WMT Options History — March 2016

In March 2016, WMT traded between $22.05 and $22.94. ATM implied volatility averaged 16.5%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.9% (HV 20d: 17.4%). Max pain ranged from $21.67 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2016-03-08: Highest Volume — 490,512 contracts
2016-03-30: Largest IV drop — 6.6% change
2016-03-09: Highest IV Rank — 27.1%
2016-03-08: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.53	$22.05	$22.94	$22.11	$22.85
Max Pain	$22.27	$21.67	$22.50	$21.67	$22.50
ATM IV	16.5%	14.8%	17.6%	17.4%	14.8%
Expected Move	4.8%	4.0%	5.2%	5.1%	4.1%
HV 20d	17.4%	11.4%	21.3%	20.8%	11.9%
HV 60d	22.0%	21.4%	22.7%	22.7%	21.5%
IV Rank	21.6%	12.8%	27.1%	26.0%	12.8%
IV Percentile	32.9%	10.7%	48.8%	45.2%	10.7%
Term Structure	0.1%	-0.8%	0.6%	0.3%	0.2%
VWIV	16.8%	14.5%	18.6%	16.9%	15.8%
Skew 25d	3.1%	2.6%	3.7%	3.5%	2.8%
Skew 10d	6.9%	5.0%	9.9%	6.6%	5.3%
Call IV 25d	15.4%	13.6%	16.6%	16.4%	13.6%
Put IV 25d	18.5%	16.2%	19.9%	19.9%	16.4%
Bid-Ask Spread %	11.61	6.64	19.47	13.95	14.10
Gamma HHI	0.23	0.15	0.60	0.19	0.29
Net GEX	50.6M	34.1M	128.3M	40.9M	49.7M
Net DEX	-456.9M	-773.4M	-329.7M	-366.7M	-525.9M
Net VEX	-5.1M	-5.3M	-4.9M	-5.1M	-5.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.18	1.38	0.33	1.38
Total Volume	110,890.364	54,666	490,512	125,121	68,913
Total OI	1,562,627.455	1,327,113	1,716,837	1,624,137	1,439,241

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
2016-03-01	$22.11	$21.67	17.4%	5.1%	20.8%	26.0%	16.9%	3.5%	0.3%	40.9M	-366.7M	-5.1M	0.33	13.95	94,326	30,795	914,259	709,878
2016-03-02	$22.06	$21.67	17.3%	5.1%	20.5%	25.5%	18.6%	3.4%	0.3%	40.3M	-356.7M	-5.1M	0.99	12.54	27,504	27,162	937,233	721,239
2016-03-03	$22.05	$21.67	16.9%	5.2%	20.3%	23.7%	18.2%	3.7%	0.2%	39.0M	-344.2M	-5.0M	0.47	14.83	79,974	37,242	937,029	726,639
2016-03-04	$22.27	$21.67	16.4%	4.8%	20.6%	20.9%	17.4%	3.1%	0.4%	50.7M	-482.5M	-5.1M	0.53	12.59	72,915	38,853	962,820	736,458
2016-03-07	$22.63	$21.67	17.4%	5.1%	21.3%	26.2%	17.5%	3.5%	0.4%	56.0M	-692.3M	-5.2M	0.33	13.21	144,906	47,655	961,605	715,605
2016-03-08	$22.69	$21.67	17.4%	5.2%	21.3%	26.3%	18.3%	2.8%	0.6%	74.7M	-773.4M	-5.2M	0.18	11.89	417,036	73,476	993,429	723,408
2016-03-09	$22.47	$22.50	17.6%	5.1%	20.6%	27.1%	18.0%	3.4%	0.2%	47.1M	-407.8M	-5.3M	0.87	9.99	62,562	54,189	892,998	749,850
2016-03-10	$22.42	$22.50	17.5%	5.0%	20.7%	26.6%	17.1%	3.2%	0.0%	46.4M	-377.6M	-5.3M	0.69	11.66	58,569	40,164	893,922	761,070
2016-03-11	$22.34	$22.50	17.0%	4.7%	20.5%	23.9%	17.9%	3.2%	-0.8%	34.3M	-329.7M	-5.2M	0.89	6.90	51,027	45,642	895,239	766,344
2016-03-14	$22.45	$22.50	16.9%	4.9%	20.1%	23.7%	17.6%	3.4%	0.3%	47.9M	-377.8M	-5.2M	0.91	6.64	33,441	30,471	873,162	747,813
2016-03-15	$22.69	$22.50	17.2%	4.9%	20.2%	25.2%	16.6%	3.4%	-0.5%	54.6M	-512.1M	-5.2M	0.77	7.03	56,307	43,554	878,652	760,287
2016-03-16	$22.65	$22.50	16.7%	4.8%	20.2%	22.3%	16.2%	3.3%	-0.7%	54.3M	-492.7M	-5.1M	1.10	19.47	47,268	52,149	889,617	768,048
2016-03-17	$22.71	$22.50	16.5%	4.7%	15.1%	21.7%	15.7%	3.2%	0.1%	57.4M	-528.7M	-5.0M	0.68	10.31	48,837	33,165	890,466	773,160
2016-03-18	$22.48	$22.50	16.1%	4.6%	15.5%	19.3%	16.1%	3.2%	-0.3%	128.3M	-361.2M	-4.9M	0.93	14.60	47,448	44,058	894,672	775,695
2016-03-21	$22.76	$22.50	15.8%	4.6%	15.3%	17.7%	16.5%	2.9%	0.1%	36.5M	-459.2M	-4.9M	0.45	12.30	76,410	34,185	742,638	584,475
2016-03-22	$22.63	$22.50	16.0%	4.6%	14.8%	18.8%	16.0%	2.9%	0.3%	38.2M	-421.3M	-5.0M	0.75	9.18	41,793	31,407	781,776	593,313
2016-03-23	$22.51	$22.50	16.0%	4.6%	14.7%	18.9%	15.9%	3.2%	0.4%	34.1M	-359.3M	-5.1M	0.90	11.25	33,507	30,060	783,285	600,033
2016-03-24	$22.66	$22.50	15.9%	4.5%	14.1%	18.7%	15.6%	2.8%	-0.0%	44.8M	-436.6M	-5.1M	0.76	9.21	38,121	28,893	792,879	607,707
2016-03-28	$22.69	$22.50	15.8%	4.6%	11.4%	18.2%	16.0%	2.8%	0.1%	39.9M	-445.1M	-5.0M	0.92	11.25	33,924	31,215	782,391	600,237
2016-03-29	$22.68	$22.50	15.9%	4.5%	11.4%	18.3%	16.2%	2.8%	0.2%	42.4M	-431.8M	-5.0M	0.84	11.32	31,827	26,772	796,029	605,025
2016-03-30	$22.94	$22.50	14.8%	4.0%	11.8%	13.1%	14.5%	2.6%	-0.2%	55.0M	-568.9M	-4.9M	0.76	11.22	52,281	39,585	806,592	611,586
2016-03-31	$22.85	$22.50	14.8%	4.1%	11.9%	12.8%	15.8%	2.8%	0.2%	49.7M	-525.9M	-5.0M	1.38	14.10	28,899	40,014	818,559	620,682