WMT Options History — December 2014

In December 2014, WMT traded between $27.64 and $29.00. ATM implied volatility averaged 15.5%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 3.8% (HV 20d: 19.2%). Max pain ranged from $28.33 to $29.17. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.89.

Notable Days

2014-12-02: Highest Volume — 576,300 contracts
2014-12-19: Largest IV drop — 10.4% change
2014-12-16: Highest IV Rank — 88.4%
2014-12-16: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.37	$27.64	$29.00	$28.75	$28.63
Max Pain	$28.37	$28.33	$29.17	$29.17	$28.33
ATM IV	15.5%	13.3%	19.4%	14.1%	14.8%
Expected Move	4.6%	4.1%	5.5%	4.3%	4.8%
HV 20d	19.2%	14.7%	22.8%	20.6%	15.2%
HV 60d	18.5%	17.9%	18.6%	18.1%	18.6%
IV Rank	54.1%	35.2%	88.4%	41.9%	48.6%
IV Percentile	82.9%	65.1%	99.2%	76.2%	80.2%
Term Structure	0.1%	-1.6%	1.0%	0.1%	0.2%
VWIV	16.5%	14.6%	19.3%	14.8%	16.4%
Skew 25d	1.6%	0.5%	2.6%	1.6%	1.5%
Skew 10d	3.9%	1.6%	7.3%	2.7%	3.1%
Call IV 25d	15.2%	13.2%	18.3%	14.0%	14.6%
Put IV 25d	16.8%	14.3%	20.9%	15.5%	16.1%
Bid-Ask Spread %	10.25	3.48	15.21	3.48	9.30
Gamma HHI	0.34	0.24	0.48	0.28	0.43
Net GEX	58.3M	36.2M	81.8M	69.7M	75.9M
Net DEX	-801.1M	-1.59B	-383.3M	-1.51B	-844.6M
Net VEX	-5.1M	-5.6M	-4.6M	-5.1M	-4.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.13	3.28	0.67	0.56
Total Volume	116,668.5	18,708	576,300	176,247	28,014
Total OI	1,475,684.727	1,366,941	1,633,473	1,615,845	1,403,100

Daily Data (22 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
2014-12-01	$28.75	$29.17	14.1%	4.3%	20.6%	41.9%	14.8%	1.6%	0.1%	69.7M	-1.51B	-5.1M	0.67	3.48	105,276	70,971	950,697	665,148
2014-12-02	$28.79	$28.33	13.3%	4.1%	20.5%	35.2%	14.6%	1.0%	0.3%	77.5M	-1.59B	-4.6M	0.13	4.34	508,851	67,449	951,945	681,528
2014-12-03	$28.31	$28.33	13.8%	4.2%	21.9%	39.7%	14.6%	1.6%	0.3%	39.0M	-655.4M	-5.2M	0.63	3.74	83,550	52,830	728,319	707,826
2014-12-04	$28.25	$28.33	13.9%	4.3%	22.1%	40.6%	14.7%	1.7%	-0.0%	38.2M	-594.0M	-5.2M	0.60	8.95	61,323	36,945	723,213	716,589
2014-12-05	$28.02	$28.33	14.3%	4.3%	22.5%	43.8%	15.3%	1.3%	0.5%	36.3M	-518.3M	-5.2M	0.48	8.83	81,633	39,396	774,336	728,823
2014-12-08	$28.08	$28.33	15.0%	4.4%	22.3%	50.3%	16.0%	0.8%	0.1%	52.7M	-607.8M	-5.2M	0.78	8.71	56,253	43,716	779,571	701,370
2014-12-09	$27.85	$28.33	15.7%	4.7%	22.6%	56.3%	17.1%	2.3%	0.4%	39.9M	-456.7M	-5.4M	0.80	9.85	63,732	50,739	784,950	715,530
2014-12-10	$27.64	$28.33	17.0%	4.9%	22.7%	67.2%	17.5%	0.5%	0.5%	36.8M	-383.3M	-5.2M	0.84	11.19	50,106	41,952	796,965	727,986
2014-12-11	$27.87	$28.33	16.7%	5.0%	22.8%	64.6%	16.8%	0.5%	1.0%	43.5M	-507.7M	-5.4M	0.91	11.58	51,540	46,845	798,801	731,586
2014-12-12	$27.95	$28.33	17.7%	5.0%	16.5%	73.8%	17.7%	1.3%	0.4%	40.7M	-571.4M	-5.3M	0.89	9.47	52,170	46,212	804,636	737,562
2014-12-15	$28.03	$28.33	18.4%	5.2%	16.5%	79.5%	18.5%	2.4%	-0.0%	47.0M	-584.6M	-5.6M	0.87	9.91	49,290	43,026	791,079	707,088
2014-12-16	$27.68	$28.33	19.4%	5.5%	17.0%	88.4%	19.3%	2.6%	-1.6%	36.2M	-406.3M	-5.4M	0.54	9.26	57,939	31,473	798,387	708,267
2014-12-17	$28.06	$28.33	17.8%	5.1%	17.7%	74.0%	17.9%	2.3%	0.8%	52.7M	-621.7M	-5.3M	1.37	12.02	51,507	70,710	807,768	710,016
2014-12-18	$28.61	$28.33	17.1%	4.9%	18.3%	68.2%	17.3%	2.0%	-0.3%	68.5M	-932.5M	-5.2M	0.67	10.02	59,034	39,516	795,063	728,976
2014-12-19	$28.39	$28.33	15.3%	4.7%	18.4%	52.8%	17.0%	2.4%	0.5%	80.0M	-816.0M	-5.1M	1.22	13.34	53,067	64,917	796,818	732,423
2014-12-22	$28.78	$28.33	14.9%	4.4%	19.0%	48.8%	15.6%	1.8%	-0.3%	74.5M	-1.00B	-4.8M	0.70	15.21	56,829	39,600	733,437	634,689
2014-12-23	$28.93	$28.33	13.9%	4.4%	18.8%	40.7%	15.7%	1.4%	0.1%	75.1M	-1.07B	-4.7M	1.12	11.82	33,039	37,131	727,641	639,300
2014-12-24	$28.81	$28.33	14.2%	4.4%	18.8%	42.9%	16.0%	0.9%	-0.3%	74.1M	-985.4M	-4.9M	1.04	14.45	31,833	33,147	724,740	644,607
2014-12-26	$29.00	$28.33	14.2%	4.4%	18.9%	43.5%	15.6%	1.9%	0.1%	81.8M	-1.05B	-4.9M	1.20	14.50	41,022	49,026	737,148	648,915
2014-12-29	$28.90	$28.33	14.3%	4.5%	15.7%	44.3%	17.6%	1.8%	0.1%	71.0M	-943.2M	-4.9M	3.28	11.05	15,528	50,862	738,144	648,876
2014-12-30	$28.93	$28.33	14.3%	4.4%	14.7%	44.2%	16.3%	1.8%	0.1%	71.8M	-961.5M	-4.8M	0.26	14.42	14,820	3,888	740,421	660,780
2014-12-31	$28.63	$28.33	14.8%	4.8%	15.2%	48.6%	16.4%	1.5%	0.2%	75.9M	-844.6M	-4.8M	0.56	9.30	17,940	10,074	742,059	661,041