WMT Options History — August 2015

In August 2015, WMT traded between $21.25 and $24.52. ATM implied volatility averaged 20.5%, placing in the 82.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.5% (HV 20d: 17.0%). Max pain ranged from $24.17 to $25.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2015-08-18: Highest Volume — 330,771 contracts
  • 2015-08-24: Largest IV spike — 28.6% change
  • 2015-08-12: Highest IV Rank — 100.0%
  • 2015-08-25: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.12$21.25$24.52$24.06$21.64
Max Pain$24.88$24.17$25.00$24.17$25.00
ATM IV20.5%15.5%26.1%17.2%22.4%
Expected Move5.9%4.5%7.8%5.5%6.8%
HV 20d17.0%9.4%24.6%11.2%24.5%
HV 60d14.5%11.8%16.8%14.0%16.6%
IV Rank82.9%49.8%100.0%69.4%78.2%
IV Percentile91.8%56.0%100.0%81.7%98.0%
Term Structure-0.7%-2.5%1.9%-0.7%0.1%
VWIV20.7%15.5%27.2%19.7%22.8%
Skew 25d1.7%0.2%4.0%0.9%3.6%
Skew 10d3.3%-0.2%7.6%2.3%7.6%
Call IV 25d20.2%15.8%26.7%17.1%21.4%
Put IV 25d21.9%16.4%29.1%17.9%25.0%
Bid-Ask Spread %11.395.8625.829.627.57
Gamma HHI0.090.070.120.120.09
Net GEX17.0M-25.7M51.0M32.5M1.4M
Net DEX460.9M-250.8M1.15B142.9M866.7M
Net VEX-6.0M-7.4M-4.7M-6.4M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.271.690.481.01
Total Volume167,379.85745,660330,77145,66077,301
Total OI2,306,594.4292,055,0542,599,4762,162,9432,351,229

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$24.06$24.1717.2%5.5%11.2%69.4%19.7%0.9%-0.7%32.5M142.9M-6.4M0.489.6230,92414,7361,334,172828,771
2015-08-04$24.05$24.1717.2%5.6%9.4%69.0%15.5%0.8%-0.4%40.2M106.1M-6.8M0.367.48102,22536,4591,346,673832,431
2015-08-05$24.52$24.1717.8%6.0%11.4%74.4%20.6%1.1%-0.6%51.0M-250.8M-7.4M0.475.96131,61962,3071,337,280843,543
2015-08-06$24.26$25.0019.7%5.3%12.0%91.1%18.9%1.5%-1.1%48.2M-94.5M-7.3M0.538.04103,03854,1351,376,226857,859
2015-08-07$23.76$25.0019.3%5.2%14.0%87.6%18.7%1.6%-0.9%24.5M255.6M-6.8M0.589.41104,81160,6571,408,044872,058
2015-08-10$23.83$25.0017.7%4.9%13.4%73.3%17.9%1.4%-0.4%24.9M244.6M-6.5M0.415.86101,93141,2951,374,687875,505
2015-08-11$23.98$25.0018.3%5.1%13.7%79.0%18.8%0.9%-0.5%33.6M144.7M-6.8M0.728.6246,31133,2041,367,328884,673
2015-08-12$24.20$25.0021.4%5.8%14.2%100.0%20.3%0.9%-1.1%41.8M-60.3M-7.3M0.3810.90139,42253,3611,377,057891,462
2015-08-13$24.05$25.0021.8%6.0%14.2%100.0%21.3%0.2%-0.8%38.5M4.6M-7.2M0.5912.5275,22544,4871,412,508907,149
2015-08-14$24.10$25.0021.6%5.9%14.2%98.2%20.9%0.3%-1.3%42.2M-37.9M-7.1M0.3910.9590,88535,8321,433,382923,481
2015-08-17$23.93$25.0021.7%6.1%14.3%98.7%21.6%0.4%-0.8%38.4M80.0M-6.7M0.686.95163,500111,5971,434,888902,871
2015-08-18$23.15$25.0015.5%4.5%18.3%49.8%15.8%0.6%0.3%-16.0M864.7M-5.0M0.899.66175,410155,3611,507,476962,598
2015-08-19$22.86$25.0016.9%4.8%18.5%60.8%16.7%1.1%-1.0%-25.7M983.0M-5.1M0.3911.53173,66167,8481,549,956974,514
2015-08-20$22.84$25.0017.9%5.2%18.3%69.2%17.4%1.7%-2.5%-14.6M923.2M-5.5M1.6910.2963,642107,6731,616,721982,755
2015-08-21$22.21$25.0020.3%5.7%20.2%87.9%19.9%3.0%1.9%-8.1M1.15B-4.8M1.048.5596,555100,8061,605,396989,739
2015-08-24$21.61$25.0026.1%7.7%21.8%100.0%27.2%3.6%-1.5%-4.5M869.9M-4.9M0.7122.14136,74696,6361,262,814792,240
2015-08-25$21.25$25.0026.0%7.8%21.5%99.3%26.6%2.4%-0.9%-2.3M907.4M-4.7M0.9022.1389,10680,0251,338,345813,669
2015-08-26$21.56$25.0025.6%7.4%22.5%97.1%26.7%2.5%-0.9%-322.9K875.1M-5.1M0.7025.8276,80054,1171,380,573843,798
2015-08-27$21.99$25.0022.5%6.6%24.2%78.8%23.6%3.0%-0.9%2.6M808.8M-5.1M0.2713.88166,58445,6631,407,129862,434
2015-08-28$21.62$25.0022.4%6.6%24.6%78.2%23.9%4.0%-0.5%8.8M891.4M-5.1M0.9511.2957,87955,2031,504,008871,041
2015-08-31$21.64$25.0022.4%6.8%24.5%78.2%22.8%3.6%0.1%1.4M866.7M-5.1M1.017.5738,37938,9221,484,652866,577