WMT Options History — June 2016

In June 2016, WMT traded between $23.49 and $24.30. ATM implied volatility averaged 15.9%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 8.9% (HV 20d: 24.8%). Max pain ranged from $22.50 to $23.33. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.09.

Notable Days

2016-06-14: Highest Volume — 136,404 contracts
2016-06-13: Largest IV spike — 15.8% change
2016-06-14: Highest IV Rank — 24.7%
2016-06-24: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.78	$23.49	$24.30	$23.49	$24.30
Max Pain	$23.30	$22.50	$23.33	$22.50	$23.33
ATM IV	15.9%	13.8%	17.9%	15.6%	14.1%
Expected Move	4.6%	3.8%	5.2%	4.5%	3.8%
HV 20d	24.8%	6.2%	41.9%	41.8%	7.6%
HV 60d	26.2%	26.0%	26.5%	26.5%	26.1%
IV Rank	13.8%	1.4%	24.7%	14.6%	1.4%
IV Percentile	21.4%	0.8%	47.2%	17.1%	0.8%
Term Structure	0.0%	-1.0%	0.9%	0.3%	0.3%
VWIV	16.3%	13.9%	18.5%	16.1%	13.9%
Skew 25d	3.9%	2.9%	5.2%	3.2%	3.2%
Skew 10d	9.3%	6.0%	12.2%	7.9%	9.3%
Call IV 25d	14.3%	12.9%	16.0%	14.5%	12.9%
Put IV 25d	18.1%	15.9%	20.7%	17.7%	16.1%
Bid-Ask Spread %	9.60	4.14	13.87	12.65	11.14
Gamma HHI	0.23	0.20	0.27	0.20	0.27
Net GEX	47.5M	32.9M	60.5M	42.6M	60.5M
Net DEX	-658.5M	-807.4M	-432.6M	-624.1M	-751.7M
Net VEX	-5.4M	-5.5M	-5.2M	-5.3M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.44	1.69	1.50	1.62
Total Volume	88,128.545	61,197	136,404	64,704	115,200
Total OI	1,697,573.591	1,472,982	1,877,268	1,761,789	1,593,795

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
2016-06-01	$23.49	$22.50	15.6%	4.5%	41.8%	14.6%	16.1%	3.2%	0.3%	42.6M	-624.1M	-5.3M	1.50	12.65	25,911	38,793	867,309	894,480
2016-06-02	$23.62	$23.33	15.1%	4.4%	41.9%	11.2%	15.4%	3.1%	-0.2%	47.6M	-710.2M	-5.4M	1.27	7.71	30,498	38,814	873,402	907,023
2016-06-03	$23.63	$23.33	14.6%	4.3%	41.8%	7.1%	15.1%	3.4%	0.2%	59.5M	-737.0M	-5.3M	1.20	10.14	44,388	53,160	880,314	912,936
2016-06-06	$23.69	$23.33	14.5%	4.4%	41.6%	6.7%	16.4%	3.1%	0.9%	53.9M	-739.3M	-5.2M	0.85	8.14	45,579	38,574	867,132	889,968
2016-06-07	$23.67	$23.33	14.3%	4.3%	41.5%	5.8%	15.0%	2.9%	0.7%	55.6M	-731.1M	-5.2M	0.97	7.17	30,996	30,201	881,076	894,462
2016-06-08	$23.77	$23.33	13.8%	3.8%	41.4%	3.2%	15.1%	2.9%	-0.4%	58.6M	-807.4M	-5.2M	1.14	4.14	32,010	36,531	886,974	903,429
2016-06-09	$23.69	$23.33	14.4%	4.3%	39.5%	6.5%	14.4%	2.9%	0.5%	58.7M	-746.7M	-5.3M	1.02	8.09	33,975	34,584	894,441	916,668
2016-06-10	$23.71	$23.33	15.1%	4.5%	39.5%	10.0%	16.2%	3.5%	0.8%	58.7M	-776.4M	-5.3M	0.93	9.57	44,370	41,064	902,682	924,375
2016-06-13	$23.50	$23.33	17.5%	5.1%	37.9%	22.7%	18.0%	4.5%	-0.6%	47.1M	-600.1M	-5.4M	1.66	7.87	35,913	59,718	892,386	893,181
2016-06-14	$23.64	$23.33	17.9%	5.2%	37.6%	24.7%	18.5%	4.4%	-1.0%	49.7M	-686.4M	-5.4M	0.80	9.22	75,972	60,432	897,354	908,712
2016-06-15	$23.69	$23.33	17.5%	5.0%	37.1%	22.8%	16.7%	4.5%	-0.6%	45.7M	-715.5M	-5.5M	0.95	13.38	43,620	41,319	916,425	926,991
2016-06-16	$23.75	$23.33	17.8%	5.1%	34.2%	24.3%	17.5%	5.2%	-0.8%	48.5M	-779.8M	-5.4M	0.44	8.09	80,925	35,487	921,804	937,008
2016-06-17	$23.69	$23.33	17.4%	5.1%	8.1%	22.2%	17.4%	5.0%	-0.8%	35.5M	-737.9M	-5.5M	0.87	8.77	46,494	40,269	930,852	946,416
2016-06-20	$23.69	$23.33	15.8%	4.6%	7.3%	13.9%	16.2%	4.0%	0.1%	32.9M	-432.6M	-5.3M	0.77	12.93	36,432	28,143	732,870	740,112
2016-06-21	$23.82	$23.33	15.4%	4.5%	7.0%	11.5%	15.9%	4.0%	-0.0%	39.3M	-509.2M	-5.3M	0.70	6.83	45,333	31,659	747,276	747,954
2016-06-22	$23.92	$23.33	16.8%	5.1%	6.3%	19.0%	18.0%	4.3%	-0.1%	39.0M	-558.8M	-5.4M	1.30	8.89	41,748	54,471	771,687	756,576
2016-06-23	$24.02	$23.33	15.1%	4.3%	6.3%	10.2%	15.5%	3.8%	0.1%	41.6M	-601.4M	-5.3M	1.05	10.48	30,957	32,391	779,721	782,124
2016-06-24	$24.02	$23.33	17.5%	5.2%	6.2%	21.6%	18.4%	4.9%	-0.3%	51.1M	-625.5M	-5.4M	1.35	13.45	56,277	75,729	788,334	788,961
2016-06-27	$23.87	$23.33	17.9%	5.1%	6.7%	23.4%	17.8%	4.7%	0.5%	33.0M	-484.6M	-5.5M	0.81	10.11	50,154	40,689	770,862	748,800
2016-06-28	$23.84	$23.33	15.8%	4.5%	6.7%	12.3%	16.1%	3.6%	0.2%	35.4M	-480.5M	-5.5M	1.13	13.87	40,062	45,363	791,193	761,445
2016-06-29	$24.12	$23.33	15.2%	4.0%	7.4%	7.6%	15.1%	3.7%	0.2%	49.8M	-650.5M	-5.4M	1.69	8.59	35,169	59,454	802,356	774,753
2016-06-30	$24.30	$23.33	14.1%	3.8%	7.6%	1.4%	13.9%	3.2%	0.3%	60.5M	-751.7M	-5.3M	1.62	11.14	43,941	71,259	809,505	784,290