WMT Options History — February 2016

In February 2016, WMT traded between $21.33 and $22.67. ATM implied volatility averaged 24.9%, placing in the 69.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.5% (HV 20d: 24.4%). Max pain ranged from $20.83 to $21.67. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.15.

Notable Days

2016-02-18: Highest Volume — 439,581 contracts
2016-02-18: Largest IV drop — 19.7% change
2016-02-04: Highest IV Rank — 100.0%
2016-02-03: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.08	$21.33	$22.67	$22.53	$22.18
Max Pain	$21.00	$20.83	$21.67	$20.83	$21.67
ATM IV	24.9%	18.7%	32.0%	24.4%	18.7%
Expected Move	7.2%	5.5%	9.2%	8.0%	5.5%
HV 20d	24.4%	21.7%	29.1%	28.6%	21.9%
HV 60d	22.7%	21.1%	23.7%	23.2%	22.8%
IV Rank	69.2%	32.6%	100.0%	80.2%	32.6%
IV Percentile	86.4%	61.1%	100.0%	94.8%	61.1%
Term Structure	-0.8%	-3.8%	0.1%	-0.2%	-0.2%
VWIV	25.8%	20.0%	32.3%	30.5%	20.0%
Skew 25d	4.2%	2.9%	5.7%	3.6%	3.9%
Skew 10d	9.2%	4.3%	12.2%	5.5%	8.8%
Call IV 25d	23.1%	17.0%	29.4%	22.6%	17.0%
Put IV 25d	27.4%	20.9%	34.2%	26.2%	20.9%
Bid-Ask Spread %	11.08	7.00	14.18	9.20	14.12
Gamma HHI	0.21	0.12	0.62	0.14	0.22
Net GEX	44.2M	28.0M	119.9M	41.9M	39.8M
Net DEX	-540.0M	-864.1M	5.8M	-864.1M	-432.2M
Net VEX	-5.4M	-5.9M	-4.7M	-5.4M	-5.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.32	2.09	0.95	1.26
Total Volume	152,788.5	79,437	439,581	167,358	112,179
Total OI	1,740,666	1,451,061	2,050,599	1,615,416	1,577,145

Daily Data (20 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
2016-02-01	$22.53	$20.83	24.4%	8.0%	28.6%	80.2%	30.5%	3.6%	-0.2%	41.9M	-864.1M	-5.4M	0.95	9.20	85,932	81,426	917,694	697,722
2016-02-02	$22.28	$20.83	26.7%	8.8%	29.1%	94.9%	31.5%	3.1%	-0.6%	38.7M	-727.8M	-5.5M	0.98	8.77	71,679	70,467	923,289	726,681
2016-02-03	$22.11	$20.83	27.1%	9.2%	28.2%	97.6%	32.3%	3.6%	-0.3%	37.2M	-635.8M	-5.7M	0.86	11.75	78,555	67,410	944,367	756,450
2016-02-04	$22.16	$20.83	27.9%	7.3%	28.2%	100.0%	28.0%	3.3%	-1.0%	36.8M	-664.3M	-5.7M	2.07	7.30	37,320	77,301	963,060	771,666
2016-02-05	$22.28	$20.83	28.7%	7.8%	26.9%	100.0%	27.7%	3.0%	-1.0%	38.6M	-720.3M	-5.8M	2.07	10.15	54,717	113,403	967,296	785,001
2016-02-08	$22.31	$20.83	32.0%	8.0%	25.1%	100.0%	28.5%	2.9%	-3.8%	32.4M	-683.1M	-5.8M	0.32	10.62	230,925	73,035	953,187	796,686
2016-02-09	$21.93	$20.83	30.6%	8.5%	25.7%	92.7%	30.0%	4.0%	-0.8%	42.7M	-619.0M	-5.9M	1.62	10.48	40,224	65,040	1,059,507	812,184
2016-02-10	$21.93	$20.83	30.6%	8.4%	25.3%	92.9%	29.3%	5.7%	-0.7%	41.8M	-583.9M	-5.8M	1.43	10.03	32,625	46,812	1,054,002	835,953
2016-02-11	$21.78	$20.83	30.7%	8.6%	23.2%	93.1%	28.4%	5.5%	-1.0%	38.2M	-474.6M	-5.8M	0.82	7.00	61,419	50,673	1,051,584	846,189
2016-02-12	$22.06	$20.83	28.8%	8.1%	22.9%	83.9%	27.9%	5.1%	-0.8%	52.1M	-684.5M	-5.7M	1.17	12.94	38,067	44,715	1,076,625	847,563
2016-02-16	$21.93	$20.83	28.3%	8.1%	21.9%	81.1%	28.9%	5.7%	-1.7%	47.8M	-579.8M	-5.3M	2.09	13.26	40,365	84,249	1,055,037	821,262
2016-02-17	$22.08	$20.83	26.3%	7.5%	21.7%	71.2%	25.4%	5.1%	-1.8%	50.5M	-670.6M	-5.2M	1.06	10.25	102,372	108,873	1,067,181	841,089
2016-02-18	$21.33	$20.83	21.1%	6.1%	22.8%	44.9%	21.6%	5.0%	0.1%	45.3M	5.8M	-4.7M	0.68	14.18	262,233	177,348	1,099,365	887,391
2016-02-19	$21.56	$20.83	20.5%	5.9%	22.3%	41.8%	20.8%	4.1%	-0.2%	119.9M	-180.6M	-5.0M	1.04	9.02	70,680	73,551	1,139,046	911,553
2016-02-22	$21.86	$20.83	19.5%	5.7%	22.4%	36.5%	20.6%	4.2%	-0.1%	28.0M	-258.9M	-5.1M	0.97	12.03	53,223	51,429	801,579	649,482
2016-02-23	$22.19	$20.83	19.3%	5.6%	22.6%	35.4%	21.3%	3.9%	-0.7%	33.3M	-413.8M	-5.1M	0.62	13.22	68,625	42,441	818,475	663,561
2016-02-24	$22.36	$21.67	19.5%	5.7%	22.6%	36.5%	21.4%	4.4%	-0.7%	39.7M	-509.7M	-5.2M	0.91	13.54	58,062	53,112	858,489	676,455
2016-02-25	$22.67	$21.67	19.0%	5.5%	23.0%	34.0%	20.6%	4.5%	-0.9%	43.0M	-675.4M	-5.2M	0.98	9.88	60,564	59,526	869,520	693,210
2016-02-26	$22.18	$21.67	19.1%	5.7%	24.7%	34.5%	20.8%	4.1%	-0.5%	36.2M	-426.4M	-5.3M	1.17	13.90	71,367	83,826	885,177	711,597
2016-02-29	$22.18	$21.67	18.7%	5.5%	21.9%	32.6%	20.0%	3.9%	-0.2%	39.8M	-432.2M	-5.1M	1.26	14.12	49,740	62,439	891,591	685,554