WMT Options History — June 2015

In June 2015, WMT traded between $23.68 and $24.94. ATM implied volatility averaged 14.6%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.1% (HV 20d: 14.5%). Max pain ranged from $24.17 to $26.67. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.63.

Notable Days

2015-06-30: Highest Volume — 286,842 contracts
2015-06-04: Largest IV spike — 11.8% change
2015-06-15: Highest IV Rank — 62.3%
2015-06-10: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.27	$23.68	$24.94	$24.91	$23.68
Max Pain	$24.89	$24.17	$26.67	$26.67	$25.00
ATM IV	14.6%	13.0%	16.4%	13.0%	15.2%
Expected Move	4.3%	3.8%	4.9%	3.8%	4.4%
HV 20d	14.5%	8.8%	19.9%	19.9%	9.1%
HV 60d	15.7%	14.0%	17.2%	17.2%	14.0%
IV Rank	47.0%	32.9%	62.3%	32.9%	51.4%
IV Percentile	54.7%	32.9%	77.4%	37.3%	61.5%
Term Structure	0.3%	-0.6%	1.5%	0.8%	1.1%
VWIV	15.2%	13.3%	17.1%	13.3%	16.0%
Skew 25d	0.6%	-0.0%	1.4%	1.1%	0.5%
Skew 10d	1.1%	-0.0%	2.3%	2.1%	1.3%
Call IV 25d	14.8%	12.8%	17.3%	12.8%	15.3%
Put IV 25d	15.4%	13.7%	17.7%	13.9%	15.8%
Bid-Ask Spread %	8.49	5.01	13.20	8.25	8.35
Gamma HHI	0.16	0.08	0.27	0.11	0.18
Net GEX	20.8M	-15.2M	65.2M	-12.9M	20.5M
Net DEX	399.4M	152.3M	579.5M	483.6M	394.8M
Net VEX	-6.0M	-6.7M	-5.2M	-5.2M	-6.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.20	1.50	0.71	0.81
Total Volume	130,100.727	37,539	286,842	90,084	286,842
Total OI	1,993,254.545	1,705,635	2,331,753	1,705,635	2,024,148

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
2015-06-01	$24.91	$26.67	13.0%	3.8%	19.9%	32.9%	13.3%	1.1%	0.8%	-12.9M	483.6M	-5.2M	0.71	8.25	52,635	37,449	977,505	728,130
2015-06-02	$24.84	$26.67	13.4%	3.8%	19.5%	35.8%	13.9%	1.0%	-0.2%	-10.6M	478.6M	-5.2M	0.62	7.67	23,220	14,319	999,969	725,133
2015-06-03	$24.94	$26.67	13.4%	3.9%	19.3%	36.5%	13.7%	0.7%	0.2%	-6.5M	439.1M	-5.3M	0.30	8.49	103,635	31,008	1,010,559	739,908
2015-06-04	$24.71	$25.00	15.0%	4.4%	19.4%	50.2%	15.6%	1.3%	0.2%	3.7M	418.1M	-5.6M	0.67	7.52	65,373	43,746	1,098,792	745,398
2015-06-05	$24.36	$25.00	15.0%	4.4%	19.5%	50.0%	15.3%	1.4%	0.7%	-15.2M	561.7M	-5.5M	0.38	10.66	138,858	52,080	1,131,963	756,369
2015-06-08	$24.23	$24.17	15.3%	4.5%	19.2%	53.0%	15.7%	1.3%	0.6%	2.7M	560.0M	-5.5M	0.78	5.01	57,117	44,610	1,146,579	750,834
2015-06-09	$24.16	$24.17	15.7%	4.6%	19.2%	56.2%	16.5%	1.0%	0.4%	1.1M	579.5M	-5.5M	0.44	10.34	86,484	38,328	1,165,293	768,612
2015-06-10	$24.31	$24.17	16.0%	4.9%	18.8%	59.1%	17.1%	0.6%	1.0%	11.7M	469.0M	-6.0M	0.20	13.20	178,158	34,827	1,224,573	775,737
2015-06-11	$24.29	$24.17	15.2%	4.6%	18.7%	51.5%	16.1%	0.4%	1.3%	26.0M	438.7M	-5.9M	0.48	8.79	91,176	44,091	1,298,103	782,361
2015-06-12	$24.16	$24.17	15.4%	4.7%	18.3%	53.7%	16.6%	0.4%	1.5%	17.5M	500.7M	-5.9M	0.70	10.81	63,612	44,400	1,338,615	794,769
2015-06-15	$23.98	$24.17	16.4%	4.8%	18.0%	62.3%	17.1%	0.4%	-0.4%	20.6M	542.4M	-5.7M	0.71	6.18	108,507	77,520	1,338,513	785,199
2015-06-16	$24.11	$24.17	16.1%	4.6%	17.5%	59.3%	16.5%	-0.0%	-0.5%	29.4M	462.4M	-6.3M	0.72	5.94	59,304	42,453	1,408,245	824,037
2015-06-17	$24.24	$24.17	15.9%	4.6%	9.7%	58.2%	16.3%	0.0%	-0.5%	37.9M	362.2M	-6.6M	0.66	8.62	58,341	38,217	1,426,272	823,995
2015-06-18	$24.33	$24.17	14.6%	4.2%	9.8%	46.8%	14.8%	0.2%	-0.6%	49.8M	315.2M	-6.5M	1.50	6.35	75,405	113,049	1,449,354	830,250
2015-06-19	$24.28	$25.00	13.6%	3.9%	9.7%	38.3%	13.9%	0.1%	-0.3%	65.2M	418.8M	-6.5M	0.84	6.50	75,390	62,988	1,465,155	866,598
2015-06-22	$24.27	$25.00	13.2%	3.8%	9.7%	34.7%	13.6%	0.3%	0.1%	41.6M	152.3M	-6.3M	0.46	8.52	71,661	32,622	1,191,711	662,895
2015-06-23	$24.18	$25.00	13.5%	3.9%	9.0%	37.1%	14.3%	0.2%	0.1%	41.2M	165.3M	-6.6M	0.42	8.69	91,848	38,907	1,221,552	675,738
2015-06-24	$24.14	$25.00	13.7%	3.8%	8.8%	38.9%	13.6%	0.1%	-0.0%	41.1M	200.9M	-6.5M	0.62	8.22	54,261	33,756	1,258,065	686,724
2015-06-25	$23.95	$25.00	13.5%	3.8%	9.0%	37.4%	13.7%	0.9%	0.0%	27.7M	310.7M	-6.4M	0.54	10.11	67,581	36,594	1,269,402	694,017
2015-06-26	$24.03	$25.00	13.8%	3.9%	9.0%	39.7%	14.2%	0.5%	0.2%	35.6M	233.7M	-6.7M	0.90	7.95	51,582	46,308	1,302,192	702,213
2015-06-29	$23.83	$25.00	15.0%	4.5%	9.0%	50.6%	16.3%	0.9%	1.1%	28.5M	299.2M	-6.5M	0.52	10.67	61,965	31,989	1,283,181	702,942
2015-06-30	$23.68	$25.00	15.2%	4.4%	9.1%	51.4%	16.0%	0.5%	1.1%	20.5M	394.8M	-6.2M	0.81	8.35	158,121	128,721	1,307,643	716,505