WMT Options History — March 2017

In March 2017, WMT traded between $23.21 and $24.06. ATM implied volatility averaged 14.6%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.0% (HV 20d: 14.6%). Max pain ranged from $23.33 to $23.33. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.05.

Notable Days

  • 2017-03-01: Highest Volume — 169,716 contracts
  • 2017-03-30: Largest IV drop — 5.2% change
  • 2017-03-01: Highest IV Rank — 26.1%
  • 2017-03-01: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.44$23.21$24.06$23.54$24.06
Max Pain$23.33$23.33$23.33$23.33$23.33
ATM IV14.6%12.8%16.8%16.8%12.8%
Expected Move4.2%3.4%4.8%4.8%3.4%
HV 20d14.6%8.1%18.9%18.8%9.1%
HV 60d15.5%14.5%16.5%16.5%14.8%
IV Rank11.1%0.0%26.1%26.1%0.0%
IV Percentile17.3%0.0%48.4%48.4%0.0%
Term Structure0.1%-0.4%1.4%0.0%1.4%
VWIV14.8%12.4%17.2%17.2%12.7%
Skew 25d1.8%1.1%2.2%2.0%1.7%
Skew 10d3.7%1.6%5.0%3.4%4.6%
Call IV 25d14.0%11.8%16.3%16.3%11.8%
Put IV 25d15.7%13.5%18.3%18.3%13.5%
Bid-Ask Spread %9.075.1018.479.2113.22
Gamma HHI0.110.090.130.100.13
Net GEX6.5M-18.3M36.0M15.2M36.0M
Net DEX-66.7M-451.7M60.6M-177.6M-451.7M
Net VEX-4.4M-4.6M-4.3M-4.4M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.261.891.831.19
Total Volume92,356.82661,020169,716169,71692,487
Total OI1,429,187.3481,164,7501,617,5251,531,1401,315,284

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$23.54$23.3316.8%4.8%18.8%26.1%17.2%2.0%0.0%15.2M-177.6M-4.4M1.839.2159,946109,770736,215794,925
2017-03-02$23.56$23.3316.3%4.6%18.4%22.5%16.3%1.8%0.1%5.0M-152.2M-4.6M1.126.6435,93140,386746,154853,878
2017-03-03$23.34$23.3316.1%4.6%18.9%21.3%15.9%1.6%0.2%-18.3M-10.6M-4.5M1.0511.8055,30257,876751,770865,755
2017-03-06$23.33$23.3316.1%4.7%18.8%21.0%16.8%1.7%-0.1%-9.4M53.3M-4.5M0.695.2049,02933,885703,623846,360
2017-03-07$23.30$23.3315.3%4.5%18.8%16.0%15.8%1.1%0.1%-3.1M8.3M-4.3M0.265.10129,15633,393713,748851,235
2017-03-08$23.29$23.3315.2%4.4%18.8%15.5%16.3%1.7%0.1%-4.3M60.6M-4.5M0.617.8178,56148,297695,061860,931
2017-03-09$23.31$23.3315.1%4.4%18.4%14.3%15.3%1.6%-0.2%1.1M32.9M-4.5M1.386.5528,80939,855711,672866,772
2017-03-10$23.38$23.3315.1%4.4%17.3%14.4%14.9%2.2%-0.3%8.3M218.9K-4.5M1.456.5833,75049,038714,366877,947
2017-03-13$23.34$23.3315.1%4.3%16.2%14.6%16.1%1.7%-0.1%1.4M44.7M-4.4M1.896.3027,13251,291689,145852,993
2017-03-14$23.63$23.3314.8%4.4%16.6%12.9%15.0%1.7%0.6%12.5M-143.0M-4.4M0.896.3554,97248,660695,451858,786
2017-03-15$23.53$23.3314.6%4.3%16.5%11.5%15.2%1.4%0.1%15.3M-95.9M-4.3M1.6510.7236,07859,544706,458862,086
2017-03-16$23.46$23.3314.2%4.1%16.6%8.4%14.5%1.7%0.3%20.6M-51.7M-4.3M1.387.0740,74956,217716,121877,086
2017-03-17$23.51$23.3313.5%3.9%16.6%3.7%13.4%1.9%0.2%4.7M-94.1M-4.3M0.7418.4750,56537,536717,732886,206
2017-03-20$23.32$23.3313.7%3.9%16.8%4.8%13.7%1.7%0.4%-2.9M4.4M-4.4M0.817.4148,02439,060504,273660,477
2017-03-21$23.32$23.3314.2%4.1%11.6%8.2%15.1%2.0%-0.2%-1.2M4.2M-4.4M0.757.9651,72939,042516,339661,221
2017-03-22$23.41$23.3314.0%4.0%11.5%6.9%13.8%2.0%0.4%11.9M-58.8M-4.4M0.836.7435,21129,391542,241670,557
2017-03-23$23.26$23.3313.8%4.0%11.4%6.1%14.0%2.1%0.0%4.7M10.7M-4.4M1.028.0530,30930,963554,946681,000
2017-03-24$23.23$23.3314.2%4.1%9.2%8.4%14.3%1.8%-0.4%3.7M36.1M-4.5M0.8412.7747,15139,798562,689694,029
2017-03-27$23.21$23.3314.2%4.0%8.6%8.8%13.7%2.2%0.2%-6.3M34.9M-4.4M0.758.3334,79126,229541,731684,411
2017-03-28$23.42$23.3313.8%3.7%8.1%5.7%13.5%1.5%-0.1%7.1M-80.5M-4.5M0.9211.1534,02931,287561,507694,296
2017-03-29$23.55$23.3313.6%3.7%8.3%4.2%13.5%1.8%0.2%16.2M-166.7M-4.5M0.888.4448,65742,699576,339701,199
2017-03-30$23.85$23.3312.8%3.5%9.5%0.0%12.4%1.5%0.3%30.5M-342.1M-4.4M1.1816.7735,52642,096585,741710,553
2017-03-31$24.06$23.3312.8%3.4%9.1%0.0%12.7%1.7%1.4%36.0M-451.7M-4.4M1.1913.2242,31250,175594,471720,813