WMT Options History — April 2017

In April 2017, WMT traded between $23.81 and $25.19. ATM implied volatility averaged 15.6%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 5.2% (HV 20d: 10.5%). Max pain ranged from $23.33 to $24.17. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.11.

Notable Days

  • 2017-04-20: Highest Volume — 208,278 contracts
  • 2017-04-17: Largest IV spike — 21.6% change
  • 2017-04-17: Highest IV Rank — 35.7%
  • 2017-04-17: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.56$23.81$25.19$23.96$25.06
Max Pain$23.38$23.33$24.17$23.33$24.17
ATM IV15.6%12.9%18.2%12.9%17.2%
Expected Move4.9%3.5%5.4%3.5%5.4%
HV 20d10.5%9.2%11.7%9.3%10.1%
HV 60d14.2%13.2%15.1%14.8%13.2%
IV Rank18.9%0.9%35.7%0.9%29.3%
IV Percentile35.7%0.8%69.8%0.8%56.3%
Term Structure0.7%-1.1%4.2%1.0%-0.9%
VWIV17.4%12.8%20.0%12.8%20.0%
Skew 25d2.6%1.7%3.5%1.8%2.5%
Skew 10d5.0%2.3%6.6%2.8%5.1%
Call IV 25d14.6%12.0%17.1%12.4%16.6%
Put IV 25d17.2%14.2%20.4%14.3%19.1%
Bid-Ask Spread %8.234.6618.128.818.69
Gamma HHI0.180.130.420.140.17
Net GEX43.1M24.8M80.3M27.5M45.0M
Net DEX-568.1M-806.7M-273.1M-360.6M-617.3M
Net VEX-4.4M-4.7M-4.1M-4.3M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.371.921.261.29
Total Volume83,538.15834,542208,278103,11051,465
Total OI1,377,432.7891,276,0531,537,7731,276,0531,409,820

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$23.96$23.3312.9%3.5%9.3%0.9%12.8%1.8%1.0%27.5M-360.6M-4.3M1.268.8145,58257,528576,294699,759
2017-04-04$23.98$23.3313.1%3.6%9.2%2.1%12.9%1.7%0.9%30.3M-365.4M-4.4M0.678.4637,85125,305592,815713,091
2017-04-05$23.87$23.3313.2%3.6%9.4%2.8%13.0%2.5%0.8%28.9M-305.6M-4.5M1.9218.1219,01736,510614,703719,415
2017-04-06$23.81$23.3313.0%4.6%9.5%1.8%16.8%2.0%0.8%24.8M-273.1M-4.3M1.607.6021,37834,128617,931729,570
2017-04-07$24.30$23.3313.3%4.8%11.7%3.8%16.4%1.9%0.8%43.7M-564.4M-4.4M0.637.2785,11653,415624,291733,353
2017-04-10$24.36$23.3313.8%5.0%11.7%6.9%16.9%2.6%3.2%43.7M-554.4M-4.4M1.036.4854,14155,641626,214727,623
2017-04-11$24.44$23.3314.5%5.2%11.0%11.2%17.3%2.4%3.6%43.9M-594.0M-4.5M1.345.2330,46840,968647,211752,199
2017-04-12$24.46$23.3314.3%5.2%10.9%10.1%18.2%2.5%4.1%44.0M-595.4M-4.5M1.184.6626,07930,897651,735764,883
2017-04-13$24.43$23.3314.9%5.2%10.8%14.4%17.9%2.5%4.2%46.3M-581.9M-4.5M1.165.0827,97232,403654,753769,716
2017-04-17$24.40$23.3318.2%5.4%10.8%35.7%18.8%3.3%-1.1%46.4M-533.9M-4.4M1.804.6812,34222,200639,648754,830
2017-04-18$24.65$23.3317.5%5.1%10.5%31.0%19.0%3.4%0.0%46.1M-677.7M-4.3M1.867.6132,15159,889647,649761,037
2017-04-19$24.67$23.3317.8%5.1%10.5%33.3%18.5%3.5%-0.2%42.9M-652.7M-4.4M0.715.8142,77130,198652,950779,034
2017-04-20$24.97$23.3317.2%5.0%11.0%29.3%17.7%3.4%-0.5%53.6M-806.7M-4.1M0.458.05143,69764,581663,543782,232
2017-04-21$25.02$23.3317.5%5.1%10.5%31.4%18.2%3.1%-0.3%80.3M-803.4M-4.6M0.7811.0760,56147,274713,199824,574
2017-04-24$24.95$23.3316.9%5.0%10.5%27.0%18.3%2.8%-0.7%39.4M-569.5M-4.5M0.9811.6731,06530,330633,255645,081
2017-04-25$25.02$23.3317.1%5.2%10.4%28.7%18.7%2.3%-0.9%39.3M-592.8M-4.4M0.948.3144,56541,937641,571661,740
2017-04-26$25.19$23.3317.2%5.3%10.3%29.2%19.5%2.4%-0.8%43.5M-675.3M-4.5M0.379.7475,63327,792665,337685,647
2017-04-27$25.17$23.3317.3%5.3%10.4%29.7%20.0%2.4%-0.5%48.3M-670.0M-4.7M1.049.0626,66427,711698,985695,535
2017-04-28$25.06$24.1717.2%5.4%10.1%29.3%20.0%2.5%-0.9%45.0M-617.3M-4.6M1.298.6922,46728,998707,541702,279