WMT Options History — November 2017

In November 2017, WMT traded between $29.34 and $33.16. ATM implied volatility averaged 19.4%, placing in the 70.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 7.3% (HV 20d: 26.7%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2017-11-16: Highest Volume — 957,423 contracts
  • 2017-11-16: Largest IV drop — 15.2% change
  • 2017-11-09: Highest IV Rank — 100.0%
  • 2017-11-01: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.11$29.34$33.16$29.34$32.39
Max Pain$28.48$27.50$30.00$28.67$30.00
ATM IV19.4%15.8%22.6%20.5%17.4%
Expected Move5.6%4.9%6.8%6.8%5.3%
HV 20d26.7%12.3%39.1%20.5%38.5%
HV 60d20.9%15.9%26.1%16.2%25.9%
IV Rank70.4%33.8%100.0%78.0%49.2%
IV Percentile79.6%40.9%100.0%92.9%63.9%
Term Structure-0.5%-1.4%0.7%-0.1%0.4%
VWIV20.2%17.5%23.9%23.9%19.2%
Skew 25d1.6%-0.0%2.7%1.8%0.7%
Skew 10d3.1%-0.1%5.2%3.9%1.4%
Call IV 25d18.8%15.7%21.7%19.7%17.1%
Put IV 25d20.4%16.6%23.7%21.5%17.8%
Bid-Ask Spread %7.292.9024.874.626.48
Gamma HHI0.120.100.170.100.14
Net GEX48.3M1.1M91.0M57.5M83.8M
Net DEX-1.83B-2.96B-1.23B-1.38B-2.14B
Net VEX-5.5M-6.2M-3.9M-5.3M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.293.510.620.45
Total Volume246,473.42969,093957,423106,635173,835
Total OI2,111,849.2861,761,1202,600,7481,761,1202,344,089

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$29.34$28.6720.5%6.8%20.5%78.0%23.9%1.8%-0.1%57.5M-1.38B-5.3M0.624.6265,96740,668946,515814,605
2017-11-02$29.60$27.5020.3%5.6%20.6%76.4%19.8%2.0%-0.2%60.1M-1.52B-5.3M0.834.0454,06644,763962,604830,610
2017-11-03$29.86$27.5020.4%5.6%20.1%77.9%20.1%1.8%0.1%59.1M-1.67B-5.1M0.475.3777,78136,393963,879836,334
2017-11-06$29.58$27.5021.3%6.0%20.3%86.1%20.6%2.7%-0.6%57.7M-1.45B-5.2M0.895.8154,09648,366963,948813,939
2017-11-07$29.62$27.5021.3%5.8%13.7%96.3%21.3%2.4%-1.4%55.9M-1.46B-5.2M1.133.5332,46336,630970,737833,862
2017-11-08$30.06$27.5021.4%5.9%13.2%96.6%21.1%2.3%-0.7%59.4M-1.71B-5.1M3.514.2883,778293,844975,057847,176
2017-11-09$30.13$27.5021.8%6.1%13.2%100.0%21.6%2.5%-0.8%11.8M-1.45B-5.9M0.572.9058,41333,012983,2981,101,273
2017-11-10$30.32$27.5022.0%6.1%13.2%100.0%21.5%2.7%-1.0%16.3M-1.60B-5.6M0.565.6496,56754,198990,7711,106,385
2017-11-13$30.32$27.5022.4%6.4%12.3%100.0%23.0%2.3%-1.2%10.1M-1.54B-5.6M0.869.52107,84792,898989,7931,091,844
2017-11-14$30.39$27.5022.0%6.3%12.3%95.9%22.7%2.3%-0.9%7.9M-1.58B-5.6M0.897.1773,12565,4091,029,8401,145,052
2017-11-15$29.96$28.3322.6%6.5%13.7%100.0%23.3%1.8%-1.2%1.1M-1.23B-5.8M1.3910.23111,324154,9231,039,2541,164,237
2017-11-16$33.16$28.3319.1%5.5%37.8%66.5%20.5%1.2%-0.9%33.9M-2.96B-3.9M0.514.57632,601324,8221,066,2961,262,205
2017-11-17$32.49$28.3318.0%5.2%39.0%55.5%18.5%0.6%-0.7%21.6M-2.61B-4.9M0.494.41532,338262,5541,168,6201,432,128
2017-11-20$32.54$29.1717.2%5.2%38.9%47.9%19.0%-0.0%-0.2%63.4M-2.13B-5.7M0.4615.62200,43691,7491,121,5711,048,290
2017-11-21$32.14$29.1716.6%4.9%39.1%42.0%18.0%2.0%-0.5%48.9M-1.90B-5.7M0.549.93129,78070,7131,129,8361,054,956
2017-11-22$32.13$29.1717.0%5.1%39.1%45.5%18.0%1.0%-1.0%51.9M-1.89B-6.0M0.5210.13157,80981,2671,155,4861,073,907
2017-11-24$32.21$29.3317.3%5.1%39.1%48.1%18.2%1.1%-0.6%74.1M-2.00B-6.0M0.4424.87120,90653,2741,208,7241,108,062
2017-11-27$32.21$30.0016.0%5.0%39.0%35.7%17.5%0.9%0.4%70.2M-1.98B-5.9M0.434.88125,80554,4621,159,5931,044,093
2017-11-28$32.25$30.0015.8%5.0%38.4%33.8%17.8%0.8%0.7%77.7M-2.05B-5.8M0.514.31113,33458,1161,195,7341,060,269
2017-11-29$32.54$30.0017.1%5.3%38.4%46.6%19.6%0.9%-0.2%91.0M-2.27B-6.1M0.294.85214,33261,2781,234,0501,079,913
2017-11-30$32.39$30.0017.4%5.3%38.5%49.2%19.2%0.7%0.4%83.8M-2.14B-6.2M0.456.48119,72754,1081,250,1931,093,896