WMT Options History — December 2016

In December 2016, WMT traded between $23.03 and $23.98. ATM implied volatility averaged 14.8%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 2.1% (HV 20d: 16.9%). Max pain ranged from $23.33 to $23.33. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.26.

Notable Days

2016-12-06: Highest Volume — 278,337 contracts
2016-12-22: Largest IV spike — 23.7% change
2016-12-30: Highest IV Rank — 23.2%
2016-12-30: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.50	$23.03	$23.98	$23.52	$23.03
Max Pain	$23.33	$23.33	$23.33	$23.33	$23.33
ATM IV	14.8%	13.1%	17.4%	14.5%	17.4%
Expected Move	4.3%	3.8%	4.8%	4.4%	4.8%
HV 20d	16.9%	13.2%	19.6%	18.5%	15.6%
HV 60d	16.5%	15.8%	17.3%	17.0%	16.7%
IV Rank	9.7%	1.0%	23.2%	8.2%	23.2%
IV Percentile	18.0%	0.4%	51.6%	11.5%	51.6%
Term Structure	0.2%	-0.5%	0.7%	0.1%	0.5%
VWIV	15.4%	13.2%	17.4%	15.9%	17.1%
Skew 25d	2.2%	1.5%	2.9%	2.3%	2.9%
Skew 10d	5.0%	3.7%	7.5%	5.2%	5.1%
Call IV 25d	14.0%	12.4%	16.2%	13.9%	16.2%
Put IV 25d	16.3%	14.6%	19.1%	16.2%	19.1%
Bid-Ask Spread %	13.88	5.07	31.78	15.83	17.41
Gamma HHI	0.16	0.12	0.24	0.13	0.17
Net GEX	38.2M	-22.2M	76.1M	42.1M	-22.2M
Net DEX	-128.3M	-431.3M	197.2M	-118.0M	197.2M
Net VEX	-3.7M	-4.0M	-3.4M	-3.6M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.27	2.44	2.44	2.11
Total Volume	111,407.143	58,509	278,337	80,745	156,621
Total OI	1,706,323.857	1,436,946	1,869,711	1,814,463	1,683,546

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
2016-12-01	$23.52	$23.33	14.5%	4.4%	18.5%	8.2%	15.9%	2.3%	0.1%	42.1M	-118.0M	-3.6M	2.44	15.83	23,460	57,285	1,012,434	802,029
2016-12-02	$23.59	$23.33	14.2%	4.1%	18.5%	6.9%	14.1%	2.2%	-0.2%	50.0M	-189.7M	-3.6M	1.23	9.70	36,702	45,057	1,014,438	806,382
2016-12-05	$23.28	$23.33	14.0%	4.1%	19.0%	5.7%	14.9%	2.3%	0.3%	23.8M	43.6M	-3.4M	1.49	7.78	33,600	49,968	1,002,069	783,867
2016-12-06	$23.40	$23.33	14.1%	4.2%	19.0%	6.2%	13.2%	1.5%	0.2%	40.8M	-78.2M	-3.4M	0.27	5.82	218,694	59,643	1,010,082	792,693
2016-12-07	$23.52	$23.33	14.4%	4.3%	19.1%	7.9%	15.4%	1.9%	0.4%	54.1M	-100.0M	-3.6M	0.94	5.07	57,225	53,583	982,884	811,347
2016-12-08	$23.50	$23.33	14.4%	4.2%	17.6%	7.6%	15.9%	2.1%	0.2%	54.8M	-118.3M	-3.6M	1.32	7.60	39,672	52,224	984,390	799,158
2016-12-09	$23.34	$23.33	14.3%	4.1%	17.7%	7.1%	16.0%	2.0%	0.4%	29.2M	7.1M	-3.5M	1.24	7.90	44,439	55,119	987,999	804,603
2016-12-12	$23.90	$23.33	14.4%	4.0%	19.6%	8.0%	14.6%	2.3%	-0.5%	76.1M	-400.8M	-3.5M	0.50	8.21	105,870	52,632	972,615	789,165
2016-12-13	$23.98	$23.33	14.4%	4.1%	19.1%	8.0%	15.6%	2.3%	-0.3%	75.5M	-428.6M	-3.7M	0.87	7.41	99,735	87,042	971,961	796,986
2016-12-14	$23.83	$23.33	14.7%	4.1%	18.7%	9.4%	15.9%	2.2%	-0.4%	67.8M	-322.6M	-3.8M	0.84	8.30	43,158	36,054	1,003,779	835,254
2016-12-15	$23.72	$23.33	14.3%	4.2%	18.7%	7.1%	17.4%	2.2%	0.7%	68.6M	-247.1M	-3.7M	1.36	7.72	24,768	33,741	1,010,526	843,168
2016-12-16	$23.60	$23.33	14.3%	4.2%	13.8%	7.0%	14.8%	1.9%	0.4%	66.7M	-157.9M	-3.6M	1.27	7.46	33,162	42,192	1,013,490	856,221
2016-12-19	$23.87	$23.33	13.4%	3.8%	13.9%	2.5%	13.3%	2.1%	0.2%	52.1M	-386.0M	-3.6M	0.47	12.59	47,739	22,488	764,175	672,771
2016-12-20	$23.92	$23.33	13.3%	3.8%	13.8%	1.9%	14.3%	2.2%	0.1%	57.2M	-431.3M	-3.7M	0.79	11.34	42,873	33,687	787,827	677,913
2016-12-21	$23.79	$23.33	13.1%	3.8%	13.2%	1.0%	13.9%	2.1%	0.4%	56.5M	-354.8M	-3.7M	0.70	12.36	40,203	28,098	802,872	688,878
2016-12-22	$23.17	$23.33	16.2%	4.6%	16.0%	17.3%	16.2%	2.5%	0.2%	17.8M	-1.7M	-3.7M	1.72	14.11	89,991	154,353	810,219	699,669
2016-12-23	$23.16	$23.33	15.9%	4.5%	15.8%	15.6%	15.7%	2.3%	0.2%	-5.1M	73.0M	-3.9M	1.33	30.87	42,654	56,790	826,704	796,563
2016-12-27	$23.24	$23.33	16.2%	4.6%	15.9%	17.2%	16.2%	2.2%	0.1%	9.4M	28.2M	-3.9M	2.21	31.14	28,692	63,459	816,795	785,427
2016-12-28	$23.12	$23.33	16.4%	4.7%	15.9%	18.0%	16.6%	2.7%	0.2%	-3.2M	130.9M	-3.9M	2.08	31.09	25,971	54,069	825,519	826,359
2016-12-29	$23.10	$23.33	16.5%	4.7%	15.6%	18.6%	16.4%	2.8%	0.1%	-10.2M	160.8M	-4.0M	1.19	31.78	30,543	36,294	830,064	849,960
2016-12-30	$23.03	$23.33	17.4%	4.8%	15.6%	23.2%	17.1%	2.9%	0.5%	-22.2M	197.2M	-3.9M	2.11	17.41	50,307	106,314	829,965	853,581