WMT Options History — January 2016

In January 2016, WMT traded between $20.30 and $22.12. ATM implied volatility averaged 22.8%, placing in the 72.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.9% (HV 20d: 23.7%). Max pain ranged from $20.00 to $20.83. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.01.

Notable Days

2016-01-07: Highest Volume — 392,388 contracts
2016-01-07: Largest IV spike — 21.7% change
2016-01-20: Highest IV Rank — 100.0%
2016-01-20: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.08	$20.30	$22.12	$20.47	$22.12
Max Pain	$20.66	$20.00	$20.83	$20.00	$20.83
ATM IV	22.8%	17.1%	27.4%	17.8%	24.0%
Expected Move	7.0%	5.4%	7.9%	5.4%	7.4%
HV 20d	23.7%	17.3%	28.3%	17.3%	28.3%
HV 60d	23.9%	20.0%	29.3%	27.8%	23.0%
IV Rank	72.1%	34.2%	100.0%	39.6%	77.1%
IV Percentile	87.9%	49.6%	100.0%	61.1%	93.7%
Term Structure	0.4%	-1.0%	3.5%	-0.0%	-0.7%
VWIV	24.6%	19.0%	28.8%	19.3%	26.5%
Skew 25d	3.6%	2.0%	4.5%	3.0%	3.9%
Skew 10d	7.8%	4.9%	10.6%	6.6%	10.1%
Call IV 25d	21.5%	16.2%	26.0%	16.6%	23.0%
Put IV 25d	25.1%	18.7%	30.2%	19.7%	26.9%
Bid-Ask Spread %	10.63	5.54	14.24	14.24	12.19
Gamma HHI	0.17	0.14	0.19	0.15	0.15
Net GEX	32.3M	7.7M	42.9M	28.3M	41.4M
Net DEX	-260.5M	-722.8M	55.4M	29.6M	-722.8M
Net VEX	-5.3M	-5.7M	-4.5M	-4.5M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.33	3.78	0.55	0.33
Total Volume	154,227.632	79,197	392,388	124,068	237,219
Total OI	2,030,852.368	1,496,550	2,592,762	2,254,692	1,603,599

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
2016-01-04	$20.47	$20.00	17.8%	5.4%	17.3%	39.6%	19.3%	3.0%	-0.0%	28.3M	29.6M	-4.5M	0.55	14.24	80,223	43,845	1,414,074	840,618
2016-01-05	$21.00	$20.00	17.1%	5.5%	19.1%	34.2%	19.0%	2.5%	0.1%	35.8M	-246.1M	-4.8M	0.37	8.47	169,215	62,154	1,428,477	854,685
2016-01-06	$21.15	$20.00	18.2%	5.9%	18.7%	42.1%	19.4%	2.9%	-0.1%	41.2M	-349.9M	-5.1M	0.44	11.06	108,207	47,802	1,483,329	876,576
2016-01-07	$21.69	$20.00	22.1%	6.8%	19.3%	70.0%	23.6%	2.0%	-0.6%	40.4M	-624.1M	-5.5M	0.49	13.50	263,898	128,490	1,498,308	891,246
2016-01-08	$21.16	$20.83	22.2%	6.9%	21.5%	70.8%	23.3%	3.9%	-0.2%	35.3M	-328.9M	-5.5M	0.67	10.99	86,604	57,936	1,572,027	944,811
2016-01-11	$21.44	$20.83	20.9%	6.6%	21.7%	61.1%	23.3%	3.0%	2.5%	42.9M	-458.7M	-5.4M	0.56	9.46	104,532	58,485	1,546,095	921,675
2016-01-12	$21.20	$20.83	20.2%	6.6%	22.2%	56.2%	22.2%	2.9%	3.0%	39.5M	-316.8M	-5.3M	0.82	11.06	51,399	41,907	1,576,179	936,030
2016-01-13	$20.64	$20.83	21.5%	6.9%	24.0%	65.5%	23.8%	3.1%	3.2%	24.7M	5.1M	-5.2M	0.72	13.37	125,328	90,483	1,578,012	943,068
2016-01-14	$21.01	$20.83	21.3%	6.9%	24.2%	63.9%	24.8%	3.0%	3.5%	37.6M	-259.3M	-5.4M	1.24	10.00	48,675	60,282	1,633,788	948,021
2016-01-15	$20.64	$20.83	24.3%	7.3%	24.9%	85.1%	26.2%	4.3%	1.9%	7.7M	-28.9M	-5.4M	0.62	9.33	108,072	66,894	1,635,162	957,600
2016-01-19	$20.90	$20.83	25.1%	7.3%	23.7%	91.0%	25.4%	3.6%	-0.3%	26.1M	-156.3M	-5.5M	0.86	9.01	57,243	49,365	845,496	651,054
2016-01-20	$20.30	$20.83	27.4%	7.9%	26.3%	100.0%	28.8%	4.1%	-0.6%	16.6M	55.4M	-5.3M	1.34	13.42	43,680	58,440	870,126	672,096
2016-01-21	$20.67	$20.83	27.2%	7.9%	26.8%	98.5%	27.7%	4.2%	-1.0%	22.0M	-74.3M	-5.5M	0.98	12.56	58,005	56,892	875,748	693,336
2016-01-22	$20.90	$20.83	25.4%	7.4%	26.4%	86.8%	26.1%	3.6%	-0.8%	28.5M	-161.6M	-5.6M	1.17	7.57	43,185	50,730	896,808	714,696
2016-01-25	$21.17	$20.83	25.2%	7.5%	26.6%	85.5%	26.8%	4.3%	-0.5%	32.1M	-282.1M	-5.5M	1.70	5.54	39,156	66,393	866,346	679,179
2016-01-26	$21.29	$20.83	24.2%	7.3%	26.5%	78.9%	26.7%	4.4%	-0.5%	35.2M	-313.8M	-5.7M	3.78	8.21	34,386	129,963	876,993	713,205
2016-01-27	$21.33	$20.83	24.7%	7.5%	26.5%	82.1%	26.7%	4.5%	-0.8%	38.6M	-338.1M	-5.3M	0.94	12.88	62,910	59,130	888,105	671,733
2016-01-28	$21.42	$20.83	24.5%	7.5%	26.2%	80.7%	27.5%	4.2%	-0.6%	40.2M	-377.9M	-5.4M	1.67	9.14	29,634	49,563	901,359	686,535
2016-01-29	$22.12	$20.83	24.0%	7.4%	28.3%	77.1%	26.5%	3.9%	-0.7%	41.4M	-722.8M	-5.4M	0.33	12.19	177,699	59,520	908,943	694,656