WMT Options History — March 2015 In March 2015, WMT traded between $26.90 and $27.98. ATM implied volatility averaged 14.6%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 3.4% (HV 20d: 17.9%). Max pain ranged from $27.50 to $28.33. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.72.
Notable Days 2015-03-10 : Highest Volume — 212,808 contracts2015-03-26 : Largest IV spike — 11.1% change2015-03-31 : Highest IV Rank — 61.7%2015-03-31 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $27.49 $26.90 $27.98 $27.98 $27.46 Max Pain $27.99 $27.50 $28.33 $28.33 $27.50 ATM IV 14.6% 13.1% 16.3% 13.6% 16.3% Expected Move 4.2% 3.7% 5.0% 4.0% 5.0% HV 20d 17.9% 16.7% 20.1% 20.1% 19.0% HV 60d 18.9% 18.2% 19.7% 18.4% 19.6% IV Rank 46.3% 33.2% 61.7% 37.7% 61.7% IV Percentile 66.5% 45.2% 85.7% 54.0% 85.7% Term Structure 0.2% -0.5% 1.3% 0.1% 0.4% VWIV 15.0% 13.0% 17.9% 13.9% 17.9% Skew 25d 1.3% 0.6% 1.8% 1.4% 1.2% Skew 10d 2.9% 1.2% 3.8% 2.6% 2.5% Call IV 25d 14.4% 13.0% 16.0% 13.3% 15.9% Put IV 25d 15.7% 14.2% 17.1% 14.7% 17.1% Bid-Ask Spread % 9.54 5.54 17.59 11.32 17.59 Gamma HHI 0.25 0.16 0.37 0.23 0.31 Net GEX 12.3M -9.7M 42.0M 15.5M 40.7M Net DEX -92.7M -327.7M 241.7M -214.5M -305.0M Net VEX -4.7M -5.0M -4.5M -4.5M -5.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.10 1.60 1.24 0.44 Total Volume 77,532.136 27,960 212,808 70,854 139,290 Total OI 1,273,147.909 1,006,683 1,456,029 1,286,541 1,134,105
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 2015-03-02 $27.98 $28.33 13.6% 4.0% 20.1% 37.7% 13.9% 1.4% 0.1% 15.5M -214.5M -4.5M 1.24 11.32 31,671 39,183 693,669 592,872 2015-03-03 $27.76 $28.33 14.2% 4.0% 17.1% 42.9% 14.1% 1.0% -0.5% 6.0M -120.7M -4.5M 1.60 8.43 26,835 42,999 698,418 598,482 2015-03-04 $27.53 $28.33 14.3% 4.2% 16.9% 44.0% 14.9% 0.6% -0.2% -1.3M -16.0M -4.5M 0.72 14.22 67,815 48,912 702,345 606,399 2015-03-05 $27.86 $28.33 14.1% 4.1% 17.5% 42.1% 14.3% 1.8% -0.3% 20.3M -148.8M -4.9M 1.41 9.17 28,287 39,765 731,298 617,748 2015-03-06 $27.53 $28.33 14.4% 4.1% 17.7% 44.6% 14.9% 1.1% 0.0% 271.4K 30.8M -4.7M 1.47 6.55 34,776 51,285 734,241 627,306 2015-03-09 $27.63 $28.33 14.2% 4.1% 17.4% 42.9% 14.2% 0.6% 0.4% 1.1M -74.0M -4.5M 0.10 7.75 122,148 11,763 718,527 617,955 2015-03-10 $27.36 $28.33 14.6% 4.2% 17.5% 46.5% 15.3% 1.3% 0.3% 421.2K 19.8M -4.6M 0.11 5.54 192,051 20,757 750,975 622,134 2015-03-11 $26.90 $28.33 15.3% 4.5% 17.7% 52.6% 15.6% 1.7% 0.5% -9.4M 241.7M -4.5M 0.68 7.31 29,652 20,154 733,473 630,312 2015-03-12 $27.30 $28.33 14.5% 4.2% 17.5% 45.8% 14.9% 1.6% 0.1% 1.6M 78.7M -4.7M 1.07 8.44 20,307 21,726 748,587 632,061 2015-03-13 $27.30 $28.33 14.5% 4.2% 17.2% 46.2% 15.2% 1.6% 0.2% -3.8M 86.7M -4.7M 1.18 6.75 12,846 15,114 748,644 643,770 2015-03-16 $27.76 $28.33 14.8% 4.3% 18.5% 48.2% 14.9% 1.5% -0.1% 15.4M -136.7M -4.7M 0.26 6.98 47,361 12,234 731,544 634,926 2015-03-17 $27.54 $28.33 15.2% 4.3% 18.7% 51.4% 15.2% 1.4% -0.0% 2.5M -43.6M -4.8M 0.32 6.56 26,691 8,562 759,843 637,362 2015-03-18 $27.51 $28.33 14.7% 4.2% 18.6% 47.9% 15.3% 1.3% 0.0% -9.7M -25.8M -4.8M 0.37 12.16 63,648 23,784 778,002 641,838 2015-03-19 $27.17 $27.50 14.1% 4.0% 18.8% 42.6% 14.5% 1.6% 0.6% -5.7M 130.9M -4.6M 0.74 8.08 22,533 16,629 793,287 651,291 2015-03-20 $27.75 $27.50 13.8% 3.9% 17.1% 39.2% 13.6% 1.5% 0.0% 29.4M -224.1M -4.8M 0.39 9.34 52,041 20,421 806,082 649,947 2015-03-23 $27.77 $27.50 13.1% 3.7% 16.8% 33.2% 13.0% 0.8% 0.5% 37.0M -324.1M -4.7M 0.47 12.53 27,888 13,047 558,303 448,380 2015-03-24 $27.68 $27.50 13.3% 3.7% 16.7% 35.5% 13.0% 1.3% 0.2% 31.4M -284.6M -4.7M 0.71 10.02 17,886 12,783 559,101 455,598 2015-03-25 $27.11 $27.50 14.1% 4.0% 17.8% 42.3% 14.4% 1.4% 0.1% 12.9M -74.4M -4.6M 0.98 7.02 24,246 23,673 568,794 462,186 2015-03-26 $27.32 $27.50 15.7% 4.6% 18.1% 55.8% 16.3% 1.1% 0.2% 20.6M -170.3M -4.8M 0.34 12.14 115,116 39,651 580,158 474,129 2015-03-27 $27.12 $27.50 16.1% 4.7% 18.3% 59.5% 17.1% 1.1% 0.0% 22.9M -137.2M -5.0M 0.56 9.89 31,881 17,853 635,514 484,389 2015-03-30 $27.53 $27.50 15.6% 4.6% 19.2% 55.2% 16.9% 1.1% 1.3% 42.0M -327.7M -5.0M 0.69 12.11 41,625 28,818 640,191 475,068 2015-03-31 $27.46 $27.50 16.3% 5.0% 19.0% 61.7% 17.9% 1.2% 0.4% 40.7M -305.0M -5.0M 0.44 17.59 96,399 42,891 648,642 485,463
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