WMT Options History — January 2017

In January 2017, WMT traded between $21.86 and $23.10. ATM implied volatility averaged 17.8%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.4% (HV 20d: 14.4%). Max pain ranged from $23.33 to $23.33. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.42.

Notable Days

  • 2017-01-24: Highest Volume — 251,676 contracts
  • 2017-01-23: Largest IV spike — 11.4% change
  • 2017-01-31: Highest IV Rank — 36.9%
  • 2017-01-09: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.57$21.86$23.10$22.86$22.28
Max Pain$23.33$23.33$23.33$23.33$23.33
ATM IV17.8%16.2%20.0%18.3%20.0%
Expected Move4.8%4.2%5.5%5.2%4.5%
HV 20d14.4%12.1%16.1%15.7%14.7%
HV 60d15.5%15.0%16.1%15.2%16.1%
IV Rank25.6%17.0%36.9%27.8%36.9%
IV Percentile58.6%36.9%82.5%64.3%82.5%
Term Structure0.7%-0.8%3.9%-0.1%0.0%
VWIV16.5%11.7%19.1%18.3%16.9%
Skew 25d2.7%2.1%3.4%2.9%2.5%
Skew 10d5.7%3.0%7.4%7.0%7.4%
Call IV 25d16.7%14.5%19.0%17.0%19.0%
Put IV 25d19.4%16.6%21.5%19.9%21.5%
Bid-Ask Spread %11.997.4919.299.9112.92
Gamma HHI0.190.140.270.140.19
Net GEX-39.2M-67.6M-6.1M-19.6M-60.6M
Net DEX491.6M147.0M919.7M302.8M628.9M
Net VEX-4.0M-4.3M-3.8M-4.0M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.713.261.161.53
Total Volume130,889.758,431251,676159,15358,431
Total OI1,752,803.851,318,7042,107,6891,690,6891,573,677

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$22.86$23.3318.3%5.2%15.7%27.8%18.3%2.9%-0.1%-19.6M302.8M-4.0M1.169.9173,66585,488802,980887,709
2017-01-04$23.06$23.3317.0%4.8%15.5%21.5%17.1%2.5%0.2%-9.6M168.1M-4.2M1.0410.6047,33449,401843,087910,029
2017-01-05$23.10$23.3316.2%4.7%15.4%17.0%16.6%2.5%0.2%-6.1M147.0M-4.1M0.777.4952,44340,578861,585919,590
2017-01-06$22.78$23.3317.2%5.3%16.0%22.4%17.8%2.5%0.2%-22.4M339.3M-4.0M1.2912.2674,64095,973884,394926,001
2017-01-09$22.87$23.3318.0%5.5%16.1%26.4%19.1%3.2%1.3%-17.5M285.4M-4.2M1.4611.6843,36563,486897,501952,908
2017-01-10$22.83$23.3317.8%5.4%16.0%25.5%18.8%3.4%1.2%-25.8M343.7M-4.2M1.1810.6432,22037,935911,856993,951
2017-01-11$22.86$23.3316.8%5.1%13.0%20.2%16.5%3.0%0.9%-28.5M350.4M-4.2M0.717.8343,41330,693918,0121,004,031
2017-01-12$22.66$23.3316.9%5.0%13.0%20.8%17.8%3.0%0.8%-38.5M477.5M-4.0M1.4310.0839,83156,895933,6391,006,365
2017-01-13$22.40$23.3316.5%4.7%13.4%18.9%16.6%2.9%-0.0%-52.9M645.0M-3.8M1.1111.7861,65068,568935,9641,027,350
2017-01-17$22.81$23.3317.1%4.9%15.3%21.7%18.1%2.8%2.1%-33.9M396.5M-4.0M1.9311.4574,055143,175916,2691,036,083
2017-01-18$22.70$23.3317.4%5.0%15.3%23.6%17.1%2.9%2.6%-39.3M495.2M-4.0M1.0410.3353,88656,076933,1321,065,462
2017-01-19$22.54$23.3317.4%4.8%14.6%23.4%15.8%2.9%3.4%-42.8M583.7M-3.8M1.1513.0975,88887,645949,9261,080,288
2017-01-20$22.39$23.3316.3%4.3%14.5%17.9%15.3%2.1%3.9%-51.5M760.4M-3.9M2.1512.6952,971114,069986,5981,121,091
2017-01-23$22.24$23.3318.2%4.3%14.6%27.6%14.8%2.7%-0.6%-42.7M559.5M-3.8M0.9811.0252,99851,954585,543733,161
2017-01-24$22.43$23.3318.2%4.2%12.3%27.5%14.5%2.4%-0.6%-41.8M463.9M-4.0M2.8912.4464,767186,909601,770752,532
2017-01-25$22.33$23.3318.8%4.2%12.3%30.7%11.7%2.2%-0.7%-62.3M628.4M-4.0M3.269.4435,913116,907630,822872,733
2017-01-26$22.26$23.3318.9%4.2%12.1%31.4%14.8%2.2%-0.8%-60.6M606.2M-4.1M1.0216.6334,29634,911642,462838,251
2017-01-27$21.86$23.3319.3%4.6%13.3%33.6%15.8%2.4%-0.6%-67.6M919.7M-3.9M0.9918.27118,776118,080657,555891,996
2017-01-30$22.13$23.3319.9%4.7%14.4%36.5%17.0%2.6%-0.1%-60.5M729.5M-4.2M1.2519.2939,28849,221662,550907,224
2017-01-31$22.28$23.3320.0%4.5%14.7%36.9%16.9%2.5%0.0%-60.6M628.9M-4.3M1.5312.9223,05235,379662,985910,692