WMT Options History — February 2018

In February 2018, WMT traded between $30.05 and $35.18. ATM implied volatility averaged 27.0%, placing in the 66.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 4.1% (HV 20d: 31.1%). Max pain ranged from $31.67 to $32.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.67.

Notable Days

2018-02-20: Highest Volume — 1,019,310 contracts
2018-02-12: Largest IV drop — 17.1% change
2018-02-05: Highest IV Rank — 100.0%
2018-02-09: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.83	$30.05	$35.18	$35.18	$30.05
Max Pain	$32.02	$31.67	$32.50	$31.67	$31.67
ATM IV	27.0%	19.2%	36.3%	26.3%	21.2%
Expected Move	7.7%	5.6%	9.8%	6.9%	6.6%
HV 20d	31.1%	16.5%	46.3%	16.5%	44.9%
HV 60d	25.6%	16.8%	28.9%	24.6%	28.9%
IV Rank	66.7%	28.7%	100.0%	78.0%	37.2%
IV Percentile	94.2%	80.6%	100.0%	98.8%	86.9%
Term Structure	-1.1%	-2.7%	0.2%	-0.9%	-0.3%
VWIV	27.0%	19.8%	35.7%	24.7%	23.4%
Skew 25d	2.3%	-1.4%	8.9%	0.2%	1.0%
Skew 10d	4.1%	-1.6%	17.6%	0.0%	2.3%
Call IV 25d	26.5%	19.3%	35.1%	26.9%	21.5%
Put IV 25d	28.8%	20.4%	44.0%	27.1%	22.5%
Bid-Ask Spread %	9.41	4.91	50.88	5.78	4.91
Gamma HHI	0.15	0.07	0.63	0.18	0.07
Net GEX	53.8M	-14.4M	309.3M	72.0M	-3.3M
Net DEX	-753.9M	-2.07B	584.1M	-1.95B	541.4M
Net VEX	-7.9M	-8.5M	-6.6M	-7.6M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.45	1.11	0.60	0.72
Total Volume	326,071.263	99,243	1,019,310	99,243	259,140
Total OI	2,301,990	1,888,542	2,946,768	1,902,195	2,770,968

Daily Data (19 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
2018-02-01	$35.18	$31.67	26.3%	6.9%	16.5%	78.0%	24.7%	0.2%	-0.9%	72.0M	-1.95B	-7.6M	0.60	5.78	62,055	37,188	1,221,054	681,141
2018-02-02	$34.81	$31.67	27.4%	7.3%	17.1%	84.4%	26.1%	1.1%	-0.8%	70.1M	-1.73B	-7.6M	0.46	6.40	120,933	55,179	1,233,432	683,721
2018-02-05	$33.54	$31.67	31.3%	8.8%	22.1%	100.0%	30.9%	-1.4%	-0.3%	51.6M	-1.07B	-7.8M	0.77	50.88	84,882	65,778	1,222,179	666,363
2018-02-06	$33.59	$31.67	32.6%	8.9%	21.4%	100.0%	31.0%	2.8%	-1.6%	50.6M	-1.08B	-7.8M	0.61	8.15	147,120	89,073	1,244,655	686,334
2018-02-07	$34.40	$31.67	29.4%	7.8%	22.5%	84.2%	27.8%	2.4%	-2.3%	72.7M	-1.59B	-7.8M	1.11	6.54	134,391	149,220	1,293,339	707,952
2018-02-08	$33.45	$32.50	33.3%	9.3%	24.7%	100.0%	32.3%	5.3%	-0.9%	47.0M	-933.4M	-8.3M	0.93	7.61	98,094	91,689	1,342,929	802,449
2018-02-09	$33.15	$32.50	36.3%	9.8%	24.9%	100.0%	35.7%	8.9%	-2.7%	30.9M	-730.7M	-8.3M	0.70	9.23	145,041	102,198	1,356,039	821,634
2018-02-12	$33.18	$32.50	30.1%	8.5%	24.7%	74.1%	32.5%	4.7%	-1.0%	43.1M	-755.1M	-7.9M	0.94	7.38	84,372	79,224	1,335,066	811,137
2018-02-13	$33.68	$32.50	30.9%	8.8%	25.3%	77.7%	29.7%	5.1%	-2.6%	55.4M	-1.10B	-7.9M	0.87	5.59	69,309	60,411	1,361,136	853,623
2018-02-14	$33.92	$32.50	28.7%	8.2%	24.5%	68.5%	27.6%	3.5%	-2.5%	56.0M	-1.28B	-7.7M	0.46	9.12	203,376	92,547	1,378,113	880,383
2018-02-15	$34.39	$32.50	29.0%	8.4%	24.3%	69.6%	29.5%	2.8%	-1.6%	76.4M	-1.69B	-7.8M	0.58	7.90	148,008	86,241	1,430,529	922,323
2018-02-16	$34.96	$32.50	29.3%	8.6%	25.0%	70.8%	29.8%	3.1%	-1.7%	309.3M	-2.07B	-7.8M	0.53	12.27	267,069	142,794	1,457,214	938,862
2018-02-20	$31.43	$32.50	24.9%	7.4%	45.1%	52.3%	26.1%	0.4%	0.2%	1.5M	64.9M	-6.6M	0.61	5.76	633,858	385,452	1,183,203	848,970
2018-02-21	$30.50	$31.67	22.3%	6.6%	45.7%	41.7%	23.6%	0.1%	-0.1%	-14.4M	584.1M	-7.1M	0.77	5.72	540,624	414,075	1,439,745	1,039,938
2018-02-22	$30.96	$31.67	21.3%	6.3%	46.3%	37.3%	22.2%	1.0%	-0.2%	14.6M	146.3M	-8.4M	0.45	6.33	354,363	159,756	1,649,724	1,193,070
2018-02-23	$30.93	$31.67	19.5%	5.6%	46.1%	29.8%	19.8%	0.9%	-0.2%	30.7M	187.9M	-8.4M	0.51	7.69	221,739	112,437	1,727,928	1,218,840
2018-02-26	$31.01	$31.67	19.2%	5.7%	45.4%	28.7%	20.1%	1.1%	-0.3%	40.1M	-82.9M	-8.4M	0.50	6.19	170,613	85,821	1,543,482	1,089,051
2018-02-27	$30.57	$31.67	20.2%	5.9%	44.9%	33.0%	21.1%	1.5%	-0.8%	19.0M	222.4M	-8.5M	0.55	5.28	155,880	85,404	1,583,433	1,117,851
2018-02-28	$30.05	$31.67	21.2%	6.6%	44.9%	37.2%	23.4%	1.0%	-0.3%	-3.3M	541.4M	-8.3M	0.72	4.91	150,222	108,918	1,631,250	1,139,718