WMT Options History — September 2016

In September 2016, WMT traded between $23.48 and $24.34. ATM implied volatility averaged 16.5%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.3% (HV 20d: 16.8%). Max pain ranged from $24.00 to $24.17. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2016-09-16: Highest Volume — 183,333 contracts
  • 2016-09-09: Largest IV spike — 12.5% change
  • 2016-09-13: Highest IV Rank — 30.8%
  • 2016-09-13: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.02$23.48$24.34$24.24$24.09
Max Pain$24.15$24.00$24.17$24.00$24.17
ATM IV16.5%14.9%18.8%15.0%16.4%
Expected Move4.7%3.9%5.1%4.2%4.9%
HV 20d16.8%14.5%19.4%14.6%17.5%
HV 60d12.4%10.7%13.7%10.7%13.7%
IV Rank18.7%10.5%30.8%10.8%17.9%
IV Percentile32.6%12.7%61.1%13.1%31.7%
Term Structure-0.1%-1.0%1.4%0.8%-0.3%
VWIV16.4%13.5%18.4%14.9%17.7%
Skew 25d3.0%2.4%3.6%2.7%3.0%
Skew 10d6.5%4.2%9.5%7.9%7.9%
Call IV 25d15.3%13.5%17.4%13.8%15.4%
Put IV 25d18.2%15.9%20.9%16.4%18.4%
Bid-Ask Spread %12.293.9356.3356.337.00
Gamma HHI0.170.120.320.190.14
Net GEX55.3M20.0M109.8M81.0M50.0M
Net DEX-328.5M-686.6M76.2M-521.4M-357.0M
Net VEX-5.0M-5.3M-4.7M-5.3M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.391.370.741.23
Total Volume97,244.71455,872183,333134,742165,642
Total OI1,793,081.1431,539,1772,055,9451,876,4071,710,666

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$24.24$24.0015.0%4.2%14.6%10.8%14.9%2.7%0.8%81.0M-521.4M-5.3M0.7456.3377,61957,1231,060,353816,054
2016-09-02$24.16$24.0014.9%3.9%14.5%10.5%13.5%2.4%1.4%73.8M-458.6M-5.1M0.8854.9458,47351,7351,077,111834,402
2016-09-06$24.34$24.1715.5%4.5%14.7%13.3%15.8%2.9%-0.2%91.4M-607.1M-5.1M1.373.9337,79451,7651,071,405817,602
2016-09-07$24.04$24.1716.0%4.4%15.3%16.2%15.7%2.6%-0.2%74.0M-347.3M-5.0M1.169.0831,76136,8341,080,522831,855
2016-09-08$23.92$24.1716.0%4.3%15.1%16.2%14.2%2.7%-0.1%63.9M-253.5M-4.7M1.167.0544,02251,0661,085,415841,434
2016-09-09$23.48$24.1718.0%5.1%16.2%26.7%17.4%3.6%-0.4%28.6M76.2M-4.9M1.2010.0757,21068,4781,105,935863,988
2016-09-12$24.04$24.1717.7%4.9%18.7%25.0%17.0%3.3%-0.6%74.3M-351.9M-5.0M0.399.7094,10736,2851,093,701867,129
2016-09-13$23.80$24.1718.8%5.1%18.8%30.8%18.1%3.5%-0.9%53.7M-196.0M-5.2M0.636.5745,11128,6111,138,419877,710
2016-09-14$23.85$24.1718.6%5.1%18.8%29.8%18.4%3.4%-1.0%59.0M-213.2M-5.2M0.815.0452,50042,7441,150,491881,586
2016-09-15$24.17$24.1717.4%4.9%19.4%23.3%17.2%3.2%-0.4%109.8M-502.0M-5.2M1.0211.1848,52549,4131,156,674881,667
2016-09-16$24.31$24.1716.6%4.7%18.3%19.3%16.9%3.1%-0.2%69.9M-686.6M-5.1M0.4411.25127,47055,8631,158,927897,018
2016-09-19$24.06$24.1716.5%4.7%17.1%18.7%16.1%3.0%-0.1%37.8M-323.2M-4.9M1.286.2133,31842,726860,958678,219
2016-09-20$24.03$24.1716.3%4.7%17.1%17.8%16.1%3.0%-0.0%33.9M-278.4M-5.1M1.055.7429,88031,410874,845696,843
2016-09-21$24.08$24.1715.8%4.5%16.6%14.9%15.5%2.6%0.1%37.9M-307.3M-5.0M1.007.2737,05037,227882,915702,393
2016-09-22$24.09$24.1715.1%4.3%16.6%11.4%15.5%2.5%-0.1%41.1M-332.9M-4.9M1.067.1127,12628,746892,782703,752
2016-09-23$24.13$24.1715.4%4.4%15.9%12.7%15.5%2.6%-0.1%45.2M-354.9M-4.8M0.879.0837,95032,829898,116708,198
2016-09-26$23.90$24.1717.1%5.0%16.3%21.6%17.5%3.2%-0.2%35.4M-235.3M-4.7M1.126.7733,33337,434892,617690,453
2016-09-27$24.11$24.1716.1%4.7%16.6%16.4%16.8%3.5%-0.0%45.8M-352.1M-4.8M1.117.1235,23539,237901,599701,778
2016-09-28$23.91$24.1716.4%4.8%16.8%18.3%16.2%3.2%-0.1%35.3M-224.1M-4.8M0.848.5738,64032,343912,015713,256
2016-09-29$23.63$24.1717.1%5.1%17.4%22.0%17.5%2.9%-0.1%20.0M-72.4M-4.7M1.008.0658,85458,650923,037720,864
2016-09-30$24.09$24.1716.4%4.9%17.5%17.9%17.7%3.0%-0.3%50.0M-357.0M-4.9M1.237.0074,40991,233942,786767,880