WMT Options History — August 2016

In August 2016, WMT traded between $23.76 and $24.77. ATM implied volatility averaged 16.9%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 6.8% (HV 20d: 10.1%). Max pain ranged from $23.33 to $24.17. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.73.

Notable Days

2016-08-16: Highest Volume — 323,382 contracts
2016-08-18: Largest IV drop — 35.7% change
2016-08-15: Highest IV Rank — 43.8%
2016-08-02: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.28	$23.76	$24.77	$24.58	$23.80
Max Pain	$23.88	$23.33	$24.17	$24.17	$24.00
ATM IV	16.9%	13.3%	21.3%	18.4%	14.4%
Expected Move	4.9%	3.7%	6.8%	6.2%	4.1%
HV 20d	10.1%	7.2%	14.0%	8.2%	13.1%
HV 60d	15.4%	7.9%	24.6%	24.6%	10.1%
IV Rank	20.8%	2.0%	43.8%	28.9%	7.9%
IV Percentile	34.2%	0.8%	75.8%	52.0%	7.9%
Term Structure	-0.4%	-1.6%	0.7%	-0.8%	0.3%
VWIV	17.2%	13.0%	24.2%	22.8%	15.0%
Skew 25d	3.0%	1.9%	4.1%	3.3%	2.6%
Skew 10d	6.2%	3.8%	7.6%	7.4%	6.0%
Call IV 25d	15.8%	12.6%	19.9%	16.8%	13.5%
Put IV 25d	18.8%	15.0%	22.9%	20.2%	16.1%
Bid-Ask Spread %	17.89	6.61	54.26	50.80	54.26
Gamma HHI	0.20	0.15	0.33	0.20	0.18
Net GEX	62.9M	40.4M	138.1M	55.7M	54.4M
Net DEX	-490.4M	-865.5M	-77.4M	-719.0M	-197.8M
Net VEX	-5.2M	-5.6M	-4.7M	-5.3M	-5.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.15	1.45	0.61	1.04
Total Volume	157,748.87	67,713	323,382	107,334	72,801
Total OI	1,911,453.913	1,701,378	2,236,485	1,798,071	1,860,588

Daily Data (23 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
2016-08-01	$24.58	$24.17	18.4%	6.2%	8.2%	28.9%	22.8%	3.3%	-0.8%	55.7M	-719.0M	-5.3M	0.61	50.80	66,555	40,779	957,843	840,228
2016-08-02	$24.37	$24.17	20.0%	6.8%	8.6%	36.9%	24.2%	3.8%	-1.2%	47.4M	-583.3M	-5.5M	0.63	39.38	70,056	43,863	983,070	855,231
2016-08-03	$24.30	$24.17	19.4%	6.7%	7.9%	33.6%	23.9%	3.6%	-1.0%	44.3M	-531.1M	-5.5M	0.69	43.68	44,955	31,101	1,010,997	878,976
2016-08-04	$24.44	$23.33	18.4%	5.1%	7.9%	28.5%	19.6%	4.1%	-0.9%	49.5M	-634.2M	-5.4M	0.81	8.91	37,341	30,372	1,010,478	882,675
2016-08-05	$24.58	$23.33	18.6%	5.1%	8.0%	29.5%	19.0%	3.6%	-1.1%	66.6M	-744.6M	-5.3M	0.62	8.01	53,823	33,105	1,013,664	887,205
2016-08-08	$24.46	$23.33	17.6%	5.0%	8.1%	24.5%	18.8%	3.3%	0.0%	63.4M	-649.1M	-5.2M	1.39	8.84	36,003	50,202	1,000,647	874,701
2016-08-09	$24.51	$23.33	17.0%	4.8%	7.2%	21.5%	15.5%	2.1%	-0.3%	84.7M	-744.7M	-5.0M	0.37	7.77	171,312	63,642	1,007,871	887,322
2016-08-10	$24.65	$23.33	18.1%	4.8%	7.3%	26.9%	16.6%	3.1%	-1.3%	80.8M	-791.3M	-5.3M	0.34	7.71	168,573	57,240	994,662	909,855
2016-08-11	$24.64	$23.33	18.2%	4.9%	7.3%	27.6%	17.1%	3.2%	-1.6%	97.9M	-773.2M	-5.4M	0.48	7.39	83,874	40,218	1,029,921	929,259
2016-08-12	$24.65	$23.33	19.9%	5.4%	7.3%	36.6%	19.1%	3.9%	-1.5%	133.5M	-805.2M	-5.5M	1.45	11.09	84,417	122,202	1,056,618	931,317
2016-08-15	$24.42	$24.17	21.3%	6.0%	8.0%	43.8%	20.7%	3.5%	-1.1%	46.9M	-530.2M	-5.4M	0.80	7.89	94,758	75,720	1,023,435	976,689
2016-08-16	$24.31	$24.17	19.2%	5.5%	8.1%	32.8%	18.3%	3.2%	-0.6%	49.1M	-431.0M	-5.4M	0.73	8.91	186,861	136,521	1,050,525	995,301
2016-08-17	$24.31	$24.17	21.3%	6.1%	8.0%	43.5%	20.8%	1.9%	-0.5%	55.5M	-470.8M	-5.6M	0.81	22.82	171,498	139,530	1,102,611	984,141
2016-08-18	$24.77	$24.17	13.7%	3.9%	10.4%	3.8%	14.3%	2.5%	0.7%	138.1M	-865.5M	-5.3M	0.59	8.98	193,296	113,970	1,154,664	1,051,383
2016-08-19	$24.25	$24.17	13.6%	3.9%	12.9%	3.6%	13.0%	2.4%	0.3%	44.7M	-354.6M	-5.0M	0.73	9.29	136,830	99,429	1,170,216	1,066,269
2016-08-22	$24.28	$24.17	13.3%	3.7%	12.8%	2.0%	13.2%	2.4%	0.0%	48.2M	-368.8M	-4.8M	0.56	9.02	74,130	41,370	916,899	784,479
2016-08-23	$24.01	$24.17	13.8%	3.8%	13.4%	4.4%	13.5%	2.5%	0.1%	40.4M	-207.7M	-4.7M	0.77	6.61	58,464	44,958	948,543	791,088
2016-08-24	$24.08	$24.17	14.4%	4.0%	13.3%	7.8%	13.3%	2.9%	-0.0%	45.1M	-261.1M	-4.9M	0.15	10.17	214,815	33,237	955,098	787,023
2016-08-25	$23.76	$24.17	15.2%	4.3%	14.0%	11.9%	14.9%	2.8%	-0.0%	44.1M	-134.7M	-5.1M	0.90	10.78	73,287	66,156	1,043,871	806,529
2016-08-26	$23.76	$24.00	14.7%	4.1%	14.0%	9.4%	14.1%	2.7%	-0.0%	48.8M	-77.4M	-5.2M	0.80	10.21	62,808	50,166	1,059,060	831,816
2016-08-29	$23.82	$24.00	14.1%	3.9%	13.4%	6.0%	13.8%	2.9%	0.2%	53.9M	-209.7M	-4.9M	0.69	8.39	49,449	34,167	1,027,092	788,277
2016-08-30	$23.78	$24.00	14.2%	4.0%	13.1%	6.8%	14.2%	2.8%	0.3%	52.7M	-193.7M	-4.9M	0.77	50.64	42,024	32,346	1,045,233	800,070
2016-08-31	$23.80	$24.00	14.4%	4.1%	13.1%	7.9%	15.0%	2.6%	0.3%	54.4M	-197.8M	-5.0M	1.04	54.26	35,766	37,035	1,052,973	807,615