WMT Options History — December 2015

In December 2015, WMT traded between $19.46 and $20.57. ATM implied volatility averaged 17.1%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 3.5% (HV 20d: 20.7%). Max pain ranged from $20.00 to $20.83. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.87.

Notable Days

2015-12-02: Highest Volume — 320,133 contracts
2015-12-11: Largest IV spike — 9.8% change
2015-12-14: Highest IV Rank — 57.2%
2015-12-14: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.00	$19.46	$20.57	$19.66	$20.48
Max Pain	$20.57	$20.00	$20.83	$20.83	$20.00
ATM IV	17.1%	14.7%	20.3%	15.9%	15.7%
Expected Move	4.9%	4.1%	5.9%	4.5%	4.4%
HV 20d	20.7%	17.0%	24.4%	22.7%	17.5%
HV 60d	27.9%	27.4%	28.4%	28.4%	27.8%
IV Rank	34.6%	17.2%	57.2%	26.1%	24.2%
IV Percentile	51.0%	18.7%	86.1%	38.5%	32.1%
Term Structure	0.2%	-0.7%	0.8%	0.4%	0.4%
VWIV	17.6%	15.5%	21.0%	15.6%	16.1%
Skew 25d	2.9%	1.9%	3.8%	1.9%	2.6%
Skew 10d	6.5%	3.4%	8.9%	3.4%	5.7%
Call IV 25d	16.3%	13.9%	19.1%	15.7%	14.8%
Put IV 25d	19.2%	16.6%	22.5%	17.7%	17.4%
Bid-Ask Spread %	8.27	4.87	13.99	9.94	9.04
Gamma HHI	0.13	0.09	0.24	0.10	0.15
Net GEX	11.7M	-17.4M	42.3M	-6.4M	33.1M
Net DEX	399.4M	-22.8M	875.9M	765.1M	19.7M
Net VEX	-4.6M	-5.0M	-4.0M	-4.0M	-4.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.36	1.48	0.43	0.54
Total Volume	129,868.364	61,290	320,133	112,146	134,988
Total OI	2,548,863.409	2,158,818	2,863,668	2,527,503	2,280,909

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
2015-12-01	$19.66	$20.83	15.9%	4.5%	22.7%	26.1%	15.6%	1.9%	0.4%	-6.4M	765.1M	-4.0M	0.43	9.94	78,375	33,771	1,554,750	972,753
2015-12-02	$19.46	$20.83	17.2%	5.0%	23.1%	35.3%	16.5%	3.2%	0.4%	-9.1M	875.9M	-4.1M	0.89	13.99	169,590	150,543	1,552,599	1,011,168
2015-12-03	$19.68	$20.83	17.5%	5.0%	22.9%	37.4%	18.2%	2.9%	0.2%	597.3K	646.0M	-4.5M	1.04	8.07	94,281	97,629	1,644,159	1,014,648
2015-12-04	$19.88	$20.83	16.5%	4.8%	23.1%	30.1%	17.5%	2.8%	0.3%	7.9M	520.8M	-4.6M	0.82	5.37	84,738	69,237	1,678,122	1,061,955
2015-12-07	$20.17	$20.83	16.9%	5.1%	23.6%	33.3%	18.6%	2.8%	0.8%	8.4M	307.6M	-4.7M	0.36	6.11	97,986	35,604	1,648,230	1,031,232
2015-12-08	$19.88	$20.83	17.9%	5.2%	24.1%	40.1%	18.9%	2.9%	0.3%	6.4M	475.4M	-4.7M	0.99	6.23	46,383	45,897	1,697,595	1,028,244
2015-12-09	$19.72	$20.83	18.6%	5.2%	24.3%	44.8%	18.5%	3.2%	-0.4%	2.1M	594.0M	-4.6M	0.79	8.29	63,543	50,163	1,707,300	1,033,116
2015-12-10	$19.85	$20.83	18.1%	5.2%	24.4%	41.3%	18.6%	3.0%	0.2%	7.7M	504.4M	-4.7M	0.98	8.96	52,521	51,228	1,717,524	1,039,728
2015-12-11	$19.76	$20.83	19.8%	5.7%	22.3%	53.8%	20.8%	3.5%	0.1%	287.2K	566.6M	-4.8M	1.48	4.87	52,584	77,784	1,721,616	1,050,249
2015-12-14	$20.10	$20.83	20.3%	5.9%	22.4%	57.2%	21.0%	3.4%	-0.7%	8.7M	321.9M	-5.0M	1.14	8.24	57,366	65,547	1,708,335	1,062,864
2015-12-15	$19.87	$20.83	19.5%	5.6%	21.4%	51.2%	19.8%	3.8%	0.0%	924.4K	528.5M	-4.8M	1.18	5.54	39,333	46,395	1,720,212	1,089,150
2015-12-16	$20.12	$20.83	18.3%	5.2%	17.0%	42.7%	18.8%	3.2%	-0.0%	7.9M	262.8M	-4.8M	1.37	10.64	35,448	48,633	1,726,569	1,084,941
2015-12-17	$19.69	$20.83	18.4%	5.3%	17.9%	43.8%	18.7%	3.5%	0.1%	-7.1M	759.4M	-4.5M	0.99	7.90	60,144	59,556	1,729,722	1,098,360
2015-12-18	$19.65	$20.83	17.4%	4.9%	17.9%	36.6%	17.9%	3.1%	0.8%	-17.4M	834.8M	-4.4M	1.09	6.53	73,278	79,593	1,747,608	1,116,060
2015-12-21	$19.84	$20.83	17.0%	4.8%	18.0%	33.4%	16.5%	2.4%	0.2%	12.5M	363.4M	-4.4M	0.61	10.90	55,446	34,062	1,328,547	830,271
2015-12-22	$20.18	$20.00	15.3%	4.3%	19.0%	22.0%	15.5%	2.6%	0.2%	27.4M	175.3M	-4.6M	0.41	11.71	111,003	45,948	1,357,404	840,678
2015-12-23	$20.35	$20.00	14.7%	4.1%	19.1%	17.2%	16.0%	2.7%	0.3%	37.3M	77.9M	-4.6M	0.58	7.33	65,916	38,247	1,400,559	847,770
2015-12-24	$20.28	$20.00	15.2%	4.2%	19.0%	20.8%	15.5%	2.3%	0.0%	42.3M	76.5M	-4.6M	1.00	8.40	30,624	30,666	1,419,018	842,541
2015-12-28	$20.26	$20.00	15.8%	4.5%	18.8%	25.4%	16.2%	2.6%	0.3%	28.0M	131.6M	-4.4M	1.02	9.50	44,796	45,498	1,370,466	812,460
2015-12-29	$20.52	$20.00	15.5%	4.4%	18.0%	22.9%	16.0%	2.8%	0.1%	32.6M	3.3M	-4.5M	1.11	7.86	57,225	63,366	1,397,442	839,001
2015-12-30	$20.57	$20.00	15.4%	4.4%	18.0%	22.5%	15.7%	2.7%	0.3%	33.3M	-22.8M	-4.5M	0.40	6.52	130,188	51,981	1,406,532	852,588
2015-12-31	$20.48	$20.00	15.7%	4.4%	17.5%	24.2%	16.1%	2.6%	0.4%	33.1M	19.7M	-4.5M	0.54	9.04	87,774	47,214	1,422,030	858,879