WMT Options History — April 2016

In April 2016, WMT traded between $22.29 and $23.28. ATM implied volatility averaged 16.9%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.9% (HV 20d: 12.9%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2016-04-29: Highest Volume — 166,584 contracts
  • 2016-04-29: Largest IV spike — 14.0% change
  • 2016-04-29: Highest IV Rank — 41.8%
  • 2016-04-29: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.94$22.29$23.28$23.06$22.29
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV16.9%14.2%20.5%14.2%20.5%
Expected Move5.2%3.8%6.5%3.8%6.5%
HV 20d12.9%11.0%16.5%12.1%16.5%
HV 60d18.1%15.6%21.0%21.0%16.6%
IV Rank23.3%10.0%41.8%10.0%41.8%
IV Percentile36.5%8.3%75.4%8.3%75.4%
Term Structure0.2%-0.9%3.6%0.0%-0.9%
VWIV18.8%13.9%23.2%13.9%23.2%
Skew 25d3.4%2.5%4.2%2.5%4.1%
Skew 10d6.9%5.0%9.0%6.8%7.7%
Call IV 25d15.4%12.9%19.5%12.9%19.5%
Put IV 25d18.9%15.4%23.6%15.4%23.6%
Bid-Ask Spread %8.794.1116.6416.6413.07
Gamma HHI0.270.220.320.290.23
Net GEX48.5M25.7M71.7M60.5M25.7M
Net DEX-490.5M-646.9M-72.6M-641.9M-72.6M
Net VEX-4.9M-5.2M-4.6M-4.9M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.381.870.590.88
Total Volume81,324.85744,925166,58499,759166,584
Total OI1,505,7781,389,6781,597,5031,445,8501,585,971

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$23.06$22.5014.2%3.8%12.1%10.0%13.9%2.5%0.0%60.5M-641.9M-4.9M0.5916.6462,73637,023823,968621,882
2016-04-04$23.01$22.5014.6%4.9%11.9%11.9%18.3%2.6%0.4%55.0M-614.4M-5.0M0.889.5940,11335,487846,141614,514
2016-04-05$22.85$22.5015.6%5.5%11.0%17.0%18.1%3.0%0.6%47.7M-518.3M-5.2M0.934.1132,10629,718851,952625,335
2016-04-06$23.01$22.5015.0%4.9%11.2%13.8%17.8%2.7%0.3%57.2M-607.4M-5.1M0.849.2226,16922,008865,095630,807
2016-04-07$22.72$22.5016.0%5.5%11.5%19.0%18.0%3.2%0.6%43.7M-466.6M-4.9M0.726.4235,12425,461873,870635,091
2016-04-08$22.66$22.5015.6%5.3%11.5%17.2%17.0%3.3%0.8%42.4M-405.0M-5.1M0.509.5566,99933,600881,253638,985
2016-04-11$22.51$22.5016.4%5.3%11.7%20.8%20.0%3.3%2.0%39.3M-332.1M-4.8M1.137.3229,33433,102868,761633,840
2016-04-12$22.95$22.5015.7%4.9%13.5%17.7%19.1%3.3%1.0%57.0M-551.2M-5.0M0.968.0846,21244,232864,879642,528
2016-04-13$23.08$22.5015.8%5.0%13.1%17.9%19.2%3.2%1.2%68.4M-646.9M-4.9M1.177.1939,78946,413878,547658,182
2016-04-14$22.90$22.5016.8%5.6%13.5%22.8%19.2%3.4%3.6%53.9M-539.3M-4.9M1.8310.7038,80570,878882,672671,097
2016-04-15$23.01$22.5016.1%5.0%13.5%19.7%17.7%3.3%1.5%71.7M-578.6M-4.9M0.756.8144,75433,489894,879702,624
2016-04-18$23.28$22.5016.6%4.9%13.4%21.8%18.1%3.8%-0.4%44.3M-602.3M-4.8M1.208.3744,88653,712796,092593,586
2016-04-19$23.23$22.5017.3%5.0%12.9%25.6%17.9%3.8%-0.5%43.5M-583.4M-4.6M0.906.4544,04039,849818,580615,723
2016-04-20$23.09$22.5017.5%5.0%12.9%26.5%17.8%3.8%-0.7%40.2M-488.6M-4.8M1.028.2531,26632,049836,493626,130
2016-04-21$22.83$22.5018.8%5.4%13.5%33.3%19.6%4.2%-0.8%37.6M-346.7M-4.9M1.879.1636,56468,340847,497633,561
2016-04-22$22.89$22.5018.7%5.4%13.3%32.4%18.6%4.0%-0.5%40.8M-350.9M-4.9M1.205.8227,67533,144858,324672,450
2016-04-25$23.13$22.5018.5%5.5%13.7%31.7%20.5%3.8%-0.8%43.9M-497.3M-4.9M0.939.6034,32931,860849,708651,657
2016-04-26$23.11$22.5018.6%5.6%13.8%32.3%20.4%3.7%-0.8%46.3M-501.1M-5.0M1.547.7923,61336,399865,020660,057
2016-04-27$23.15$22.5017.8%5.4%13.2%28.1%18.4%3.7%-0.9%51.4M-530.0M-4.9M0.3811.6661,61423,421871,041656,877
2016-04-28$22.93$22.5018.0%5.6%13.6%29.1%21.8%3.7%-0.5%47.5M-425.4M-4.9M1.198.8120,55324,372912,639663,030
2016-04-29$22.29$22.5020.5%6.5%16.5%41.8%23.2%4.1%-0.9%25.7M-72.6M-4.7M0.8813.0788,40478,180916,827669,144