WMT Options History — September 2015

In September 2015, WMT traded between $21.12 and $22.13. ATM implied volatility averaged 21.4%, placing in the 69.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 3.3% (HV 20d: 24.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2015-09-08: Highest Volume — 172,263 contracts
  • 2015-09-28: Largest IV spike — 11.1% change
  • 2015-09-01: Highest IV Rank — 100.0%
  • 2015-09-01: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.43$21.12$22.13$21.30$21.63
Max Pain$23.37$22.50$25.00$25.00$22.50
ATM IV21.4%18.4%26.4%26.4%18.9%
Expected Move6.2%5.3%8.2%8.2%5.5%
HV 20d24.7%19.5%27.9%24.7%20.6%
HV 60d18.9%16.9%19.7%16.9%19.6%
IV Rank69.1%49.2%100.0%100.0%49.2%
IV Percentile92.1%81.0%100.0%100.0%83.3%
Term Structure-0.2%-1.4%0.5%-0.4%-0.2%
VWIV22.1%18.7%29.2%29.2%20.8%
Skew 25d3.8%2.7%4.9%4.9%3.6%
Skew 10d8.1%5.5%11.3%11.3%8.1%
Call IV 25d20.4%17.7%25.0%25.0%17.8%
Put IV 25d24.2%20.6%29.9%29.9%21.4%
Bid-Ask Spread %10.396.1116.4012.0113.14
Gamma HHI0.090.070.130.080.07
Net GEX-3.4M-18.6M9.1M-12.3K4.6M
Net DEX766.5M461.2M1.01B880.9M461.2M
Net VEX-4.7M-5.5M-4.2M-5.0M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.672.021.160.67
Total Volume109,399.9547,046172,263128,520125,541
Total OI2,289,185.11,933,4012,487,4412,353,8392,095,857

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$21.30$25.0026.4%8.2%24.7%100.0%29.2%4.9%-0.4%-12.3K880.9M-5.0M1.1612.0159,55668,9641,492,983860,856
2015-09-02$21.45$24.8324.0%7.2%23.4%86.0%25.5%4.2%-0.7%-1.3M858.2M-5.0M1.058.7344,64046,8661,500,918876,780
2015-09-03$21.65$23.3322.7%6.5%24.0%78.2%23.1%3.6%0.2%323.3K814.4M-5.1M0.849.6844,76337,4221,512,492882,558
2015-09-04$21.37$23.3323.8%6.7%23.5%84.6%23.8%4.5%0.3%-6.2M873.8M-4.9M1.148.7641,67947,3431,522,869889,140
2015-09-08$22.13$23.3322.0%6.3%27.4%74.1%23.1%3.9%-0.4%9.1M621.0M-5.5M0.828.0994,40477,8591,498,785870,747
2015-09-09$21.68$23.3322.7%6.6%27.8%78.0%22.6%4.2%0.5%1.4M792.1M-5.3M0.929.5347,14543,2181,532,268907,587
2015-09-10$21.35$23.3323.6%6.6%27.5%83.2%23.9%3.9%-0.7%-4.1M938.4M-4.8M1.428.6342,71760,8011,536,456913,878
2015-09-11$21.52$23.3322.8%6.5%27.9%78.2%23.7%3.8%-0.4%2.4M885.2M-5.0M0.778.9445,90035,1751,546,152924,360
2015-09-14$21.42$23.3322.9%6.5%27.8%78.9%23.5%4.5%-0.1%-5.5M892.6M-4.8M1.228.6334,29041,7211,529,457907,182
2015-09-15$21.44$23.3322.1%6.3%27.9%74.3%23.1%4.3%-0.5%-7.3M851.7M-4.9M1.096.1122,47624,5701,536,861900,519
2015-09-16$21.57$23.3320.2%5.8%26.1%63.0%20.3%4.1%0.5%-7.6M841.2M-4.6M1.069.5556,49359,9551,542,843894,666
2015-09-17$21.49$23.3318.5%5.3%25.9%52.5%18.9%3.3%-0.1%-14.7M892.0M-4.4M1.3616.4048,39965,6431,551,654912,516
2015-09-18$21.12$23.3320.2%5.9%26.4%62.6%19.9%3.5%-1.4%-18.6M1.01B-4.3M2.029.2346,93294,9471,556,694930,747
2015-09-21$21.23$23.3318.6%5.4%24.9%53.6%18.7%2.9%0.1%-10.0M654.3M-4.2M1.4910.4151,99077,4601,174,824758,577
2015-09-23$21.25$23.3319.0%5.4%23.1%55.5%18.8%2.7%-0.1%-4.3M622.4M-4.3M1.929.1545,03386,4001,218,396788,127
2015-09-24$21.26$23.3319.0%5.5%22.4%54.0%19.1%3.1%-0.2%-2.7M618.4M-4.5M1.3313.9055,95974,4001,232,967808,161
2015-09-25$21.26$23.1718.4%5.3%21.7%50.0%18.7%3.0%-0.0%1.7M610.9M-4.3M1.2012.9572,02786,6911,254,648812,376
2015-09-28$21.26$22.6720.5%6.1%20.4%62.1%21.5%4.0%-0.3%-3.0M599.0M-4.4M1.1011.8336,99040,7371,241,226800,820
2015-09-29$21.26$22.5021.2%6.2%19.5%64.7%23.9%4.5%-0.7%-2.0M606.7M-4.4M1.3112.0343,63257,2611,253,673812,082
2015-09-30$21.63$22.5018.9%5.5%20.6%49.2%20.8%3.6%-0.2%4.6M461.2M-4.5M0.6713.1475,18650,3551,265,856830,001