WMT Options History — January 2015

In January 2015, WMT traded between $28.33 and $30.13. ATM implied volatility averaged 16.5%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 2.1% (HV 20d: 18.6%). Max pain ranged from $28.33 to $29.17. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.15.

Notable Days

2015-01-14: Highest Volume — 298,209 contracts
2015-01-14: Largest IV spike — 8.5% change
2015-01-30: Highest IV Rank — 84.4%
2015-01-30: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.21	$28.33	$30.13	$28.66	$28.33
Max Pain	$28.69	$28.33	$29.17	$28.33	$29.17
ATM IV	16.5%	15.1%	19.0%	15.1%	19.0%
Expected Move	4.9%	4.5%	5.5%	4.8%	5.5%
HV 20d	18.6%	13.7%	23.2%	13.9%	23.2%
HV 60d	18.7%	17.3%	20.2%	18.6%	20.2%
IV Rank	63.4%	51.1%	84.4%	51.1%	84.4%
IV Percentile	91.0%	84.9%	98.4%	84.9%	98.4%
Term Structure	0.5%	-0.5%	2.3%	0.1%	0.9%
VWIV	17.7%	16.3%	19.1%	17.3%	19.1%
Skew 25d	2.3%	1.3%	3.5%	2.5%	1.3%
Skew 10d	5.0%	2.7%	7.3%	4.3%	3.2%
Call IV 25d	15.8%	14.4%	18.3%	14.4%	18.3%
Put IV 25d	18.2%	16.9%	19.6%	16.9%	19.6%
Bid-Ask Spread %	12.39	8.13	15.87	12.57	10.99
Gamma HHI	0.27	0.16	0.44	0.43	0.24
Net GEX	54.0M	33.5M	81.2M	80.3M	39.2M
Net DEX	-922.4M	-1.64B	-256.6M	-888.0M	-256.6M
Net VEX	-4.9M	-5.3M	-4.1M	-4.5M	-5.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.22	2.64	1.33	0.52
Total Volume	105,757.35	29,739	298,209	64,149	217,956
Total OI	1,346,847	1,066,998	1,706,967	1,408,851	1,219,062

Daily Data (20 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
2015-01-02	$28.66	$28.33	15.1%	4.8%	13.9%	51.1%	17.3%	2.5%	0.1%	80.3M	-888.0M	-4.5M	1.33	12.57	27,555	36,594	745,179	663,672
2015-01-05	$28.55	$28.33	16.1%	5.0%	13.9%	59.4%	18.5%	2.1%	-0.2%	81.2M	-812.9M	-4.6M	1.06	14.49	14,532	15,360	729,180	648,402
2015-01-06	$28.77	$28.33	16.6%	4.9%	13.7%	63.5%	17.8%	2.0%	-0.4%	80.1M	-925.6M	-4.7M	0.42	15.53	80,826	33,930	734,559	653,148
2015-01-07	$29.53	$28.33	15.8%	5.0%	16.3%	57.1%	17.2%	2.3%	-0.3%	64.2M	-1.29B	-4.7M	0.54	14.37	72,966	39,180	753,987	671,112
2015-01-08	$30.13	$28.33	15.5%	4.8%	16.9%	54.8%	17.0%	2.1%	0.1%	43.8M	-1.64B	-4.1M	0.32	15.57	190,968	61,386	774,777	692,805
2015-01-09	$29.81	$28.33	16.1%	4.9%	17.3%	59.5%	17.5%	1.8%	-0.2%	57.4M	-1.42B	-5.0M	1.51	13.42	52,038	78,327	816,048	714,582
2015-01-12	$30.06	$28.33	15.9%	4.9%	17.3%	58.1%	17.7%	3.1%	1.3%	33.5M	-1.53B	-4.5M	0.78	12.83	35,043	27,291	809,073	737,019
2015-01-13	$29.75	$28.33	15.8%	4.8%	18.0%	56.8%	17.4%	2.3%	0.9%	39.2M	-1.39B	-4.7M	0.62	10.71	88,464	54,579	816,687	741,816
2015-01-14	$28.90	$28.33	17.1%	5.2%	21.3%	68.3%	18.1%	2.7%	1.0%	67.6M	-855.3M	-5.0M	0.22	11.23	244,188	54,021	849,897	769,044
2015-01-15	$29.15	$28.33	17.3%	5.2%	20.8%	69.6%	18.5%	2.2%	1.1%	48.1M	-1.08B	-5.1M	0.56	9.27	58,158	32,817	891,741	783,786
2015-01-16	$28.92	$28.33	16.9%	5.0%	20.6%	66.5%	18.3%	2.7%	0.9%	51.5M	-918.2M	-5.3M	2.11	8.13	27,012	57,000	920,289	786,678
2015-01-20	$28.90	$29.17	17.4%	5.0%	19.6%	70.6%	17.4%	2.7%	0.0%	42.8M	-540.9M	-5.3M	1.41	10.08	17,628	24,900	660,087	406,911
2015-01-21	$28.88	$29.17	17.2%	4.9%	19.3%	69.3%	17.5%	2.6%	-0.5%	44.6M	-542.9M	-5.2M	1.26	10.77	22,683	28,617	664,971	419,019
2015-01-22	$29.41	$29.00	16.3%	4.7%	19.8%	60.9%	16.9%	2.5%	-0.1%	50.7M	-765.0M	-5.2M	1.03	13.37	41,829	42,897	667,932	435,183
2015-01-23	$29.47	$29.00	15.8%	4.5%	19.7%	56.6%	16.3%	2.2%	-0.4%	49.8M	-841.1M	-5.1M	1.69	15.87	33,183	55,992	680,676	449,784
2015-01-26	$29.54	$29.17	16.0%	4.6%	19.7%	58.8%	18.3%	2.4%	1.4%	56.8M	-838.5M	-5.2M	1.43	14.07	12,258	17,481	674,814	455,538
2015-01-27	$29.18	$29.17	16.7%	4.8%	20.1%	64.4%	17.1%	1.8%	0.6%	52.4M	-678.0M	-5.2M	2.64	9.85	13,806	36,513	679,410	458,664
2015-01-28	$28.97	$29.17	16.9%	5.0%	20.3%	66.2%	17.6%	1.9%	2.3%	47.3M	-577.9M	-5.1M	2.40	11.06	21,081	50,628	683,778	483,210
2015-01-29	$29.23	$29.17	17.6%	5.1%	20.5%	72.4%	17.9%	3.5%	0.5%	49.5M	-669.2M	-5.2M	1.26	13.66	42,243	53,217	686,604	507,816
2015-01-30	$28.33	$29.17	19.0%	5.5%	23.2%	84.4%	19.1%	1.3%	0.9%	39.2M	-256.6M	-5.2M	0.52	10.99	143,814	74,142	691,785	527,277