WMT Options History — November 2016

In November 2016, WMT traded between $22.88 and $23.85. ATM implied volatility averaged 18.4%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.7% (HV 20d: 14.7%). Max pain ranged from $23.33 to $24.17. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.20.

Notable Days

2016-11-17: Highest Volume — 368,367 contracts
2016-11-17: Largest IV drop — 24.2% change
2016-11-04: Highest IV Rank — 51.4%
2016-11-01: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.44	$22.88	$23.85	$23.08	$23.55
Max Pain	$23.37	$23.33	$24.17	$23.33	$23.33
ATM IV	18.4%	13.5%	22.7%	22.1%	14.1%
Expected Move	5.3%	4.1%	7.5%	7.5%	4.3%
HV 20d	14.7%	9.1%	18.8%	16.2%	18.5%
HV 60d	16.5%	15.6%	17.6%	15.9%	17.2%
IV Rank	28.7%	3.0%	51.4%	47.8%	6.4%
IV Percentile	52.4%	1.2%	88.5%	86.1%	6.3%
Term Structure	-0.6%	-2.1%	0.6%	-0.2%	-0.1%
VWIV	18.4%	13.7%	26.6%	26.6%	15.5%
Skew 25d	3.3%	2.2%	4.6%	4.1%	2.4%
Skew 10d	6.8%	3.8%	10.6%	5.8%	4.8%
Call IV 25d	17.1%	12.9%	20.8%	20.1%	13.3%
Put IV 25d	20.4%	15.1%	25.4%	24.1%	15.7%
Bid-Ask Spread %	13.60	6.80	44.73	10.24	16.48
Gamma HHI	0.13	0.10	0.17	0.10	0.14
Net GEX	30.3M	-19.7M	58.6M	14.9M	43.0M
Net DEX	-98.0M	-356.1M	366.4M	26.3M	-142.2M
Net VEX	-3.8M	-4.2M	-3.3M	-4.1M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.31	2.20	1.86	1.87
Total Volume	134,101.143	75,729	368,367	78,318	96,405
Total OI	1,801,541.429	1,677,576	2,012,031	1,706,340	1,789,419

Daily Data (21 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
2016-11-01	$23.08	$23.33	22.1%	7.5%	16.2%	47.8%	26.6%	4.1%	-0.2%	14.9M	26.3M	-4.1M	1.86	10.24	27,348	50,970	930,537	775,803
2016-11-02	$23.21	$23.33	20.9%	7.3%	16.4%	41.9%	26.1%	3.7%	-0.1%	20.5M	-35.1M	-4.1M	1.05	12.27	48,318	50,640	935,907	788,304
2016-11-03	$23.18	$23.33	21.7%	5.8%	10.8%	46.1%	20.5%	4.3%	-0.3%	21.1M	4.9M	-4.2M	1.27	7.83	37,905	48,075	965,724	808,479
2016-11-04	$23.07	$23.33	22.7%	6.0%	10.5%	51.4%	19.2%	4.6%	-0.4%	10.3M	71.6M	-4.2M	0.64	6.80	84,426	53,943	967,881	813,678
2016-11-07	$23.20	$23.33	21.6%	5.8%	9.6%	45.4%	19.2%	4.5%	-1.4%	16.5M	43.2M	-3.9M	1.54	9.83	30,915	47,502	966,960	821,106
2016-11-08	$23.29	$23.33	21.5%	5.8%	9.1%	44.6%	19.3%	4.2%	-1.5%	21.9M	-9.5M	-3.9M	1.95	6.95	25,641	50,088	974,445	825,198
2016-11-09	$23.76	$23.33	19.9%	5.2%	11.2%	36.6%	19.0%	4.1%	-1.4%	40.4M	-270.1M	-4.0M	1.24	11.56	54,858	67,803	984,003	830,253
2016-11-10	$23.85	$23.33	20.8%	5.5%	10.8%	41.2%	18.7%	3.3%	-2.1%	48.6M	-356.1M	-4.1M	0.97	9.64	60,489	58,758	999,771	833,253
2016-11-11	$23.74	$23.33	21.1%	5.9%	11.0%	42.6%	20.1%	3.8%	-0.6%	53.5M	-294.4M	-4.0M	1.53	9.60	36,192	55,293	1,028,415	839,079
2016-11-14	$23.45	$23.33	21.7%	6.2%	12.0%	45.9%	20.0%	4.0%	-1.7%	28.1M	-84.3M	-3.9M	2.20	12.07	30,516	66,999	1,003,533	813,906
2016-11-15	$23.77	$23.33	19.9%	5.6%	12.5%	36.3%	19.4%	4.0%	-0.2%	37.3M	-260.9M	-3.9M	0.50	10.89	160,872	81,156	1,014,240	835,590
2016-11-16	$23.83	$23.33	21.2%	6.1%	12.5%	43.2%	21.5%	3.4%	-0.8%	39.4M	-318.9M	-4.0M	1.17	18.19	109,632	128,241	1,021,584	847,377
2016-11-17	$23.02	$24.17	16.1%	4.6%	18.0%	16.5%	16.6%	2.7%	0.6%	-19.7M	341.3M	-3.3M	0.50	13.61	245,007	123,360	1,038,222	883,554
2016-11-18	$22.88	$23.33	16.5%	4.8%	18.0%	18.7%	16.8%	2.4%	-1.4%	-7.0M	366.4M	-3.4M	1.05	17.80	70,293	73,953	1,113,909	898,122
2016-11-21	$23.05	$23.33	14.5%	4.1%	17.7%	8.4%	14.3%	2.6%	-0.2%	4.8M	141.1M	-3.3M	0.65	44.73	80,883	52,911	915,390	762,186
2016-11-22	$23.39	$23.33	14.3%	4.2%	18.4%	7.5%	13.7%	2.5%	-0.1%	37.4M	-81.9M	-3.6M	0.31	20.72	154,716	48,309	948,177	772,326
2016-11-23	$23.62	$23.33	14.1%	4.1%	18.7%	6.2%	14.8%	2.2%	-0.1%	55.4M	-280.0M	-3.7M	0.97	11.47	53,955	52,446	998,283	778,602
2016-11-25	$23.74	$23.33	14.2%	4.2%	18.8%	6.7%	14.5%	2.4%	-0.1%	58.6M	-327.4M	-3.7M	0.93	14.54	54,495	50,700	1,006,899	782,907
2016-11-28	$23.75	$23.33	14.1%	4.2%	18.7%	6.1%	14.5%	2.4%	0.0%	56.7M	-296.8M	-3.5M	1.40	8.71	35,808	50,121	984,444	766,023
2016-11-29	$23.78	$23.33	13.5%	4.1%	18.7%	3.0%	15.4%	2.2%	0.0%	55.2M	-295.1M	-3.7M	1.62	11.75	40,593	65,589	993,090	775,791
2016-11-30	$23.55	$23.33	14.1%	4.3%	18.5%	6.4%	15.5%	2.4%	-0.1%	43.0M	-142.2M	-3.6M	1.87	16.48	33,621	62,784	999,126	790,293