WMT Options History — November 2015

In November 2015, WMT traded between $18.81 and $20.31. ATM implied volatility averaged 20.2%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 6.7% (HV 20d: 26.9%). Max pain ranged from $20.00 to $21.67. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.75.

Notable Days

2015-11-17: Highest Volume — 352,620 contracts
2015-11-17: Largest IV drop — 24.4% change
2015-11-16: Highest IV Rank — 96.5%
2015-11-16: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.67	$18.81	$20.31	$19.18	$19.61
Max Pain	$21.10	$20.00	$21.67	$20.00	$20.83
ATM IV	20.2%	15.7%	25.9%	20.9%	16.6%
Expected Move	5.8%	4.5%	7.4%	6.1%	4.8%
HV 20d	26.9%	13.7%	38.5%	37.8%	23.1%
HV 60d	28.7%	28.2%	29.9%	28.6%	28.5%
IV Rank	56.6%	25.2%	96.5%	61.7%	31.3%
IV Percentile	76.3%	36.9%	98.8%	91.3%	46.0%
Term Structure	-0.4%	-1.7%	0.5%	-1.0%	0.1%
VWIV	20.5%	16.7%	25.6%	21.3%	17.0%
Skew 25d	2.7%	1.8%	4.0%	2.3%	2.7%
Skew 10d	5.1%	2.7%	8.0%	5.2%	4.7%
Call IV 25d	19.2%	15.0%	24.4%	20.0%	15.9%
Put IV 25d	22.0%	17.9%	28.4%	22.3%	18.5%
Bid-Ask Spread %	7.85	4.54	11.85	6.93	11.85
Gamma HHI	0.10	0.07	0.22	0.10	0.10
Net GEX	5.6M	-11.0M	29.0M	-5.8M	-6.0M
Net DEX	654.1M	104.4M	1.11B	993.1M	799.4M
Net VEX	-4.3M	-4.6M	-3.5M	-4.0M	-3.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.36	2.06	0.47	2.06
Total Volume	134,139.474	60,762	352,620	106,119	176,247
Total OI	2,786,205.474	2,428,650	3,040,014	2,724,792	2,433,333

Daily Data (19 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
2015-11-02	$19.18	$20.00	20.9%	6.1%	37.8%	61.7%	21.3%	2.3%	-1.0%	-5.8M	993.1M	-4.0M	0.47	6.93	72,144	33,975	1,654,041	1,070,751
2015-11-04	$19.44	$20.00	21.6%	6.7%	38.5%	66.0%	24.0%	1.9%	-0.7%	10.3M	783.4M	-4.5M	0.78	6.43	55,815	43,731	1,739,487	1,086,996
2015-11-05	$19.54	$21.67	22.2%	6.2%	38.4%	70.3%	20.8%	2.2%	-0.6%	10.8M	729.2M	-4.6M	0.62	4.81	55,401	34,365	1,750,602	1,105,521
2015-11-06	$19.59	$21.67	21.4%	5.9%	38.1%	64.9%	21.6%	2.4%	-0.7%	6.1M	708.9M	-4.6M	0.36	8.81	52,272	18,954	1,754,295	1,110,510
2015-11-09	$19.50	$21.67	22.4%	6.4%	38.1%	72.1%	21.8%	2.4%	0.5%	3.3M	784.8M	-4.5M	0.70	6.82	36,648	25,782	1,724,973	1,095,657
2015-11-10	$19.55	$21.67	22.3%	6.3%	38.1%	71.6%	21.7%	2.5%	0.1%	4.5M	779.5M	-4.4M	0.95	6.34	35,223	33,558	1,736,658	1,105,116
2015-11-11	$19.51	$21.67	22.3%	6.3%	38.1%	70.9%	22.3%	1.8%	-0.1%	2.9M	780.3M	-4.5M	1.01	9.16	30,258	30,504	1,738,941	1,113,012
2015-11-12	$19.00	$21.67	23.3%	6.6%	14.1%	78.5%	24.0%	2.8%	-0.3%	-8.0M	1.05B	-4.0M	0.57	6.39	68,292	39,135	1,755,558	1,128,096
2015-11-13	$18.81	$21.67	25.3%	7.1%	13.7%	92.7%	24.9%	4.0%	-1.1%	-6.2M	1.11B	-4.0M	0.69	4.54	152,523	104,820	1,769,799	1,137,672
2015-11-16	$19.29	$20.83	25.9%	7.4%	16.7%	96.5%	25.6%	3.6%	-1.7%	5.7M	822.7M	-4.4M	0.64	8.97	142,935	90,978	1,796,016	1,134,258
2015-11-17	$20.04	$20.83	19.6%	5.6%	21.8%	52.1%	20.6%	3.5%	0.2%	24.0M	314.8M	-4.6M	0.66	8.99	212,433	140,187	1,831,212	1,163,727
2015-11-18	$20.31	$20.83	19.0%	5.4%	22.2%	48.2%	19.1%	3.5%	-1.1%	29.0M	104.4M	-4.6M	1.07	9.04	76,353	81,531	1,854,945	1,176,237
2015-11-19	$20.25	$20.83	18.5%	5.3%	22.1%	44.4%	20.1%	3.3%	-0.9%	29.0M	165.8M	-4.4M	0.36	7.39	145,548	51,975	1,849,932	1,190,082
2015-11-20	$20.03	$20.83	17.3%	5.0%	22.5%	36.3%	17.2%	2.5%	-0.0%	8.5M	308.5M	-4.2M	0.48	6.83	103,008	49,554	1,822,311	1,200,420
2015-11-23	$20.09	$21.67	16.9%	4.8%	22.2%	33.5%	17.2%	2.6%	0.1%	2.0M	496.3M	-4.2M	0.59	10.32	56,823	33,369	1,525,389	903,261
2015-11-24	$19.97	$20.83	16.6%	4.8%	22.2%	31.2%	17.5%	2.1%	0.0%	1.4M	549.2M	-4.0M	0.74	6.90	47,877	35,337	1,545,411	915,129
2015-11-25	$20.11	$20.83	16.2%	4.6%	21.9%	28.4%	16.9%	3.2%	0.2%	6.2M	521.2M	-4.1M	0.81	8.98	52,896	42,948	1,570,254	926,682
2015-11-27	$19.96	$20.83	15.7%	4.5%	22.1%	25.2%	16.7%	2.9%	0.3%	-11.0M	619.8M	-4.0M	0.66	9.68	51,414	33,837	1,587,567	934,053
2015-11-30	$19.61	$20.83	16.6%	4.8%	23.1%	31.3%	17.0%	2.7%	0.1%	-6.0M	799.4M	-3.5M	2.06	11.85	57,684	118,563	1,531,584	901,749