WMT Options History — July 2017

In July 2017, WMT traded between $24.47 and $26.72. ATM implied volatility averaged 17.1%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.7% (HV 20d: 18.8%). Max pain ranged from $25.83 to $25.83. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2017-07-25: Highest Volume — 205,575 contracts
2017-07-10: Largest IV spike — 11.0% change
2017-07-19: Highest IV Rank — 62.5%
2017-07-31: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.48	$24.47	$26.72	$25.12	$26.72
Max Pain	$25.83	$25.83	$25.83	$25.83	$25.83
ATM IV	17.1%	14.9%	18.9%	14.9%	17.9%
Expected Move	5.3%	4.2%	5.9%	4.2%	5.9%
HV 20d	18.8%	15.3%	24.0%	21.8%	16.0%
HV 60d	17.3%	16.1%	18.1%	16.6%	18.1%
IV Rank	45.5%	24.3%	62.5%	24.8%	53.6%
IV Percentile	60.6%	34.1%	81.3%	35.3%	71.8%
Term Structure	0.5%	-1.3%	3.4%	0.7%	-0.7%
VWIV	18.6%	14.6%	20.9%	14.6%	20.9%
Skew 25d	2.3%	1.8%	3.2%	2.2%	1.8%
Skew 10d	4.5%	3.2%	6.4%	4.7%	4.1%
Call IV 25d	16.1%	13.8%	17.9%	14.2%	17.1%
Put IV 25d	18.4%	15.6%	20.6%	16.4%	18.9%
Bid-Ask Spread %	6.07	2.85	8.93	7.98	7.87
Gamma HHI	0.12	0.09	0.15	0.12	0.14
Net GEX	32.2M	-1.2M	65.8M	14.2M	63.0M
Net DEX	-374.4M	-1.03B	150.0M	-122.9M	-997.1M
Net VEX	-5.1M	-5.4M	-4.7M	-5.2M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.31	1.24	0.77	1.20
Total Volume	99,590.4	54,447	205,575	54,462	96,828
Total OI	1,550,703.6	1,397,127	1,684,563	1,464,555	1,535,868

Daily Data (20 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
2017-07-03	$25.12	$25.83	14.9%	4.2%	21.8%	24.8%	14.6%	2.2%	0.7%	14.2M	-122.9M	-5.2M	0.77	7.98	30,693	23,769	801,741	662,814
2017-07-05	$25.12	$25.83	14.9%	4.2%	21.1%	24.9%	14.9%	2.2%	0.6%	13.4M	-122.3M	-5.2M	0.71	6.51	41,502	29,625	806,838	668,466
2017-07-06	$25.18	$25.83	15.1%	5.2%	21.0%	26.5%	17.4%	2.2%	1.1%	14.0M	-151.3M	-5.2M	0.65	6.00	47,520	31,089	815,598	673,824
2017-07-07	$25.12	$25.83	14.9%	5.2%	21.0%	24.3%	17.1%	2.5%	1.2%	2.8M	-108.5M	-5.0M	0.61	4.40	56,748	34,845	818,835	679,317
2017-07-10	$24.47	$25.83	16.5%	5.7%	22.4%	40.0%	19.2%	3.2%	3.4%	-463.7K	150.0M	-4.7M	1.16	6.65	71,433	82,563	826,824	663,354
2017-07-11	$24.54	$25.83	16.6%	5.7%	22.5%	40.4%	18.9%	2.7%	3.3%	-1.2M	141.6M	-4.9M	0.75	2.85	77,979	58,392	847,389	691,932
2017-07-12	$24.66	$25.83	15.5%	5.3%	22.5%	30.3%	15.8%	2.4%	2.9%	5.2M	70.1M	-4.9M	0.69	2.91	53,865	37,149	864,825	703,254
2017-07-13	$25.06	$25.83	15.7%	5.2%	23.3%	32.2%	18.8%	1.8%	3.2%	21.1M	-140.1M	-5.1M	0.48	3.98	70,341	34,071	885,828	719,985
2017-07-14	$25.50	$25.83	16.3%	5.3%	24.0%	38.1%	19.0%	2.0%	3.3%	51.8M	-433.3M	-5.3M	0.31	5.56	149,037	45,753	907,587	726,588
2017-07-17	$25.49	$25.83	17.7%	5.3%	16.1%	51.9%	19.0%	2.6%	-0.1%	47.1M	-390.0M	-5.3M	0.54	8.47	48,549	26,253	905,907	709,485
2017-07-18	$25.39	$25.83	18.8%	5.5%	16.1%	61.6%	19.5%	2.6%	-1.3%	41.0M	-315.8M	-5.2M	0.98	8.93	33,036	32,244	917,220	718,011
2017-07-19	$25.29	$25.83	18.9%	5.4%	16.1%	62.5%	18.9%	2.3%	-1.0%	35.7M	-263.5M	-5.2M	1.24	4.47	34,164	42,360	920,415	730,365
2017-07-20	$25.36	$25.83	18.5%	5.4%	15.9%	59.2%	20.0%	2.4%	-1.1%	27.1M	-304.7M	-5.2M	0.86	6.27	29,214	25,233	931,167	747,870
2017-07-21	$25.38	$25.83	18.2%	5.3%	15.5%	56.1%	18.3%	2.5%	-1.2%	29.5M	-327.4M	-5.0M	0.82	3.40	31,290	25,617	934,332	750,231
2017-07-24	$25.66	$25.83	17.9%	5.4%	15.3%	53.8%	19.3%	2.1%	-0.7%	46.6M	-506.7M	-5.0M	0.64	4.77	48,600	31,221	764,082	633,045
2017-07-25	$26.17	$25.83	18.5%	5.6%	16.3%	59.3%	19.7%	1.9%	-0.7%	52.3M	-773.0M	-5.1M	0.47	6.46	139,590	65,985	780,381	644,448
2017-07-26	$26.24	$25.83	18.7%	5.6%	16.2%	60.8%	20.2%	1.9%	-0.8%	57.6M	-848.2M	-5.4M	1.03	7.60	48,708	49,989	852,612	660,042
2017-07-27	$26.60	$25.83	18.2%	5.6%	16.6%	56.6%	20.6%	1.9%	-0.5%	57.9M	-1.02B	-5.4M	0.51	8.74	69,459	35,652	862,059	684,696
2017-07-28	$26.59	$25.83	17.8%	5.6%	16.0%	52.7%	20.7%	2.2%	-0.8%	65.8M	-1.03B	-5.4M	0.81	7.60	55,956	45,486	871,389	695,448
2017-07-31	$26.72	$25.83	17.9%	5.9%	16.0%	53.6%	20.9%	1.8%	-0.7%	63.0M	-997.1M	-5.4M	1.20	7.87	43,938	52,890	855,504	680,364