WMT Options History — May 2015

In May 2015, WMT traded between $24.79 and $26.64. ATM implied volatility averaged 15.8%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.1% (HV 20d: 15.8%). Max pain ranged from $26.67 to $26.67. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2015-05-19: Highest Volume — 448,770 contracts
  • 2015-05-19: Largest IV drop — 15.4% change
  • 2015-05-06: Highest IV Rank — 87.6%
  • 2015-05-07: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.78$24.79$26.64$26.18$24.79
Max Pain$26.67$26.67$26.67$26.67$26.67
ATM IV15.8%12.2%19.3%18.1%12.8%
Expected Move4.4%3.5%5.3%4.2%3.7%
HV 20d15.8%11.4%20.9%11.4%20.0%
HV 60d16.6%15.0%17.4%16.3%17.4%
IV Rank57.0%26.2%87.6%76.9%31.3%
IV Percentile67.3%29.8%97.6%92.5%36.5%
Term Structure-0.3%-1.0%0.3%-0.3%0.1%
VWIV15.5%12.7%18.5%15.0%13.0%
Skew 25d1.1%0.4%1.7%0.4%0.8%
Skew 10d2.2%0.5%3.1%0.5%2.1%
Call IV 25d15.6%12.1%18.8%18.5%12.8%
Put IV 25d16.7%13.0%20.4%19.0%13.6%
Bid-Ask Spread %9.527.2013.8410.567.39
Gamma HHI0.110.090.150.110.10
Net GEX7.9M-21.7M47.8M23.0M-14.5M
Net DEX192.7M-295.5M590.1M34.7M590.1M
Net VEX-5.4M-5.8M-4.6M-5.6M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.242.320.841.05
Total Volume127,550.438,538448,77084,74496,612
Total OI1,629,660.31,418,6191,778,3611,552,2481,748,376

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$26.18$26.6718.1%4.2%11.4%76.9%15.0%0.4%-0.3%23.0M34.7M-5.6M0.8410.5646,09538,649904,695647,553
2015-05-04$26.39$26.6718.2%4.9%11.8%77.8%17.2%1.0%-0.5%17.9M-58.2M-5.7M0.4011.3057,92123,229894,978641,751
2015-05-05$26.04$26.6718.3%5.0%12.4%78.7%17.9%1.0%-0.8%8.7M116.9M-5.4M0.4911.30105,42951,144913,455654,237
2015-05-06$25.85$26.6719.3%5.3%12.2%87.6%18.5%1.6%-0.7%2.9M199.9M-5.5M0.839.6550,97642,213920,217670,368
2015-05-07$26.02$26.6719.0%5.3%12.6%84.5%18.2%1.2%-0.6%8.8M96.7M-5.7M0.7010.3562,40043,440927,198675,435
2015-05-08$26.18$26.6717.6%5.0%12.9%72.9%17.2%1.5%-0.5%32.3M30.8M-5.8M0.728.1230,98422,353948,981679,485
2015-05-11$26.03$26.6717.8%5.0%12.9%74.2%17.5%1.7%-0.3%15.2M71.9M-5.5M0.937.4619,96218,576931,497646,512
2015-05-12$26.32$26.6718.4%5.1%13.6%79.7%18.2%0.8%-0.5%21.0M-103.9M-5.7M0.5111.7583,60442,777943,287653,571
2015-05-13$26.06$26.6717.5%4.9%13.9%72.2%17.4%1.4%-0.4%21.9M48.5M-5.7M0.728.3550,76936,648975,543670,701
2015-05-14$26.24$26.6717.1%4.8%14.0%67.9%16.4%1.1%-0.3%33.1M-34.7M-5.7M2.327.2037,50387,066985,674678,459
2015-05-15$26.36$26.6716.5%4.5%12.7%63.2%16.3%1.1%-1.0%47.8M-143.7M-5.7M1.138.3040,15845,408992,865672,303
2015-05-18$26.64$26.6715.4%4.4%13.1%53.6%15.4%1.3%-0.8%43.6M-295.5M-5.6M0.7713.84132,063101,979815,325603,294
2015-05-19$25.48$26.6713.0%3.7%20.9%33.1%13.0%1.2%0.1%-7.7M440.2M-4.6M0.7412.32258,339190,431861,369661,710
2015-05-20$25.30$26.6712.8%3.7%20.9%31.1%13.0%1.1%-0.0%-14.3M488.2M-5.1M1.019.4990,39391,146964,722720,366
2015-05-21$25.38$26.6712.4%3.5%20.5%27.7%12.7%1.0%0.3%-10.4M430.1M-5.3M1.239.4555,40767,917994,314745,815
2015-05-22$25.30$26.6712.2%3.5%20.2%26.2%12.8%0.9%0.3%-21.7M470.5M-5.3M1.518.3437,60556,7511,004,193761,973
2015-05-26$25.00$26.6713.3%3.8%20.4%35.0%13.5%0.8%-0.0%-16.2M531.2M-4.9M1.239.4044,73054,930929,001718,254
2015-05-27$25.08$26.6713.2%3.8%20.5%34.3%13.2%1.0%0.3%-18.4M459.8M-4.9M0.247.21140,49933,060940,059717,309
2015-05-28$24.97$26.6713.0%3.7%20.0%32.3%13.0%0.8%0.2%-15.7M480.5M-5.5M1.018.5430,73531,1071,046,193732,168
2015-05-29$24.79$26.6712.8%3.7%20.0%31.3%13.0%0.8%0.1%-14.5M590.1M-5.1M1.057.3947,17549,4371,007,655740,721