WMT Options History — February 2015

In February 2015, WMT traded between $27.84 and $29.11. ATM implied volatility averaged 17.6%, placing in the 72.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 3.1% (HV 20d: 20.6%). Max pain ranged from $28.33 to $29.17. Net GEX was positive for 17 of 18 trading days. Term structure was in contango for 4 of 18 days. Put/call ratio averaged 0.92.

Notable Days

2015-02-20: Highest Volume — 264,747 contracts
2015-02-19: Largest IV drop — 11.7% change
2015-02-09: Highest IV Rank — 94.8%
2015-02-02: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.52	$27.84	$29.11	$28.57	$27.96
Max Pain	$28.47	$28.33	$29.17	$29.17	$28.33
ATM IV	17.6%	13.7%	20.2%	19.5%	13.7%
Expected Move	5.0%	3.9%	5.8%	5.8%	3.9%
HV 20d	20.6%	18.1%	23.4%	23.4%	20.5%
HV 60d	19.5%	18.4%	20.5%	20.1%	18.7%
IV Rank	72.3%	38.4%	94.8%	89.1%	38.4%
IV Percentile	88.1%	56.7%	99.2%	99.2%	56.7%
Term Structure	-0.4%	-1.3%	0.8%	-0.5%	0.1%
VWIV	17.6%	14.1%	20.6%	20.3%	14.1%
Skew 25d	2.3%	1.5%	3.5%	3.5%	1.6%
Skew 10d	5.4%	1.4%	19.1%	19.1%	2.1%
Call IV 25d	16.8%	13.3%	19.1%	16.8%	13.3%
Put IV 25d	19.0%	14.9%	21.3%	20.3%	14.9%
Bid-Ask Spread %	9.80	6.40	13.78	11.10	10.77
Gamma HHI	0.21	0.11	0.28	0.26	0.18
Net GEX	39.4M	-10.5M	71.1M	35.5M	11.8M
Net DEX	-376.2M	-733.1M	128.8M	-387.1M	-153.0M
Net VEX	-5.1M	-5.5M	-4.5M	-5.3M	-4.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.34	1.46	0.88	0.69
Total Volume	119,610	47,151	264,747	47,151	101,133
Total OI	1,354,801.5	1,232,601	1,589,583	1,232,601	1,321,539

Daily Data (18 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
2015-02-02	$28.57	$29.17	19.5%	5.8%	23.4%	89.1%	20.3%	3.5%	-0.5%	35.5M	-387.1M	-5.3M	0.88	11.10	25,032	22,119	706,896	525,705
2015-02-03	$28.72	$29.17	18.9%	5.6%	23.4%	83.9%	19.1%	2.8%	-1.0%	41.5M	-469.6M	-5.3M	1.11	12.06	44,820	49,641	715,944	539,628
2015-02-04	$28.84	$29.17	18.0%	5.6%	23.3%	76.1%	19.3%	3.4%	0.8%	45.0M	-515.4M	-5.3M	0.81	11.96	56,901	46,122	717,273	546,435
2015-02-05	$29.09	$28.33	18.3%	4.9%	21.5%	78.5%	18.9%	2.9%	-0.1%	61.7M	-659.2M	-5.3M	1.34	8.34	31,317	42,048	744,360	550,512
2015-02-06	$29.07	$28.33	19.4%	5.2%	20.0%	88.1%	17.9%	2.1%	-0.7%	58.0M	-664.9M	-5.4M	0.34	13.78	129,984	44,040	745,725	555,267
2015-02-09	$28.64	$28.33	20.2%	5.6%	20.3%	94.8%	20.6%	2.1%	-0.5%	50.4M	-440.1M	-5.5M	1.06	8.45	41,916	44,268	790,224	544,038
2015-02-10	$29.11	$28.33	19.0%	5.2%	21.0%	84.8%	18.2%	2.5%	-0.7%	71.1M	-733.1M	-5.4M	1.14	9.68	38,190	43,503	795,213	552,780
2015-02-11	$28.76	$28.33	19.2%	5.2%	21.2%	86.7%	18.7%	2.4%	-1.3%	57.2M	-503.2M	-5.3M	1.01	10.80	50,931	51,486	799,749	563,313
2015-02-12	$28.63	$28.33	19.2%	5.3%	18.6%	86.5%	18.6%	3.4%	-0.6%	49.0M	-436.7M	-5.2M	0.82	9.38	64,329	52,902	801,246	578,853
2015-02-13	$28.61	$28.33	18.7%	5.2%	18.3%	81.9%	18.2%	1.6%	-0.7%	54.3M	-458.7M	-5.1M	1.28	10.90	54,921	70,551	828,441	587,781
2015-02-17	$28.63	$28.33	18.8%	5.4%	18.1%	83.0%	18.6%	1.8%	-0.9%	53.3M	-457.1M	-5.0M	0.85	8.62	60,402	51,168	823,083	600,921
2015-02-18	$28.76	$28.33	18.5%	5.3%	18.2%	80.2%	18.9%	1.7%	-0.7%	63.8M	-526.6M	-5.2M	0.76	12.02	115,326	87,300	842,829	616,260
2015-02-19	$27.84	$28.33	16.3%	4.7%	21.5%	61.5%	15.9%	1.8%	-0.5%	-10.5M	128.8M	-4.6M	0.47	7.85	159,309	74,529	880,830	641,997
2015-02-20	$28.10	$28.33	15.0%	4.3%	20.6%	50.2%	15.2%	2.1%	0.1%	16.6M	-20.9M	-4.6M	0.87	6.40	141,210	123,537	927,513	662,070
2015-02-23	$28.21	$28.33	15.0%	4.3%	20.6%	50.3%	14.9%	2.1%	-0.1%	30.6M	-256.2M	-4.8M	0.55	8.86	53,913	29,535	693,978	586,599
2015-02-25	$27.90	$28.33	14.3%	4.1%	20.8%	43.7%	14.5%	1.5%	0.1%	10.4M	-127.8M	-4.5M	1.46	7.40	30,582	44,520	687,663	605,967
2015-02-26	$27.93	$28.33	14.2%	4.0%	20.5%	43.3%	14.2%	2.0%	-0.3%	9.1M	-91.3M	-4.6M	1.09	8.12	36,039	39,456	691,194	614,601
2015-02-27	$27.96	$28.33	13.7%	3.9%	20.5%	38.4%	14.1%	1.6%	0.1%	11.8M	-153.0M	-4.5M	0.69	10.77	59,928	41,205	701,400	620,139