WMT Options History — October 2016

In October 2016, WMT traded between $22.48 and $24.02. ATM implied volatility averaged 18.8%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.1% (HV 20d: 17.7%). Max pain ranged from $23.33 to $24.17. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2016-10-06: Highest Volume — 276,681 contracts
  • 2016-10-17: Largest IV spike — 12.1% change
  • 2016-10-20: Highest IV Rank — 44.1%
  • 2016-10-31: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.09$22.48$24.02$24.02$23.35
Max Pain$23.49$23.33$24.17$24.17$23.33
ATM IV18.8%16.6%21.4%17.5%20.1%
Expected Move6.0%5.3%6.8%5.3%6.8%
HV 20d17.7%15.8%20.7%17.5%15.8%
HV 60d15.4%13.5%16.0%13.7%15.7%
IV Rank30.5%19.3%44.1%23.9%37.4%
IV Percentile62.5%36.1%84.1%49.2%76.2%
Term Structure0.6%-1.8%4.6%0.1%0.1%
VWIV20.8%18.2%24.1%18.2%24.1%
Skew 25d2.9%2.0%3.7%3.3%3.7%
Skew 10d6.1%3.4%8.3%8.3%7.5%
Call IV 25d17.6%15.2%20.1%16.0%18.2%
Put IV 25d20.5%17.5%23.1%19.3%21.9%
Bid-Ask Spread %9.465.3512.827.5311.17
Gamma HHI0.110.100.130.120.11
Net GEX8.3M-21.9M43.0M36.9M26.6M
Net DEX131.3M-300.1M437.9M-300.1M-120.3M
Net VEX-4.1M-4.8M-3.8M-4.8M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.402.261.142.26
Total Volume98,965.71465,841276,68173,28472,168
Total OI1,778,335.1431,567,3861,923,7621,708,3831,687,206

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$24.02$24.1717.5%5.3%17.5%23.9%18.2%3.3%0.1%36.9M-300.1M-4.8M1.147.5334,31738,967940,284768,099
2016-10-04$23.94$24.1717.6%5.5%17.3%24.6%18.5%3.0%-0.1%27.6M-237.8M-4.8M0.746.8543,25431,992949,296796,134
2016-10-05$23.91$24.1717.9%5.6%16.8%26.0%19.5%2.8%-0.0%27.2M-231.0M-4.8M1.069.0338,38840,818964,515804,639
2016-10-06$23.09$24.1716.6%6.0%20.7%19.3%20.5%2.2%0.2%-21.9M344.7M-4.1M0.6311.83169,350107,331982,173828,771
2016-10-07$22.90$23.3316.6%6.1%19.9%19.5%20.6%2.0%0.5%-9.5M419.0M-4.2M0.7810.7097,99876,2241,050,699873,063
2016-10-10$22.64$23.3317.0%6.1%17.9%21.3%21.2%2.8%4.3%-8.5M384.7M-4.0M0.959.6449,85747,193997,407801,177
2016-10-11$22.48$23.3317.6%6.2%17.8%24.3%21.2%2.3%4.0%-10.8M437.9M-3.9M0.939.6643,48240,6501,010,937805,935
2016-10-12$22.51$23.3317.3%6.2%17.7%23.2%21.1%2.1%4.1%-11.6M414.1M-3.9M0.999.6238,85638,5711,022,268803,865
2016-10-13$22.77$23.3317.9%6.1%17.5%26.0%20.6%2.6%4.3%-5.0M302.2M-4.1M1.139.9333,27637,5331,034,553815,016
2016-10-14$22.86$23.3318.1%6.0%17.4%26.8%20.8%2.9%4.6%1.1M257.7M-4.1M1.086.9137,56940,7341,046,487818,673
2016-10-17$22.77$23.3320.2%6.1%17.2%38.3%20.5%2.9%-1.5%-3.7M305.4M-4.0M0.818.1544,37335,9431,034,181815,076
2016-10-18$22.95$23.3319.4%5.7%17.6%33.7%20.1%3.5%-0.7%1.8M236.1M-4.0M1.548.3526,63441,0251,042,704816,075
2016-10-19$23.00$23.3320.3%5.8%17.6%38.7%20.5%3.3%-0.5%5.0M210.6M-4.0M0.6112.8277,02546,8301,048,689820,614
2016-10-20$22.91$23.3321.4%6.2%17.6%44.1%21.4%3.2%-1.8%7.2M266.7M-4.0M1.628.3126,86543,4551,064,085825,468
2016-10-21$22.79$23.3320.9%6.2%17.6%41.6%21.2%2.9%-1.7%2.7M315.3M-3.9M1.565.3525,75240,0891,073,094829,683
2016-10-24$23.05$23.3319.4%5.9%18.1%34.0%20.8%2.9%-0.5%6.7M48.0M-3.8M1.4110.7940,77957,417843,018724,368
2016-10-25$23.13$23.3319.4%6.0%17.8%33.9%20.0%2.8%-0.6%12.6M-3.6M-3.9M0.4010.34100,23640,008863,121743,658
2016-10-26$23.22$23.3319.3%6.1%17.7%33.5%20.9%3.0%-0.7%22.6M-68.4M-3.9M1.009.9242,57342,729890,295744,522
2016-10-27$23.26$23.3319.3%6.1%17.3%33.1%21.2%3.3%-0.9%24.6M-77.2M-4.1M1.8712.3336,36667,941911,604750,591
2016-10-28$23.35$23.3320.1%6.4%15.8%37.8%22.9%3.6%-0.9%43.0M-147.6M-4.2M1.709.5031,02052,692928,293774,702
2016-10-31$23.35$23.3320.1%6.8%15.8%37.4%24.1%3.7%0.1%26.6M-120.3M-4.1M2.2611.1722,16750,001920,700766,506