WMT Options History — September 2017

In September 2017, WMT traded between $26.00 and $26.85. ATM implied volatility averaged 16.7%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.8% (HV 20d: 13.9%). Max pain ranged from $26.67 to $26.67. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.12.

Notable Days

2017-09-08: Highest Volume — 135,189 contracts
2017-09-25: Largest IV spike — 17.8% change
2017-09-25: Highest IV Rank — 71.5%
2017-09-29: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.51	$26.00	$26.85	$26.12	$26.00
Max Pain	$26.67	$26.67	$26.67	$26.67	$26.67
ATM IV	16.7%	13.9%	19.8%	13.9%	18.9%
Expected Move	4.9%	3.7%	5.9%	3.7%	5.9%
HV 20d	13.9%	11.3%	15.5%	13.6%	11.9%
HV 60d	15.1%	13.7%	17.9%	17.2%	14.0%
IV Rank	42.0%	15.4%	71.5%	15.4%	63.0%
IV Percentile	53.2%	13.9%	87.3%	13.9%	80.2%
Term Structure	-0.1%	-0.8%	0.5%	0.4%	-0.4%
VWIV	17.5%	13.2%	21.5%	13.2%	21.5%
Skew 25d	2.3%	1.8%	3.0%	1.8%	2.4%
Skew 10d	4.8%	3.6%	6.1%	3.8%	6.1%
Call IV 25d	15.8%	13.2%	18.8%	13.2%	18.2%
Put IV 25d	18.2%	15.0%	21.5%	15.0%	20.7%
Bid-Ask Spread %	8.81	3.16	33.62	5.98	10.52
Gamma HHI	0.12	0.08	0.20	0.09	0.08
Net GEX	41.1M	250.9K	82.0M	29.1M	250.9K
Net DEX	-452.2M	-775.3M	-88.9M	-243.0M	-88.9M
Net VEX	-4.8M	-5.0M	-4.6M	-4.8M	-4.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.66	1.86	1.16	1.61
Total Volume	86,923.5	58,761	135,189	58,761	95,856
Total OI	1,561,455.9	1,394,868	1,724,037	1,619,712	1,615,023

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
2017-09-01	$26.12	$26.67	13.9%	3.7%	13.6%	15.4%	13.2%	1.8%	0.4%	29.1M	-243.0M	-4.8M	1.16	5.98	27,147	31,614	865,296	754,416
2017-09-05	$26.59	$26.67	15.0%	4.5%	14.4%	25.4%	16.1%	2.1%	0.4%	46.6M	-554.4M	-4.9M	0.78	3.64	59,409	46,155	814,473	731,184
2017-09-06	$26.70	$26.67	15.0%	4.5%	14.5%	25.8%	16.7%	2.0%	0.2%	57.8M	-646.0M	-4.9M	0.91	3.74	35,751	32,460	834,168	744,687
2017-09-07	$26.72	$26.67	15.1%	4.4%	14.5%	26.3%	15.9%	2.1%	0.4%	60.3M	-654.9M	-4.9M	1.13	3.74	37,431	42,258	841,485	749,175
2017-09-08	$26.27	$26.67	16.0%	4.6%	15.3%	35.0%	17.7%	2.4%	-0.1%	29.9M	-328.8M	-4.9M	1.42	11.63	55,890	79,299	848,871	763,620
2017-09-11	$26.37	$26.67	15.3%	4.3%	15.3%	28.2%	16.0%	2.4%	-0.2%	36.5M	-386.6M	-4.6M	0.91	4.36	31,047	28,218	832,497	773,934
2017-09-12	$26.54	$26.67	15.7%	4.5%	15.5%	32.0%	16.6%	2.0%	-0.1%	52.2M	-523.1M	-4.7M	1.00	3.93	37,863	37,875	841,716	776,775
2017-09-13	$26.62	$26.67	16.4%	4.7%	15.5%	39.2%	16.6%	2.3%	-0.0%	57.2M	-586.4M	-4.9M	0.91	3.53	70,029	63,429	854,298	794,199
2017-09-14	$26.57	$26.67	16.2%	4.6%	15.5%	37.4%	16.8%	2.4%	-0.0%	62.6M	-511.8M	-4.9M	1.86	3.79	30,156	55,974	884,955	829,137
2017-09-15	$26.77	$26.67	15.8%	4.6%	14.4%	32.9%	16.0%	2.0%	0.5%	82.0M	-775.3M	-4.8M	0.66	33.62	76,293	50,409	890,835	833,202
2017-09-18	$26.67	$26.67	16.5%	4.8%	14.4%	39.9%	17.2%	2.3%	-0.4%	48.2M	-522.2M	-4.8M	1.12	7.93	37,806	42,402	735,120	659,748
2017-09-19	$26.68	$26.67	16.8%	4.8%	14.3%	42.4%	16.9%	2.3%	-0.1%	49.9M	-522.5M	-4.8M	1.29	4.04	28,194	36,294	750,450	677,064
2017-09-20	$26.85	$26.67	16.5%	4.7%	14.5%	40.2%	16.7%	2.2%	-0.2%	61.0M	-600.9M	-5.0M	1.39	12.03	29,127	40,416	760,398	695,427
2017-09-21	$26.64	$26.67	16.3%	4.7%	14.7%	38.2%	16.4%	2.2%	-0.5%	42.3M	-453.2M	-4.8M	0.93	9.01	43,446	40,578	769,986	711,369
2017-09-22	$26.53	$26.67	16.8%	4.8%	12.5%	42.7%	16.9%	2.5%	-0.2%	29.2M	-383.4M	-4.9M	0.76	10.84	45,270	34,317	790,572	721,980
2017-09-25	$26.38	$26.67	19.8%	5.9%	12.4%	71.5%	21.1%	3.0%	-0.4%	21.8M	-339.6M	-4.9M	1.54	25.11	34,275	52,701	744,588	708,117
2017-09-26	$26.48	$26.67	19.7%	5.9%	11.9%	70.9%	20.5%	2.8%	-0.5%	22.8M	-381.8M	-4.9M	0.98	10.16	49,596	48,552	759,339	735,945
2017-09-27	$26.43	$26.67	19.1%	5.7%	11.3%	64.6%	19.9%	2.6%	-0.5%	22.0M	-348.4M	-4.9M	1.31	3.16	31,305	40,911	789,852	765,321
2017-09-28	$26.18	$26.67	19.5%	5.9%	11.8%	68.6%	20.6%	3.0%	-0.8%	9.8M	-192.6M	-4.9M	0.78	5.46	44,271	34,446	801,063	778,833
2017-09-29	$26.00	$26.67	18.9%	5.9%	11.9%	63.0%	21.5%	2.4%	-0.4%	250.9K	-88.9M	-4.8M	1.61	10.52	36,750	59,106	824,649	790,374