WMT Options History — February 2017

In February 2017, WMT traded between $22.09 and $24.17. ATM implied volatility averaged 18.7%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.5% (HV 20d: 16.2%). Max pain ranged from $22.50 to $23.33. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.23.

Notable Days

2017-02-21: Highest Volume — 301,830 contracts
2017-02-21: Largest IV drop — 20.7% change
2017-02-15: Highest IV Rank — 53.4%
2017-02-15: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.99	$22.09	$24.17	$22.09	$23.58
Max Pain	$23.16	$22.50	$23.33	$23.33	$23.33
ATM IV	18.7%	15.1%	21.0%	20.0%	17.2%
Expected Move	5.2%	4.4%	6.0%	4.6%	5.2%
HV 20d	16.2%	13.8%	18.9%	14.7%	18.8%
HV 60d	15.9%	14.7%	16.5%	16.2%	16.5%
IV Rank	34.6%	14.7%	53.4%	37.0%	28.6%
IV Percentile	67.7%	23.4%	92.1%	83.3%	52.8%
Term Structure	-0.6%	-1.8%	0.1%	0.0%	-0.3%
VWIV	18.6%	15.8%	20.5%	17.1%	18.2%
Skew 25d	2.7%	2.0%	3.1%	2.7%	2.0%
Skew 10d	5.2%	3.2%	8.1%	5.0%	4.9%
Call IV 25d	17.5%	13.9%	19.5%	19.2%	16.5%
Put IV 25d	20.2%	16.5%	22.4%	21.9%	18.5%
Bid-Ask Spread %	20.27	5.74	60.72	18.26	49.30
Gamma HHI	0.15	0.09	0.21	0.19	0.11
Net GEX	-16.3M	-76.7M	56.7M	-64.0M	15.8M
Net DEX	109.1M	-654.0M	763.2M	763.2M	-193.0M
Net VEX	-4.1M	-4.4M	-3.7M	-4.2M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.70	2.48	1.30	1.29
Total Volume	137,856.158	65,583	301,830	70,467	182,991
Total OI	1,605,621.158	1,361,739	1,781,415	1,591,881	1,486,071

Daily Data (19 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
2017-02-01	$22.09	$23.33	20.0%	4.6%	14.7%	37.0%	17.1%	2.7%	0.0%	-64.0M	763.2M	-4.2M	1.30	18.26	30,687	39,780	667,245	924,636
2017-02-02	$22.25	$23.33	20.7%	5.6%	14.6%	40.8%	19.7%	2.9%	-0.2%	-61.2M	663.1M	-4.3M	1.87	10.81	31,653	59,343	677,460	933,180
2017-02-03	$22.18	$23.33	20.4%	5.5%	14.5%	39.3%	19.4%	2.7%	-0.1%	-72.2M	730.4M	-4.2M	1.16	11.82	32,394	37,668	683,772	950,418
2017-02-06	$22.17	$23.33	20.3%	5.4%	13.8%	38.5%	18.8%	2.8%	-1.7%	-76.7M	742.5M	-4.0M	2.48	7.40	32,829	81,411	670,407	939,660
2017-02-07	$22.32	$23.33	19.8%	5.4%	14.0%	36.0%	18.8%	3.0%	-1.0%	-67.6M	600.5M	-4.1M	0.98	6.48	48,636	47,592	681,225	923,535
2017-02-08	$22.58	$23.33	20.0%	5.6%	14.7%	40.0%	19.6%	3.0%	-0.7%	-48.0M	361.6M	-4.2M	1.05	7.73	59,301	62,562	708,630	925,419
2017-02-09	$23.01	$23.33	19.6%	5.3%	16.3%	37.5%	19.1%	2.7%	-1.8%	-22.8M	730.3K	-4.3M	1.03	9.32	88,395	91,137	731,448	932,091
2017-02-10	$22.66	$23.33	19.3%	5.4%	16.9%	36.1%	19.3%	2.5%	-0.6%	-37.5M	296.0M	-4.2M	0.96	5.74	83,328	80,244	751,314	947,331
2017-02-13	$22.61	$23.33	19.9%	5.6%	16.4%	44.1%	19.8%	2.4%	-1.1%	-47.4M	338.6M	-4.1M	2.09	8.00	26,685	55,698	733,329	954,939
2017-02-14	$22.83	$23.33	21.0%	6.0%	15.4%	52.3%	20.4%	3.0%	-1.6%	-28.0M	170.3M	-4.1M	1.17	8.34	40,527	47,358	753,126	970,527
2017-02-15	$22.88	$22.50	20.9%	6.0%	15.3%	53.4%	20.5%	3.0%	-1.5%	-18.0M	127.0M	-4.2M	0.96	10.04	33,501	32,082	764,691	980,409
2017-02-16	$22.94	$22.50	19.7%	5.7%	15.1%	45.0%	20.0%	3.1%	-0.3%	-2.0M	68.0M	-4.1M	0.84	8.62	47,283	39,771	774,021	986,355
2017-02-17	$23.08	$22.50	19.1%	5.5%	14.9%	41.0%	19.7%	2.9%	-0.0%	12.1M	26.2M	-4.1M	0.70	10.57	137,034	96,543	786,141	995,274
2017-02-21	$23.85	$22.50	15.1%	4.4%	18.3%	14.7%	16.6%	3.0%	0.1%	50.2M	-559.7M	-3.8M	0.83	40.52	165,318	136,512	672,024	689,715
2017-02-22	$23.97	$23.33	15.2%	4.4%	18.2%	15.0%	15.8%	2.3%	-0.1%	56.7M	-606.5M	-3.7M	1.27	13.87	85,815	109,176	704,226	719,865
2017-02-23	$23.76	$23.33	15.5%	4.6%	18.5%	17.3%	17.1%	2.4%	0.0%	38.8M	-417.2M	-4.1M	1.26	60.72	71,172	89,589	717,996	775,236
2017-02-24	$24.17	$23.33	15.8%	4.6%	18.9%	19.4%	16.7%	2.3%	-0.1%	37.8M	-654.0M	-4.1M	1.04	48.50	109,455	114,339	727,026	815,208
2017-02-27	$23.91	$23.33	16.1%	4.8%	18.0%	21.0%	16.7%	2.2%	-0.0%	24.1M	-384.2M	-4.3M	1.07	49.05	44,241	47,217	692,595	760,257
2017-02-28	$23.58	$23.33	17.2%	5.2%	18.8%	28.6%	18.2%	2.0%	-0.3%	15.8M	-193.0M	-4.4M	1.29	49.30	79,758	103,233	713,226	772,845