WMT Options History — July 2015 In July 2015, WMT traded between $23.78 and $24.64. ATM implied volatility averaged 16.3%, placing in the 61.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.0% (HV 20d: 11.3%). Max pain ranged from $23.33 to $25.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.75.
Notable Days 2015-07-01 : Highest Volume — 256,092 contracts2015-07-24 : Largest IV spike — 9.7% change2015-07-27 : Highest IV Rank — 81.4%2015-07-08 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $24.26 $23.78 $24.64 $23.96 $24.00 Max Pain $23.90 $23.33 $25.00 $25.00 $24.17 ATM IV 16.3% 13.8% 18.6% 15.8% 17.1% Expected Move 5.0% 4.4% 5.7% 4.6% 5.1% HV 20d 11.3% 9.4% 12.6% 10.2% 11.7% HV 60d 14.5% 14.1% 15.0% 14.2% 14.1% IV Rank 61.7% 39.8% 81.4% 57.0% 68.1% IV Percentile 71.2% 34.1% 93.7% 71.4% 79.8% Term Structure 0.3% -0.8% 3.3% 0.7% -0.8% VWIV 17.9% 15.6% 20.2% 16.3% 18.1% Skew 25d 1.3% 0.1% 1.8% 0.6% 0.3% Skew 10d 2.3% 0.5% 3.6% 0.7% 0.5% Call IV 25d 15.9% 12.9% 18.2% 16.0% 17.2% Put IV 25d 17.2% 14.0% 19.8% 16.6% 17.5% Bid-Ask Spread % 8.48 4.12 12.89 12.89 9.55 Gamma HHI 0.20 0.10 0.38 0.19 0.10 Net GEX 51.0M -5.5M 109.6M 34.0M 37.1M Net DEX -2.4M -327.6M 285.0M 266.9M 159.4M Net VEX -7.2M -8.1M -6.6M -7.3M -6.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.23 1.88 0.23 0.87 Total Volume 103,084.364 60,717 256,092 256,092 89,850 Total OI 2,242,187.864 2,000,604 2,456,544 2,218,791 2,180,136
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 2015-07-01 $23.96 $25.00 15.8% 4.6% 10.2% 57.0% 16.3% 0.6% 0.7% 34.0M 266.9M -7.3M 0.23 12.89 208,953 47,139 1,391,283 827,508 2015-07-02 $23.96 $25.00 15.8% 4.6% 9.9% 56.7% 16.5% 0.1% 0.8% 55.5M 147.9M -7.8M 0.37 11.03 76,212 28,290 1,531,701 837,726 2015-07-06 $24.19 $23.33 16.8% 5.2% 9.4% 66.0% 18.4% 1.1% -0.5% 58.7M 2.3M -7.7M 0.58 6.87 69,030 40,023 1,453,965 828,141 2015-07-07 $24.58 $23.33 17.0% 5.4% 10.8% 67.6% 18.8% 0.8% -0.5% 85.4M -311.8M -8.1M 0.50 10.38 95,310 47,514 1,470,963 842,952 2015-07-08 $24.37 $23.33 18.2% 5.7% 11.3% 77.7% 20.2% 1.5% -0.4% 71.5M -154.3M -8.0M 1.16 10.87 56,241 64,956 1,496,220 855,909 2015-07-09 $24.30 $23.33 17.6% 5.6% 11.1% 72.6% 19.5% 0.9% -0.6% 65.2M -95.1M -7.9M 0.83 6.51 35,112 29,145 1,512,903 884,838 2015-07-10 $24.39 $23.33 16.5% 5.4% 11.2% 63.1% 19.0% 1.5% -0.5% 80.3M -145.3M -7.8M 0.71 5.80 51,549 36,573 1,520,025 887,967 2015-07-13 $24.64 $23.33 15.3% 4.9% 11.5% 53.1% 18.0% 1.3% 2.4% 109.6M -327.6M -7.6M 0.45 6.57 66,222 29,553 1,507,725 865,524 2015-07-14 $24.58 $23.33 14.5% 5.0% 11.1% 45.8% 17.9% 1.5% 3.3% 98.4M -214.0M -7.3M 0.65 4.12 59,463 38,736 1,512,297 870,924 2015-07-15 $24.53 $23.33 14.5% 4.9% 11.1% 45.6% 17.3% 1.3% 3.0% 83.1M -163.7M -7.5M 0.54 8.56 54,681 29,676 1,523,451 880,626 2015-07-16 $24.62 $23.33 13.8% 4.5% 11.0% 39.8% 16.3% 1.4% 2.6% 82.5M -237.5M -7.2M 1.88 7.77 53,520 100,689 1,536,564 881,241 2015-07-17 $24.47 $24.17 14.1% 4.5% 11.2% 42.7% 15.6% 1.1% 2.5% -5.5M -51.9M -7.1M 0.50 6.37 65,592 32,997 1,548,546 907,998 2015-07-20 $24.37 $24.17 14.9% 4.4% 11.3% 49.6% 16.1% 1.2% -0.3% 32.7M -30.0M -6.9M 0.39 10.20 70,080 27,387 1,210,497 790,107 2015-07-21 $24.27 $24.17 15.6% 4.5% 11.4% 55.0% 16.1% 1.6% -0.6% 31.2M 42.5M -6.8M 0.94 8.27 47,190 44,514 1,249,350 796,017 2015-07-22 $24.40 $24.17 16.4% 4.7% 11.4% 62.3% 17.0% 1.5% -0.6% 36.4M -39.3M -7.0M 1.28 9.55 41,604 53,052 1,267,860 792,594 2015-07-23 $24.17 $24.17 16.6% 4.8% 11.9% 64.1% 17.2% 1.8% -0.4% 31.2M 96.3M -6.8M 0.89 8.05 32,100 28,617 1,287,204 796,689 2015-07-24 $23.87 $24.17 18.2% 5.3% 12.4% 78.2% 18.5% 1.5% -0.6% 25.1M 254.2M -6.7M 1.02 8.79 57,936 59,289 1,298,127 801,735 2015-07-27 $23.78 $24.17 18.6% 5.6% 12.4% 81.4% 19.8% 1.6% -0.8% 19.4M 285.0M -6.6M 0.70 7.29 45,978 32,250 1,282,155 814,203 2015-07-28 $24.02 $24.17 17.9% 5.4% 12.6% 75.5% 19.3% 1.7% -0.1% 25.7M 189.3M -6.7M 0.72 9.54 44,523 32,076 1,294,251 819,669 2015-07-29 $24.08 $24.17 17.4% 5.2% 12.3% 70.6% 19.1% 1.6% -0.5% 30.4M 141.4M -6.6M 0.62 10.46 40,962 25,293 1,306,194 818,802 2015-07-30 $24.08 $24.17 16.8% 5.2% 11.6% 65.8% 18.8% 1.7% -0.5% 33.1M 133.2M -6.6M 0.74 7.01 44,883 33,096 1,320,516 825,030 2015-07-31 $24.00 $24.17 17.1% 5.1% 11.7% 68.1% 18.1% 0.3% -0.8% 37.1M 159.4M -6.6M 0.87 9.55 48,162 41,688 1,342,476 837,660
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