WMT Options History — April 2015

In April 2015, WMT traded between $25.94 and $27.02. ATM implied volatility averaged 16.2%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.1% (HV 20d: 16.1%). Max pain ranged from $26.67 to $27.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2015-04-17: Highest Volume — 254,736 contracts
  • 2015-04-17: Largest IV spike — 18.0% change
  • 2015-04-30: Highest IV Rank — 84.8%
  • 2015-04-17: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.52$25.94$27.02$26.87$26.02
Max Pain$27.10$26.67$27.50$27.50$26.67
ATM IV16.2%13.8%19.0%15.5%19.0%
Expected Move4.3%4.0%4.7%4.6%4.6%
HV 20d16.1%11.1%20.3%20.3%11.1%
HV 60d18.0%16.3%20.0%20.0%16.3%
IV Rank60.5%39.8%84.8%54.1%84.8%
IV Percentile79.2%47.6%96.4%77.0%96.4%
Term Structure0.3%-0.8%2.1%0.8%-0.3%
VWIV15.3%14.1%16.4%16.0%16.2%
Skew 25d1.3%0.4%2.1%1.2%1.2%
Skew 10d2.3%0.2%3.9%2.1%2.7%
Call IV 25d15.9%13.7%19.4%15.3%19.4%
Put IV 25d17.2%14.7%20.6%16.5%20.6%
Bid-Ask Spread %10.426.9216.6513.9611.51
Gamma HHI0.180.090.350.180.09
Net GEX10.0M-24.7M75.7M26.2M8.0M
Net DEX55.8M-179.6M369.9M-21.8M137.6M
Net VEX-4.8M-5.7M-4.3M-4.6M-5.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.332.010.630.90
Total Volume102,477.57152,254254,736128,91685,443
Total OI1,321,7881,167,1501,525,3561,192,2691,525,356

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$26.87$27.5015.5%4.6%20.3%54.1%16.0%1.2%0.8%26.2M-21.8M-4.6M0.6313.9678,87050,046690,177502,092
2015-04-02$26.94$27.5014.7%4.5%19.7%47.5%15.5%1.2%0.7%75.7M-41.0M-4.6M0.738.2143,71331,722706,875516,198
2015-04-06$27.02$27.5015.5%4.6%19.4%54.1%15.6%1.7%0.6%17.6M-72.2M-4.6M0.887.9536,17731,923665,712501,438
2015-04-07$26.83$27.5015.6%4.5%19.4%55.3%15.7%1.4%0.4%6.6M11.3M-4.5M0.899.0227,70524,549678,285511,584
2015-04-08$27.01$27.5015.3%4.5%19.4%52.4%15.9%1.5%0.5%11.6M-46.8M-4.5M1.7210.9321,03636,258681,501516,465
2015-04-09$26.95$27.5015.1%4.4%18.4%50.6%16.2%1.4%0.7%6.9M-17.4M-4.6M2.017.4223,40347,013687,918532,002
2015-04-10$26.89$27.5015.2%4.4%17.5%52.2%16.0%1.6%0.4%-2.5M10.7M-4.5M0.979.3855,07753,562693,177544,554
2015-04-13$26.77$27.5015.0%4.3%17.6%50.2%15.3%1.2%0.6%-7.9M45.4M-4.5M1.226.9228,64734,845707,712541,446
2015-04-14$26.70$27.5014.2%4.1%16.3%43.3%14.3%1.0%1.7%-13.4M56.3M-4.4M1.1910.2437,78544,868714,648550,455
2015-04-15$26.58$27.5013.8%4.0%16.2%39.8%14.1%1.0%1.7%-24.7M119.5M-4.4M1.497.4927,81641,397721,911561,387
2015-04-16$26.40$27.5014.4%4.0%16.2%45.1%14.4%1.6%2.1%-20.1M195.8M-4.3M1.0411.9990,40294,356725,796569,490
2015-04-17$25.96$26.6717.0%4.7%16.7%67.5%16.4%1.7%1.5%-8.1M369.9M-4.4M0.789.48143,169111,567784,737619,926
2015-04-20$26.02$26.6716.8%4.2%14.5%66.0%14.8%2.1%-0.6%809.2K203.3M-4.7M0.9812.2552,42551,420729,180560,952
2015-04-21$26.02$26.6717.0%4.2%14.4%67.1%14.8%1.5%-0.7%2.0M212.3M-4.7M0.509.3766,98733,276741,555582,696
2015-04-22$26.14$26.6717.5%4.2%14.7%71.7%14.6%1.6%-0.7%8.6M142.6M-4.9M0.3310.13131,97343,797770,727587,460
2015-04-23$26.40$26.6717.5%4.1%13.7%72.0%14.4%1.1%-0.8%24.2M-53.7M-5.4M0.5811.1182,62347,586842,997596,223
2015-04-24$26.61$26.6717.5%4.1%13.7%71.5%14.7%0.7%-0.8%59.3M-179.6M-5.6M0.5010.7890,00045,237857,679612,333
2015-04-27$26.44$26.6717.7%4.3%13.6%73.8%15.6%0.7%-0.2%19.8M-76.2M-5.6M1.259.6725,29931,518857,178606,291
2015-04-28$26.33$26.6717.5%4.2%12.2%71.9%14.8%0.4%-0.1%14.8M-9.3M-5.6M1.3714.4624,78033,849858,321615,489
2015-04-29$25.94$26.6718.4%4.4%13.0%79.3%15.5%1.4%-0.6%4.9M184.2M-5.3M0.7416.6551,61538,295863,307624,318
2015-04-30$26.02$26.6719.0%4.6%11.1%84.8%16.2%1.2%-0.3%8.0M137.6M-5.7M0.9011.5144,98840,455889,110636,246