29.5% 14.3% 1.5% 0.6% 84.5M -1.97B -4.6M 0.59 10.98 57,693 34,296 1,110,954 734,508 2014-11-24 $28.47 $0.00 12.6% 4.0% 17.3% 29.6% 13.6% 1.6% -0.1% 83.2M -1.59B -4.3M 1.27 5.66 59,643 75,591 909,981 591,201 2014-11-25 $28.36 $28.33 12.5% 4.0% 17.3% 28.7% 13.5% 1.3% -0.2% 75.7M -1.49B -4.6M 0.28 4.52 167,367 46,527 929,652 642,375 2014-11-26 $28.33 $28.33 12.2% 3.9% 17.4% 25.5% 13.1% 1.6% 0.3% 88.1M -1.53B -4.9M 0.15 5.47 90,129 13,128 994,341 659,940 2014-11-28 $29.18 $28.33 13.4% 4.1% 19.3% 36.5% 14.3% 1.2% -0.3% 69.9M -1.93B -4.4M 0.44 5.91 166,977 73,047 970,119 662,370
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