WMT Options History — December 2017

In December 2017, WMT traded between $32.15 and $33.13. ATM implied volatility averaged 16.6%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 7.7% (HV 20d: 24.2%). Max pain ranged from $29.17 to $31.67. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.44.

Notable Days

2017-12-06: Highest Volume — 1,098,294 contracts
2017-12-15: Largest IV drop — 12.7% change
2017-12-14: Highest IV Rank — 55.6%
2017-12-14: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.61	$32.15	$33.13	$32.41	$32.98
Max Pain	$30.75	$29.17	$31.67	$30.00	$31.67
ATM IV	16.6%	15.3%	18.0%	17.0%	16.2%
Expected Move	4.8%	4.5%	5.2%	5.1%	4.5%
HV 20d	24.2%	9.2%	38.6%	38.6%	9.7%
HV 60d	25.7%	25.6%	25.9%	25.9%	25.6%
IV Rank	41.4%	29.2%	55.6%	45.6%	38.1%
IV Percentile	48.6%	33.3%	74.2%	55.6%	40.5%
Term Structure	0.3%	-0.3%	0.9%	0.7%	0.4%
VWIV	17.9%	16.1%	29.7%	18.5%	16.1%
Skew 25d	0.6%	-0.2%	1.4%	0.6%	1.0%
Skew 10d	1.3%	0.0%	5.0%	1.7%	2.1%
Call IV 25d	16.8%	15.9%	18.5%	17.0%	16.0%
Put IV 25d	17.4%	15.7%	19.1%	17.6%	17.0%
Bid-Ask Spread %	4.56	2.61	6.80	4.77	3.28
Gamma HHI	0.16	0.12	0.22	0.17	0.19
Net GEX	87.9M	57.8M	112.4M	81.1M	78.9M
Net DEX	-1.56B	-2.25B	-1.11B	-2.20B	-1.58B
Net VEX	-6.0M	-6.3M	-5.7M	-6.3M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.04	0.65	0.49	0.42
Total Volume	182,856.3	71,109	1,098,294	190,278	122,277
Total OI	2,039,173.2	1,776,309	2,390,898	2,390,898	1,922,373

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
2017-12-01	$32.41	$30.00	17.0%	5.1%	38.6%	45.6%	18.5%	0.6%	0.7%	81.1M	-2.20B	-6.3M	0.49	4.77	128,043	62,235	1,281,540	1,109,358
2017-12-04	$32.35	$29.17	17.7%	5.2%	38.6%	52.3%	19.4%	1.4%	0.6%	77.8M	-2.04B	-6.1M	0.34	4.50	141,399	47,394	1,206,486	1,037,286
2017-12-05	$32.62	$29.17	17.2%	5.1%	38.3%	47.2%	18.5%	0.9%	0.6%	95.9M	-2.25B	-6.2M	0.51	3.91	70,065	35,679	1,249,515	1,050,996
2017-12-06	$32.43	$29.17	16.5%	4.9%	38.4%	41.0%	29.7%	0.7%	0.2%	92.6M	-2.10B	-6.3M	0.04	2.61	1,055,226	43,068	1,259,835	1,056,849
2017-12-07	$32.27	$30.83	16.0%	4.7%	38.4%	35.8%	17.8%	0.4%	0.6%	82.1M	-1.18B	-6.1M	0.57	2.72	98,928	56,718	983,517	1,066,536
2017-12-08	$32.15	$30.83	15.3%	4.5%	38.5%	29.2%	16.4%	-0.2%	0.9%	57.8M	-1.11B	-6.0M	0.56	2.82	87,918	49,305	984,798	1,085,604
2017-12-11	$32.34	$30.83	16.4%	4.8%	38.5%	40.3%	17.0%	0.6%	0.1%	85.5M	-1.22B	-5.9M	0.65	3.79	87,177	56,328	967,380	1,066,260
2017-12-12	$32.24	$30.83	16.3%	4.8%	38.5%	39.1%	17.2%	1.0%	0.3%	80.8M	-1.16B	-5.9M	0.55	5.22	50,799	27,942	994,881	1,091,817
2017-12-13	$32.60	$30.83	16.2%	4.8%	38.6%	37.3%	17.4%	0.2%	0.6%	112.4M	-1.44B	-5.8M	0.29	5.76	136,047	39,078	998,892	1,094,682
2017-12-14	$32.37	$30.83	18.0%	5.2%	38.3%	55.6%	18.5%	0.2%	-0.1%	95.6M	-1.26B	-6.3M	0.37	3.87	135,891	50,253	1,029,678	1,101,981
2017-12-15	$32.31	$30.83	15.7%	4.6%	11.6%	33.2%	16.8%	0.1%	0.6%	109.5M	-1.24B	-6.0M	0.36	5.90	124,188	44,967	1,070,646	1,123,851
2017-12-18	$32.63	$30.83	16.9%	4.9%	9.8%	44.8%	17.4%	0.5%	0.3%	78.3M	-1.42B	-6.0M	0.48	3.25	69,450	33,495	878,094	898,215
2017-12-19	$32.96	$30.83	16.9%	4.9%	10.4%	44.8%	17.1%	0.6%	0.0%	84.2M	-1.61B	-5.8M	0.29	5.67	145,152	41,724	897,138	909,930
2017-12-20	$32.93	$30.83	16.3%	4.7%	9.2%	38.4%	16.4%	0.9%	-0.3%	98.1M	-1.60B	-5.9M	0.56	6.18	84,336	47,604	925,605	926,832
2017-12-21	$32.69	$30.83	16.3%	4.7%	9.7%	38.8%	16.6%	0.5%	-0.1%	87.9M	-1.41B	-6.0M	0.55	4.80	85,332	46,650	935,409	952,110
2017-12-22	$32.72	$31.67	16.0%	4.6%	9.7%	35.9%	16.4%	0.6%	0.1%	102.3M	-1.43B	-6.2M	0.50	4.98	63,195	31,419	962,955	973,746
2017-12-26	$33.03	$31.67	16.9%	4.9%	10.1%	45.0%	17.0%	0.4%	-0.1%	82.4M	-1.62B	-5.7M	0.33	6.80	82,161	27,519	925,596	945,177
2017-12-27	$33.08	$31.67	16.9%	4.8%	10.1%	45.1%	17.1%	0.5%	0.1%	87.9M	-1.66B	-5.7M	0.58	5.45	45,144	25,965	944,586	955,416
2017-12-28	$33.13	$31.67	16.5%	4.8%	9.7%	41.0%	17.2%	0.5%	0.1%	87.5M	-1.69B	-5.9M	0.43	4.87	54,045	23,010	953,907	963,987
2017-12-29	$32.98	$31.67	16.2%	4.5%	9.7%	38.1%	16.1%	1.0%	0.4%	78.9M	-1.58B	-5.7M	0.42	3.28	86,019	36,258	954,876	967,497