WMT Options History — June 2017

In June 2017, WMT traded between $24.92 and $26.81. ATM implied volatility averaged 14.3%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 4.8% (HV 20d: 19.0%). Max pain ranged from $25.00 to $25.83. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.64.

Notable Days

2017-06-16: Highest Volume — 716,040 contracts
2017-06-16: Largest IV spike — 22.6% change
2017-06-16: Highest IV Rank — 53.0%
2017-06-16: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.85	$24.92	$26.81	$26.55	$25.29
Max Pain	$25.76	$25.00	$25.83	$25.00	$25.83
ATM IV	14.3%	12.3%	17.8%	13.1%	14.3%
Expected Move	4.1%	3.4%	5.0%	3.6%	4.0%
HV 20d	19.0%	15.0%	22.7%	15.0%	22.3%
HV 60d	14.2%	11.4%	16.6%	11.4%	16.6%
IV Rank	18.3%	0.0%	53.0%	4.0%	18.4%
IV Percentile	23.5%	0.0%	72.2%	2.8%	25.4%
Term Structure	0.0%	-1.0%	0.7%	-0.3%	0.3%
VWIV	14.4%	12.0%	17.8%	13.3%	14.4%
Skew 25d	2.0%	1.4%	2.6%	1.8%	2.0%
Skew 10d	4.4%	3.2%	5.2%	3.3%	4.7%
Call IV 25d	13.5%	11.8%	17.4%	12.3%	13.6%
Put IV 25d	15.5%	13.4%	19.7%	14.1%	15.6%
Bid-Ask Spread %	4.42	2.18	6.83	5.71	2.99
Gamma HHI	0.16	0.09	0.32	0.20	0.12
Net GEX	44.3M	-39.2M	93.4M	79.0M	29.0M
Net DEX	-524.4M	-1.09B	210.8M	-1.02B	-238.5M
Net VEX	-5.1M	-5.5M	-4.4M	-4.4M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.37	1.18	0.38	0.67
Total Volume	138,913.5	70,614	716,040	138,240	78,099
Total OI	1,593,562.227	1,467,510	1,758,033	1,516,485	1,587,159

Daily Data (22 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
2017-06-01	$26.55	$25.00	13.1%	3.6%	15.0%	4.0%	13.3%	1.8%	-0.3%	79.0M	-1.02B	-4.4M	0.38	5.71	100,101	38,139	737,046	779,439
2017-06-02	$26.55	$25.00	12.6%	3.4%	15.0%	0.0%	12.0%	1.4%	-0.1%	76.0M	-992.5M	-4.6M	0.68	6.11	63,885	43,605	751,167	797,805
2017-06-05	$26.81	$25.83	12.3%	3.7%	15.2%	0.0%	13.1%	1.6%	0.1%	69.1M	-1.09B	-4.5M	0.69	2.50	49,965	34,473	734,838	783,171
2017-06-06	$26.30	$25.83	13.2%	3.8%	16.8%	8.6%	13.7%	1.6%	0.1%	62.6M	-767.2M	-4.9M	0.99	3.43	96,063	94,800	740,955	806,718
2017-06-07	$26.42	$25.83	13.2%	3.8%	16.6%	8.2%	13.4%	1.8%	0.3%	58.8M	-863.2M	-4.8M	0.37	4.30	76,407	27,954	773,001	850,356
2017-06-08	$26.29	$25.83	13.7%	3.9%	16.7%	13.1%	13.9%	1.5%	0.1%	55.8M	-775.4M	-5.2M	1.18	5.94	52,221	61,668	808,323	852,576
2017-06-09	$26.44	$25.83	13.2%	3.9%	16.4%	8.6%	13.7%	1.9%	-0.0%	67.3M	-855.6M	-5.4M	0.48	6.11	69,615	33,093	821,109	874,716
2017-06-12	$26.38	$25.83	14.1%	4.0%	16.3%	17.2%	14.1%	2.2%	-0.3%	61.6M	-814.4M	-5.3M	0.47	6.83	69,483	32,340	803,865	856,374
2017-06-13	$26.49	$25.83	13.5%	3.8%	16.2%	11.5%	13.3%	2.1%	-0.3%	69.2M	-863.0M	-5.1M	0.82	4.48	39,015	32,121	804,270	862,830
2017-06-14	$26.67	$25.83	13.3%	3.9%	15.2%	8.8%	13.6%	1.9%	-0.0%	93.4M	-1.01B	-5.2M	0.52	4.50	57,768	29,844	808,947	871,125
2017-06-15	$26.31	$25.83	14.6%	3.9%	16.4%	21.3%	14.9%	2.6%	-1.0%	51.0M	-764.9M	-5.1M	1.15	5.37	80,697	92,769	818,679	874,314
2017-06-16	$25.04	$25.83	17.8%	5.0%	22.3%	53.0%	17.8%	2.3%	-0.4%	-39.2M	210.8M	-5.0M	0.71	5.69	418,344	297,696	842,991	915,042
2017-06-19	$25.13	$25.83	16.0%	4.6%	21.2%	35.3%	16.2%	2.1%	0.4%	21.6M	-92.5M	-5.2M	0.57	2.87	119,598	68,397	794,634	672,876
2017-06-20	$25.20	$25.83	15.5%	4.5%	21.3%	30.7%	15.6%	1.9%	-0.0%	25.6M	-138.5M	-5.3M	0.51	6.46	75,558	38,697	823,206	697,164
2017-06-21	$25.42	$25.83	14.7%	4.2%	21.6%	22.5%	14.7%	2.1%	-0.1%	35.0M	-262.6M	-5.4M	0.47	2.71	91,932	43,056	842,481	708,510
2017-06-22	$25.19	$25.83	15.0%	4.3%	21.8%	25.4%	14.5%	1.9%	0.7%	26.7M	-138.1M	-5.3M	0.49	4.63	89,445	43,545	864,210	713,208
2017-06-23	$24.92	$25.83	15.2%	4.4%	22.0%	27.3%	14.9%	2.2%	-0.2%	12.8M	27.1M	-5.4M	0.62	3.06	59,094	36,351	887,277	724,539
2017-06-26	$25.20	$25.83	14.6%	4.2%	22.5%	22.1%	14.8%	2.1%	0.2%	23.7M	-197.5M	-5.3M	0.59	2.57	55,404	32,964	848,523	674,817
2017-06-27	$25.36	$25.83	14.6%	4.2%	22.6%	21.3%	14.6%	2.2%	0.3%	31.6M	-283.9M	-5.4M	0.64	2.30	43,164	27,450	856,671	678,918
2017-06-28	$25.54	$25.83	14.5%	4.1%	22.7%	21.2%	14.7%	1.9%	0.3%	36.9M	-371.3M	-5.5M	0.43	2.18	57,852	25,110	862,233	685,683
2017-06-29	$25.27	$25.83	14.8%	4.2%	22.3%	24.0%	15.0%	2.4%	0.2%	26.4M	-234.8M	-5.4M	0.66	6.45	47,154	31,161	878,055	688,548
2017-06-30	$25.29	$25.83	14.3%	4.0%	22.3%	18.4%	14.4%	2.0%	0.3%	29.0M	-238.5M	-5.3M	0.67	2.99	46,758	31,341	891,018	696,141