WMT Options History — May 2016

In May 2016, WMT traded between $20.99 and $23.63. ATM implied volatility averaged 19.4%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 8.8% (HV 20d: 28.2%). Max pain ranged from $21.67 to $22.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2016-05-18: Highest Volume — 528,015 contracts
  • 2016-05-19: Largest IV drop — 38.3% change
  • 2016-05-18: Highest IV Rank — 79.0%
  • 2016-05-18: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.68$20.99$23.63$22.51$23.63
Max Pain$21.90$21.67$22.50$22.50$22.50
ATM IV19.4%14.6%27.9%20.3%15.5%
Expected Move5.6%4.1%8.0%6.7%4.3%
HV 20d28.2%16.0%43.5%17.0%41.9%
HV 60d20.8%16.3%27.1%16.7%26.6%
IV Rank35.8%9.2%79.0%40.5%13.8%
IV Percentile55.2%7.5%97.2%72.6%15.5%
Term Structure-0.4%-2.0%2.0%-0.7%-0.3%
VWIV20.2%15.0%27.7%24.1%16.2%
Skew 25d3.9%2.9%5.3%3.9%3.5%
Skew 10d8.1%5.0%10.2%9.7%7.6%
Call IV 25d17.8%13.5%25.3%18.6%14.1%
Put IV 25d21.7%16.5%30.1%22.5%17.7%
Bid-Ask Spread %9.076.0512.836.789.48
Gamma HHI0.240.080.940.280.21
Net GEX81.3M-17.2M1.07B33.7M46.0M
Net DEX-319.2M-991.5M546.1M-198.6M-719.7M
Net VEX-5.0M-5.4M-4.5M-4.8M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.312.101.560.78
Total Volume172,670.42958,260528,015106,47370,671
Total OI1,762,0061,602,1322,153,2651,602,1321,741,068

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$22.51$22.5020.3%6.7%17.0%40.5%24.1%3.9%-0.7%33.7M-198.6M-4.8M1.566.7841,63164,842918,984683,148
2016-05-03$22.36$22.5020.3%6.7%17.0%40.8%24.0%3.9%-0.5%28.5M-94.4M-4.9M1.4510.5035,68251,903929,370713,136
2016-05-04$22.41$22.5020.4%6.8%16.7%41.2%24.7%3.8%-0.6%31.0M-127.0M-4.9M0.6011.4564,12538,589941,349721,809
2016-05-05$22.38$21.6720.5%5.6%16.2%41.9%20.9%4.1%-0.6%31.7M-110.3M-4.9M1.898.5531,01458,581959,310733,674
2016-05-06$22.71$21.6719.8%5.5%17.1%38.1%20.1%4.0%-0.9%37.4M-306.9M-5.1M0.758.4058,15243,356962,925759,252
2016-05-09$22.97$21.6719.6%5.3%17.3%37.2%20.5%4.1%-0.6%46.8M-473.3M-5.0M1.308.3736,73847,868966,054744,690
2016-05-10$22.88$21.6719.4%5.5%16.0%36.3%18.4%3.0%0.2%53.9M-442.3M-4.9M0.317.45102,84632,283973,737758,481
2016-05-11$22.15$21.6721.6%5.8%19.4%47.2%20.1%4.2%-1.3%15.8M30.1M-4.8M0.587.76229,041132,243934,206763,848
2016-05-12$22.29$21.6721.5%5.9%19.5%46.8%21.8%4.3%-1.0%15.2M-63.4M-5.0M1.679.3740,89368,490936,168800,754
2016-05-13$21.65$21.6724.5%6.8%21.7%61.8%24.4%5.3%-0.6%-2.6M277.7M-4.8M1.7912.29103,110184,617932,151810,948
2016-05-16$22.02$21.6723.0%6.6%22.3%54.4%22.0%4.8%-1.8%10.4M66.5M-4.8M1.199.4654,80165,271924,201839,385
2016-05-17$21.72$21.6724.1%6.9%22.6%60.0%24.8%4.9%-1.1%-324.7K212.6M-4.8M1.546.0522,92935,331936,681863,130
2016-05-18$20.99$21.6727.9%8.0%25.1%79.0%27.7%4.9%-2.0%-17.2M546.1M-4.5M2.1012.83170,067357,948940,992889,041
2016-05-19$23.08$21.6717.2%4.9%43.3%25.1%19.2%3.8%2.0%89.8M-764.0M-4.9M0.999.87213,882212,2291,012,8811,034,652
2016-05-20$23.33$21.6715.7%4.5%43.4%17.4%16.4%2.9%0.5%1.07B-991.5M-4.8M0.706.92190,035132,9091,048,6081,104,657
2016-05-23$23.19$21.6716.1%4.6%43.4%19.5%16.6%3.5%0.9%34.6M-530.6M-5.0M1.406.5875,000104,913805,623800,808
2016-05-24$23.41$21.6715.4%4.4%43.5%15.9%15.9%3.0%-0.1%42.5M-676.5M-5.2M0.798.7082,49765,346843,015860,751
2016-05-25$23.51$21.6715.1%4.3%43.5%14.5%15.4%3.3%0.1%45.4M-752.1M-5.3M1.238.9461,26075,243881,535884,841
2016-05-26$23.59$22.5014.6%4.1%43.4%9.2%16.2%3.0%0.5%48.4M-792.3M-5.4M0.969.0041,37339,810896,715916,086
2016-05-27$23.57$22.5014.8%4.2%41.9%10.4%15.0%3.0%0.0%49.6M-794.2M-5.3M1.9711.6729,80858,752906,468926,994
2016-05-31$23.63$22.5015.5%4.3%41.9%13.8%16.2%3.5%-0.3%46.0M-719.7M-5.2M0.789.4839,66331,008858,783882,285