WMT Options History — July 2016

In July 2016, WMT traded between $24.29 and $24.69. ATM implied volatility averaged 15.7%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 7.3% (HV 20d: 8.4%). Max pain ranged from $23.33 to $24.17. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.93.

Notable Days

2016-07-14: Highest Volume — 213,846 contracts
2016-07-08: Largest IV drop — 8.9% change
2016-07-28: Highest IV Rank — 32.9%
2016-07-28: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.52	$24.29	$24.69	$24.29	$24.33
Max Pain	$23.88	$23.33	$24.17	$23.33	$24.17
ATM IV	15.7%	12.9%	19.2%	13.6%	18.1%
Expected Move	5.1%	3.5%	6.0%	3.5%	5.7%
HV 20d	8.4%	7.3%	8.7%	7.6%	7.3%
HV 60d	25.4%	24.5%	25.9%	25.9%	24.6%
IV Rank	13.8%	0.0%	32.9%	0.0%	26.8%
IV Percentile	21.7%	0.0%	60.3%	0.0%	49.2%
Term Structure	0.9%	-1.1%	5.3%	0.5%	-1.1%
VWIV	18.3%	13.0%	21.9%	13.0%	19.5%
Skew 25d	3.4%	2.5%	4.1%	2.8%	3.6%
Skew 10d	7.4%	5.7%	8.9%	7.9%	7.2%
Call IV 25d	14.2%	11.2%	18.0%	12.4%	17.2%
Put IV 25d	17.6%	14.3%	21.6%	15.2%	20.7%
Bid-Ask Spread %	20.88	6.12	46.28	10.40	46.28
Gamma HHI	0.20	0.16	0.29	0.26	0.20
Net GEX	61.6M	26.7M	86.2M	72.2M	86.2M
Net DEX	-782.2M	-1.01B	-570.0M	-752.0M	-570.0M
Net VEX	-5.4M	-5.5M	-5.1M	-5.3M	-5.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.32	1.73	1.73	0.58
Total Volume	108,672.45	57,387	213,846	148,146	109,035
Total OI	1,761,863.85	1,629,846	1,920,813	1,642,476	1,845,921

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
2016-07-01	$24.29	$23.33	13.6%	3.5%	7.6%	0.0%	13.0%	2.8%	0.5%	72.2M	-752.0M	-5.3M	1.73	10.40	54,261	93,885	817,839	824,637
2016-07-05	$24.42	$23.33	14.2%	5.3%	7.7%	3.2%	17.7%	2.9%	0.1%	58.9M	-790.3M	-5.3M	1.28	8.68	58,131	74,373	813,171	816,675
2016-07-06	$24.65	$23.33	14.2%	5.0%	8.1%	3.5%	18.3%	2.8%	0.5%	57.2M	-912.6M	-5.3M	1.19	6.12	76,785	91,635	835,527	831,324
2016-07-07	$24.49	$23.33	14.2%	5.4%	8.6%	3.2%	17.4%	2.9%	0.8%	69.1M	-837.7M	-5.5M	1.14	8.76	68,463	78,177	875,022	860,001
2016-07-08	$24.60	$23.33	12.9%	4.7%	8.4%	0.0%	17.8%	2.5%	0.3%	78.3M	-944.6M	-5.3M	0.52	10.13	81,891	42,402	902,331	857,994
2016-07-11	$24.69	$23.33	13.2%	4.8%	8.4%	1.6%	18.0%	3.1%	3.3%	80.2M	-1.01B	-5.3M	0.66	8.38	60,834	39,897	926,406	859,104
2016-07-12	$24.43	$23.33	14.0%	5.5%	8.7%	5.6%	18.0%	3.2%	5.2%	81.5M	-845.5M	-5.2M	0.74	10.20	92,055	67,779	949,320	872,457
2016-07-13	$24.53	$24.17	13.7%	5.4%	8.7%	3.9%	19.0%	3.2%	5.2%	77.3M	-914.5M	-5.4M	1.08	8.53	37,554	40,548	976,197	905,994
2016-07-14	$24.58	$24.17	14.0%	5.2%	8.7%	5.8%	16.8%	3.3%	5.3%	74.8M	-942.9M	-5.4M	0.32	12.41	162,606	51,240	970,806	915,087
2016-07-15	$24.57	$24.17	14.6%	5.1%	8.7%	8.9%	16.7%	3.2%	5.1%	50.8M	-888.7M	-5.5M	0.91	10.53	42,429	38,781	982,017	938,796
2016-07-18	$24.60	$24.17	15.8%	4.8%	8.5%	14.9%	17.0%	3.8%	-0.8%	49.1M	-719.3M	-5.5M	0.81	13.03	37,395	30,297	886,563	790,047
2016-07-19	$24.54	$24.17	16.9%	5.0%	8.7%	20.7%	17.7%	4.0%	-0.9%	48.8M	-700.8M	-5.3M	0.89	13.16	37,716	33,456	901,227	799,200
2016-07-20	$24.60	$24.17	16.7%	4.8%	8.6%	19.6%	17.2%	3.8%	-0.7%	49.1M	-719.4M	-5.5M	0.87	12.53	30,651	26,736	913,863	806,265
2016-07-21	$24.50	$24.17	17.3%	5.0%	8.7%	23.2%	19.1%	4.1%	-0.9%	42.9M	-666.7M	-5.4M	1.02	36.98	29,559	30,138	924,852	810,120
2016-07-22	$24.51	$24.17	17.3%	5.1%	8.7%	22.7%	18.0%	3.9%	-1.0%	26.7M	-685.2M	-5.4M	0.82	42.26	55,155	45,132	929,613	820,377
2016-07-25	$24.58	$24.17	17.7%	5.4%	8.7%	24.8%	19.8%	3.7%	-0.7%	62.4M	-734.6M	-5.4M	1.02	36.46	43,197	44,253	935,574	796,878
2016-07-26	$24.57	$24.17	17.9%	5.6%	8.3%	26.1%	20.8%	3.7%	-0.8%	62.2M	-739.9M	-5.4M	1.29	40.37	28,314	36,516	951,084	816,525
2016-07-27	$24.44	$24.17	18.6%	5.8%	8.6%	29.8%	21.9%	3.6%	-1.0%	54.0M	-643.2M	-5.4M	0.96	43.15	36,069	34,770	956,769	822,141
2016-07-28	$24.42	$24.17	19.2%	6.0%	7.6%	32.9%	21.5%	3.6%	-1.1%	51.0M	-630.3M	-5.4M	0.68	39.27	78,192	53,142	964,131	835,422
2016-07-29	$24.33	$24.17	18.1%	5.7%	7.3%	26.8%	19.5%	3.6%	-1.1%	86.2M	-570.0M	-5.1M	0.58	46.28	68,811	40,224	988,941	856,980