WMT Options History — August 2017

In August 2017, WMT traded between $26.00 and $27.21. ATM implied volatility averaged 17.2%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.3% (HV 20d: 12.9%). Max pain ranged from $25.83 to $26.67. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.86.

Notable Days

2017-08-17: Highest Volume — 293,436 contracts
2017-08-17: Largest IV drop — 20.2% change
2017-08-11: Highest IV Rank — 89.1%
2017-08-02: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.68	$26.00	$27.21	$26.87	$26.03
Max Pain	$26.45	$25.83	$26.67	$25.83	$26.67
ATM IV	17.2%	13.9%	21.6%	17.8%	15.0%
Expected Move	4.9%	3.9%	6.1%	6.0%	4.2%
HV 20d	12.9%	10.8%	15.9%	15.7%	13.6%
HV 60d	17.5%	16.7%	18.1%	18.1%	17.2%
IV Rank	46.3%	15.2%	89.1%	52.4%	25.8%
IV Percentile	57.7%	14.3%	98.0%	68.7%	33.3%
Term Structure	-0.5%	-1.5%	0.7%	-0.9%	0.1%
VWIV	17.3%	13.6%	21.7%	21.7%	14.5%
Skew 25d	2.1%	1.3%	2.9%	1.6%	1.9%
Skew 10d	4.4%	2.6%	5.8%	3.2%	4.1%
Call IV 25d	16.4%	13.2%	20.7%	17.2%	14.2%
Put IV 25d	18.5%	15.3%	23.5%	18.8%	16.1%
Bid-Ask Spread %	6.21	2.80	18.83	6.38	3.80
Gamma HHI	0.11	0.09	0.15	0.13	0.09
Net GEX	37.4M	5.3M	60.5M	59.8M	20.2M
Net DEX	-646.7M	-1.20B	-189.0M	-1.07B	-189.0M
Net VEX	-5.2M	-5.7M	-4.8M	-5.4M	-4.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.16	1.50	0.76	0.90
Total Volume	127,812.652	46,758	293,436	58,935	54,591
Total OI	1,626,943.565	1,510,338	1,798,944	1,579,146	1,612,296

Daily Data (23 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
2017-08-01	$26.87	$25.83	17.8%	6.0%	15.7%	52.4%	21.7%	1.6%	-0.9%	59.8M	-1.07B	-5.4M	0.76	6.38	33,510	25,425	874,203	704,943
2017-08-02	$26.89	$25.83	17.9%	6.1%	15.6%	53.0%	21.2%	1.7%	-0.9%	59.3M	-1.08B	-5.4M	0.75	7.83	74,757	56,193	881,727	709,803
2017-08-03	$26.99	$25.83	17.8%	4.8%	15.6%	52.2%	16.9%	1.8%	-0.9%	58.9M	-1.11B	-5.4M	0.97	4.00	75,285	73,383	899,391	729,495
2017-08-04	$26.82	$25.83	18.3%	4.8%	15.9%	57.4%	17.6%	1.8%	-0.8%	48.4M	-985.4M	-5.4M	0.97	3.99	52,824	51,048	915,222	760,002
2017-08-07	$27.15	$25.83	18.1%	4.7%	11.7%	54.8%	18.8%	1.8%	-1.3%	51.9M	-1.09B	-5.4M	0.68	3.34	61,608	41,820	891,879	757,473
2017-08-08	$27.21	$25.83	17.9%	4.7%	11.7%	53.2%	17.3%	1.3%	-1.1%	60.5M	-1.20B	-5.4M	0.16	4.43	239,202	37,476	914,976	768,804
2017-08-09	$27.20	$26.67	19.1%	5.1%	11.9%	65.4%	18.4%	2.3%	-1.5%	44.3M	-902.7M	-5.4M	0.58	6.86	74,244	43,251	805,521	778,227
2017-08-10	$26.92	$26.67	21.3%	5.9%	12.3%	86.4%	20.7%	2.9%	-0.8%	30.0M	-730.4M	-5.6M	0.98	9.50	57,894	56,958	815,544	794,085
2017-08-11	$26.83	$26.67	21.6%	6.0%	11.4%	89.1%	21.1%	2.8%	-1.4%	26.2M	-651.2M	-5.7M	1.50	4.43	40,350	60,669	827,721	809,247
2017-08-14	$26.89	$26.67	19.7%	5.6%	11.3%	71.1%	20.2%	2.7%	-1.3%	34.4M	-696.2M	-5.3M	1.19	10.48	46,554	55,554	812,916	790,578
2017-08-15	$27.00	$26.67	21.0%	6.0%	11.1%	83.0%	20.6%	2.4%	-1.3%	36.8M	-757.8M	-5.5M	0.45	8.58	103,134	46,656	834,804	801,219
2017-08-16	$27.00	$26.67	19.7%	5.6%	10.8%	70.4%	19.7%	1.9%	-0.9%	37.7M	-755.1M	-5.3M	0.93	5.65	148,551	138,204	849,294	819,435
2017-08-17	$26.54	$26.67	15.7%	4.5%	13.1%	32.2%	16.0%	2.3%	0.4%	5.3M	-362.4M	-5.2M	0.86	6.78	157,353	136,083	913,143	880,026
2017-08-18	$26.46	$26.67	14.9%	4.2%	13.2%	24.8%	14.9%	2.5%	0.7%	7.7M	-302.5M	-5.1M	0.91	5.53	82,806	75,099	928,665	870,279
2017-08-21	$26.60	$26.67	14.7%	4.1%	12.8%	22.3%	14.2%	2.2%	0.1%	37.4M	-504.5M	-5.1M	0.64	3.14	56,088	36,036	798,678	711,660
2017-08-22	$26.67	$26.67	13.9%	3.9%	11.0%	15.2%	13.6%	2.1%	0.2%	48.9M	-570.3M	-5.0M	1.02	2.80	39,594	40,515	823,011	716,676
2017-08-23	$26.67	$26.67	14.1%	4.0%	11.0%	17.4%	14.1%	2.1%	0.2%	48.7M	-547.8M	-5.2M	0.77	3.26	39,807	30,594	835,932	733,971
2017-08-24	$26.10	$26.67	15.3%	4.5%	12.6%	28.9%	15.9%	2.3%	0.3%	26.3M	-215.1M	-5.1M	1.16	18.83	92,166	107,154	844,815	744,060
2017-08-25	$26.27	$26.67	15.4%	4.3%	12.9%	29.7%	15.4%	1.9%	-0.0%	34.4M	-307.4M	-5.1M	1.23	8.81	44,817	54,906	882,714	787,743
2017-08-28	$26.00	$26.67	15.5%	4.5%	13.2%	30.7%	15.5%	2.1%	-0.0%	23.0M	-199.2M	-4.9M	0.56	3.90	58,047	32,574	851,148	736,323
2017-08-29	$26.27	$26.67	14.9%	4.2%	13.6%	24.6%	15.1%	2.2%	-0.0%	31.8M	-338.5M	-5.1M	0.81	4.32	33,273	26,880	850,827	744,918
2017-08-30	$26.20	$26.67	15.0%	4.2%	13.6%	25.4%	15.1%	2.1%	0.2%	29.0M	-308.9M	-4.9M	1.07	6.12	22,596	24,162	858,324	747,984
2017-08-31	$26.03	$26.67	15.0%	4.2%	13.6%	25.8%	14.5%	1.9%	0.1%	20.2M	-189.0M	-4.8M	0.90	3.80	28,749	25,842	861,609	750,687