WMT Options History — October 2015 In October 2015, WMT traded between $19.11 and $22.29. ATM implied volatility averaged 19.2%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 11.1% (HV 20d: 30.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.83.
Notable Days 2015-10-14 : Highest Volume — 737,220 contracts2015-10-14 : Largest IV spike — 24.9% change2015-10-14 : Highest IV Rank — 77.5%2015-10-14 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $20.51 $19.11 $22.29 $21.36 $19.11 Max Pain $20.98 $20.00 $22.50 $22.50 $20.00 ATM IV 19.2% 16.8% 23.2% 19.7% 20.3% Expected Move 5.7% 5.2% 7.0% 5.9% 5.9% HV 20d 30.3% 13.1% 39.9% 20.2% 38.5% HV 60d 25.2% 19.4% 29.0% 19.4% 28.6% IV Rank 49.8% 32.5% 77.5% 53.4% 57.6% IV Percentile 82.1% 56.3% 97.2% 88.5% 90.5% Term Structure 0.2% -0.8% 1.7% 0.1% -0.0% VWIV 20.3% 18.7% 24.3% 22.0% 20.9% Skew 25d 2.7% 1.9% 4.6% 4.6% 2.3% Skew 10d 5.8% 4.1% 8.9% 8.8% 4.1% Call IV 25d 18.3% 15.6% 21.8% 18.0% 19.4% Put IV 25d 21.0% 18.7% 25.4% 22.6% 21.8% Bid-Ask Spread % 10.43 6.94 21.09 13.93 9.39 Gamma HHI 0.11 0.07 0.19 0.07 0.10 Net GEX 1.0M -13.7M 17.1M 2.5M -6.2M Net DEX 730.3M 189.3M 1.29B 560.7M 1.06B Net VEX -4.3M -4.9M -3.2M -4.4M -4.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.35 1.71 1.71 0.74 Total Volume 193,953.955 75,534 737,220 95,532 134,712 Total OI 2,488,415.591 2,121,600 2,893,155 2,139,603 2,792,646
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 2015-10-01 $21.36 $22.50 19.7% 5.9% 20.2% 53.4% 22.0% 4.6% 0.1% 2.5M 560.7M -4.4M 1.71 13.93 35,253 60,279 1,301,001 838,602 2015-10-02 $21.62 $22.50 19.1% 5.2% 20.5% 49.2% 20.8% 3.4% -0.3% 17.1M 445.2M -4.6M 1.53 15.75 40,638 62,340 1,314,243 856,134 2015-10-05 $21.96 $21.67 17.2% 5.5% 21.0% 35.9% 19.1% 3.2% 0.4% 10.7M 326.5M -4.7M 0.35 8.55 56,034 19,500 1,292,922 828,678 2015-10-06 $21.92 $21.67 17.3% 5.5% 20.4% 36.8% 19.9% 2.9% -0.1% 9.8M 351.4M -4.7M 1.41 6.94 32,556 45,840 1,300,881 837,555 2015-10-07 $22.09 $21.67 18.1% 5.5% 16.3% 42.4% 19.4% 2.8% -0.2% 14.5M 292.4M -4.8M 1.22 7.89 88,917 108,456 1,307,889 849,717 2015-10-08 $22.29 $21.67 17.7% 5.3% 14.7% 39.2% 18.9% 2.7% -0.4% 16.0M 189.3M -4.9M 0.82 7.07 44,691 36,426 1,342,551 919,710 2015-10-09 $22.23 $21.67 17.5% 5.3% 13.5% 37.9% 19.7% 3.0% -0.1% 14.3M 220.7M -4.9M 1.50 12.02 47,271 71,061 1,349,136 926,838 2015-10-12 $22.29 $21.67 16.8% 5.3% 13.3% 32.5% 18.7% 3.1% 1.7% 11.4M 209.6M -4.7M 1.09 7.01 45,906 50,259 1,341,420 934,785 2015-10-13 $22.24 $21.67 18.6% 5.5% 13.1% 45.0% 19.7% 3.0% 1.0% 6.8M 229.1M -4.8M 0.36 15.17 141,579 50,910 1,356,504 959,547 2015-10-14 $20.04 $21.67 23.2% 7.0% 39.9% 77.5% 24.3% 3.6% 1.2% -11.9M 1.17B -3.2M 0.66 11.59 445,281 291,939 1,422,405 967,464 2015-10-15 $19.75 $21.67 19.4% 5.8% 39.9% 50.9% 20.6% 2.2% 1.0% -9.9M 1.28B -3.4M 0.96 10.66 286,305 275,607 1,645,920 1,092,402 2015-10-16 $19.61 $21.67 18.8% 5.6% 39.9% 46.9% 19.9% 1.9% 1.3% -13.7M 1.29B -3.7M 0.68 8.62 292,251 199,155 1,743,279 1,149,876 2015-10-19 $19.62 $20.00 20.3% 5.9% 39.7% 57.1% 21.0% 2.0% -0.6% -7.7M 872.8M -4.1M 0.66 10.85 130,929 86,145 1,520,829 989,988 2015-10-20 $19.60 $20.00 20.0% 5.8% 39.5% 55.3% 20.6% 2.1% -0.8% -5.6M 897.1M -4.0M 0.58 6.96 89,196 51,813 1,567,794 1,031,964 2015-10-21 $19.53 $20.00 19.7% 5.6% 39.5% 52.8% 19.6% 2.5% -0.5% 1.8M 903.4M -4.2M 0.59 7.13 91,269 53,727 1,618,440 1,051,506 2015-10-22 $19.62 $20.00 19.0% 5.5% 39.6% 48.4% 19.3% 2.3% -0.7% 13.6M 865.2M -4.3M 0.60 21.09 80,814 48,402 1,653,480 1,060,806 2015-10-23 $19.43 $20.00 19.3% 5.6% 39.6% 50.1% 19.7% 2.5% -0.6% -9.4M 962.6M -4.2M 0.60 8.66 135,264 81,831 1,670,370 1,065,096 2015-10-26 $19.35 $20.00 19.9% 5.8% 39.6% 54.4% 20.0% 2.3% 0.8% -10.0M 954.3M -4.1M 0.43 8.95 99,405 42,441 1,605,354 1,051,332 2015-10-27 $19.15 $20.00 20.6% 6.0% 39.6% 59.7% 21.4% 2.4% 0.1% -9.4M 1.03B -4.0M 0.64 8.18 64,707 41,349 1,631,859 1,057,920 2015-10-28 $19.20 $20.00 20.3% 5.9% 38.8% 57.3% 21.1% 2.8% 0.1% -8.4M 1.00B -4.0M 0.63 13.20 68,880 43,671 1,657,752 1,069,749 2015-10-29 $19.32 $20.00 19.9% 5.9% 39.0% 54.5% 20.5% 2.3% -0.0% -3.0M 949.4M -4.1M 0.49 9.79 62,898 31,080 1,683,903 1,084,896 2015-10-30 $19.11 $20.00 20.3% 5.9% 38.5% 57.6% 20.9% 2.3% -0.0% -6.2M 1.06B -4.0M 0.74 9.39 77,340 57,372 1,700,616 1,092,030
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