WMT Options History — May 2017

In May 2017, WMT traded between $25.07 and $26.29. ATM implied volatility averaged 15.7%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.7% (HV 20d: 11.1%). Max pain ranged from $24.17 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2017-05-09: Highest Volume — 421,737 contracts
  • 2017-05-18: Largest IV drop — 24.5% change
  • 2017-05-17: Highest IV Rank — 39.6%
  • 2017-05-03: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.65$25.07$26.29$25.13$26.20
Max Pain$24.73$24.17$25.00$24.17$25.00
ATM IV15.7%12.7%18.8%17.1%13.3%
Expected Move4.5%3.5%5.7%5.6%3.7%
HV 20d11.1%7.0%14.5%9.9%14.5%
HV 60d12.1%10.8%13.1%13.1%11.2%
IV Rank20.3%0.0%39.6%28.7%6.4%
IV Percentile38.0%0.0%79.8%55.2%5.6%
Term Structure-0.4%-1.3%0.9%-0.6%-0.4%
VWIV16.4%12.8%21.6%20.4%12.8%
Skew 25d2.1%1.5%2.7%2.6%1.9%
Skew 10d4.6%2.9%6.8%5.4%3.7%
Call IV 25d14.9%12.0%17.6%15.7%12.6%
Put IV 25d17.0%13.6%20.3%18.3%14.5%
Bid-Ask Spread %6.122.9813.247.674.70
Gamma HHI0.190.140.340.180.18
Net GEX55.5M26.6M112.0M48.2M70.2M
Net DEX-696.6M-1.17B-320.8M-630.5M-793.5M
Net VEX-4.6M-4.8M-4.3M-4.6M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.261.810.950.80
Total Volume126,564.27342,693421,73742,693103,929
Total OI1,453,497.2731,377,2041,639,1911,384,2421,478,496

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$25.13$24.1717.1%5.6%9.9%28.7%20.4%2.6%-0.6%48.2M-630.5M-4.6M0.957.6721,91220,781695,235689,007
2017-05-02$25.19$24.1717.1%5.7%9.6%28.5%21.6%2.4%-0.6%48.5M-655.4M-4.6M0.806.6829,91023,814696,525692,796
2017-05-03$25.27$24.1717.0%5.7%9.5%27.8%20.9%2.3%-0.5%51.5M-706.5M-4.5M0.9212.2641,04337,854712,359701,073
2017-05-04$25.45$24.1717.1%4.5%9.3%28.3%16.9%2.3%-0.8%51.3M-804.1M-4.5M0.688.0947,88332,688722,904717,405
2017-05-05$25.50$24.1716.9%4.5%9.0%27.4%18.4%2.3%-0.8%56.9M-817.7M-4.6M0.966.6045,27343,650731,274717,786
2017-05-08$25.37$24.1717.3%4.8%7.0%29.8%18.5%2.4%-0.3%52.8M-716.4M-4.6M0.605.8953,43332,133728,385713,031
2017-05-09$25.61$24.1716.5%4.5%7.5%24.7%14.9%1.5%-0.6%58.5M-912.3M-4.3M0.2613.24334,80686,931742,743721,050
2017-05-10$25.57$25.0016.9%4.6%7.6%27.1%17.0%2.1%-0.9%45.3M-615.7M-4.6M0.414.1974,10630,498658,860718,344
2017-05-11$25.37$25.0017.2%4.9%8.4%29.2%18.3%2.5%0.0%34.7M-501.5M-4.7M0.933.9550,07346,623670,473723,879
2017-05-12$25.24$25.0017.8%5.0%8.7%33.4%17.8%2.6%-0.6%31.4M-421.8M-4.8M0.725.2650,13036,261679,107745,659
2017-05-15$25.41$25.0017.8%5.1%8.8%33.6%18.7%2.4%-1.0%42.0M-514.1M-4.6M1.727.8445,50778,264667,068733,791
2017-05-16$25.07$25.0017.9%5.1%9.8%33.9%18.0%2.3%-1.1%30.8M-330.1M-4.6M1.245.8458,66872,639685,251740,238
2017-05-17$25.12$25.0018.8%5.4%9.8%39.6%18.1%2.7%-1.3%26.6M-320.8M-4.8M0.7910.72149,112117,099692,712780,717
2017-05-18$25.84$25.0014.2%4.1%13.2%9.2%14.6%2.6%-0.4%112.0M-862.0M-4.6M0.675.75150,744101,385759,084834,516
2017-05-19$26.29$25.0013.6%3.8%14.3%8.1%13.9%1.9%0.9%63.4M-1.17B-4.5M0.344.78223,42876,344787,569851,622
2017-05-22$26.20$25.0013.8%3.8%14.4%10.7%13.7%1.9%-0.1%68.3M-822.4M-4.6M0.683.1641,45128,365701,406704,691
2017-05-23$26.16$25.0013.6%3.8%14.4%8.1%13.3%2.0%-0.1%68.9M-793.7M-4.7M0.873.5742,80137,380711,942715,512
2017-05-24$26.08$25.0013.4%3.7%14.4%6.0%14.2%1.9%0.2%62.6M-735.6M-4.7M1.812.9830,11454,432722,862738,129
2017-05-25$26.15$25.0012.8%3.6%14.4%0.8%13.8%1.6%0.2%61.0M-765.5M-4.7M1.124.4643,56948,825726,219772,398
2017-05-26$26.02$25.0012.7%3.5%14.5%0.0%12.8%1.6%0.1%69.7M-703.1M-4.5M0.893.6045,66340,437735,882783,219
2017-05-30$26.10$25.0013.2%3.7%14.5%4.7%13.1%1.7%-0.4%65.7M-733.4M-4.6M0.853.4029,47224,984718,818756,903
2017-05-31$26.20$25.0013.3%3.7%14.5%6.4%12.8%1.9%-0.4%70.2M-793.5M-4.5M0.804.7057,61246,317718,815759,681