WMT Options History — October 2017

In October 2017, WMT traded between $26.15 and $29.58. ATM implied volatility averaged 18.2%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.7% (HV 20d: 17.5%). Max pain ranged from $26.67 to $28.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.71.

Notable Days

2017-10-10: Highest Volume — 432,282 contracts
2017-10-10: Largest IV drop — 18.0% change
2017-10-03: Highest IV Rank — 80.8%
2017-10-03: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.27	$26.15	$29.58	$26.15	$29.10
Max Pain	$27.43	$26.67	$28.67	$26.67	$28.67
ATM IV	18.2%	15.7%	20.8%	19.3%	19.9%
Expected Move	5.6%	4.9%	7.1%	6.3%	6.6%
HV 20d	17.5%	9.1%	20.7%	12.0%	20.7%
HV 60d	15.1%	12.7%	16.2%	14.0%	16.1%
IV Rank	56.2%	32.0%	80.8%	66.6%	72.2%
IV Percentile	70.4%	40.5%	93.3%	82.1%	88.5%
Term Structure	0.1%	-1.2%	2.8%	-0.3%	0.3%
VWIV	19.9%	17.3%	25.3%	21.9%	23.0%
Skew 25d	2.1%	1.5%	3.3%	2.7%	1.8%
Skew 10d	4.4%	2.9%	6.5%	5.9%	4.3%
Call IV 25d	17.4%	14.8%	19.8%	17.9%	19.3%
Put IV 25d	19.5%	16.3%	22.2%	20.6%	21.1%
Bid-Ask Spread %	7.67	2.73	22.41	15.44	6.58
Gamma HHI	0.13	0.08	0.23	0.08	0.11
Net GEX	57.0M	10.2M	84.3M	10.2M	49.0M
Net DEX	-1.31B	-2.18B	-187.0M	-187.0M	-1.19B
Net VEX	-5.0M	-7.4M	-4.5M	-4.7M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.33	1.87	0.90	0.44
Total Volume	164,956.5	56,622	432,282	56,622	83,850
Total OI	1,825,357.909	1,600,056	2,138,988	1,611,618	1,734,315

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
2017-10-02	$26.15	$26.67	19.3%	6.3%	12.0%	66.6%	21.9%	2.7%	-0.3%	10.2M	-187.0M	-4.7M	0.90	15.44	29,826	26,796	810,630	800,988
2017-10-03	$26.42	$26.67	20.8%	7.1%	10.7%	80.8%	25.3%	3.2%	-0.8%	19.4M	-347.6M	-5.0M	0.72	20.14	112,266	81,384	819,600	810,615
2017-10-04	$26.36	$26.67	19.9%	6.8%	10.6%	72.2%	24.1%	2.8%	-0.8%	28.6M	-372.8M	-5.0M	0.92	8.94	37,827	34,851	892,908	847,218
2017-10-05	$26.47	$26.67	19.6%	5.6%	10.7%	69.3%	20.5%	3.0%	-0.6%	33.8M	-439.3M	-5.0M	1.20	4.09	33,141	39,744	898,065	853,338
2017-10-06	$26.31	$26.67	19.1%	5.5%	9.1%	64.7%	19.6%	3.3%	-0.8%	25.1M	-322.9M	-4.9M	1.87	8.49	37,710	70,470	905,916	857,631
2017-10-09	$26.82	$26.67	19.1%	5.8%	11.3%	65.1%	20.3%	3.0%	1.2%	46.2M	-680.5M	-4.9M	1.03	13.64	177,126	182,382	902,553	874,107
2017-10-10	$28.05	$26.67	15.7%	5.0%	19.2%	32.0%	17.8%	1.5%	1.7%	84.3M	-1.69B	-4.6M	0.42	4.45	303,864	128,418	964,641	977,847
2017-10-11	$28.57	$26.67	15.8%	5.3%	20.0%	33.6%	18.4%	1.6%	2.5%	84.1M	-2.01B	-4.5M	0.60	7.35	208,566	125,436	1,040,526	977,367
2017-10-12	$28.69	$26.67	16.0%	5.2%	19.9%	34.8%	18.2%	1.5%	2.8%	84.2M	-2.07B	-4.5M	0.62	3.18	113,382	70,755	1,077,261	1,020,930
2017-10-13	$28.89	$26.67	16.1%	5.1%	19.9%	36.0%	18.2%	1.5%	2.6%	79.9M	-2.18B	-4.5M	0.45	3.04	109,014	48,543	1,093,719	1,045,269
2017-10-16	$28.58	$26.67	17.5%	5.2%	20.4%	49.5%	18.8%	2.0%	-0.9%	74.2M	-1.66B	-4.6M	0.63	3.01	94,545	59,334	979,758	916,113
2017-10-17	$28.66	$27.50	17.6%	5.1%	20.4%	50.4%	17.8%	2.0%	-1.0%	76.6M	-1.70B	-4.8M	0.35	2.73	94,221	33,375	1,000,002	932,925
2017-10-18	$28.74	$27.50	17.9%	5.1%	20.4%	53.3%	17.3%	1.8%	-1.2%	78.0M	-1.77B	-4.6M	0.33	5.58	135,462	44,106	1,013,445	944,319
2017-10-19	$28.78	$27.50	17.1%	4.9%	20.0%	45.7%	17.4%	2.0%	-0.6%	71.5M	-1.77B	-4.8M	0.46	5.89	101,316	46,284	1,034,670	956,643
2017-10-20	$29.11	$28.33	17.1%	5.0%	19.9%	45.7%	17.5%	2.5%	-1.1%	62.9M	-1.88B	-7.4M	0.67	3.94	138,084	92,742	1,036,119	970,365
2017-10-23	$29.55	$28.33	17.7%	5.3%	19.9%	51.3%	19.0%	1.7%	-0.1%	61.8M	-1.56B	-4.7M	0.44	8.80	92,679	40,680	866,964	733,092
2017-10-24	$29.32	$28.33	17.5%	5.3%	20.4%	50.1%	19.0%	1.5%	0.0%	63.8M	-1.45B	-4.9M	0.45	6.47	119,235	53,934	888,693	749,388
2017-10-25	$29.52	$28.33	17.9%	5.4%	20.3%	53.4%	19.2%	2.0%	-0.3%	61.5M	-1.51B	-5.1M	0.57	3.86	59,670	33,933	920,073	781,848
2017-10-26	$29.58	$28.33	19.0%	5.7%	19.5%	64.1%	20.4%	1.9%	-0.7%	64.3M	-1.56B	-5.1M	0.88	22.41	78,885	69,045	930,549	791,148
2017-10-27	$29.39	$28.67	19.2%	6.0%	19.5%	65.7%	21.4%	1.7%	-0.3%	45.2M	-1.41B	-5.3M	0.88	3.75	52,266	45,906	954,915	830,247
2017-10-30	$28.99	$28.67	20.6%	6.7%	20.7%	79.6%	23.5%	2.1%	0.2%	48.8M	-1.13B	-5.4M	0.81	7.03	48,711	39,279	923,997	797,157
2017-10-31	$29.10	$28.67	19.9%	6.6%	20.7%	72.2%	23.0%	1.8%	0.3%	49.0M	-1.19B	-5.4M	0.44	6.58	58,191	25,659	923,457	810,858