WMT Options History — March 2018

In March 2018, WMT traded between $28.51 and $30.11. ATM implied volatility averaged 20.5%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 14.7% (HV 20d: 35.2%). Max pain ranged from $30.00 to $31.67. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2018-03-01: Highest Volume — 401,475 contracts
  • 2018-03-22: Largest IV spike — 13.0% change
  • 2018-03-23: Highest IV Rank — 44.7%
  • 2018-03-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.37$28.51$30.11$29.69$29.68
Max Pain$30.36$30.00$31.67$31.67$30.00
ATM IV20.5%18.0%23.0%22.2%19.5%
Expected Move5.9%5.1%6.7%6.7%5.5%
HV 20d35.2%19.0%45.8%44.9%23.7%
HV 60d29.8%29.0%31.4%29.0%31.4%
IV Rank34.2%23.6%44.7%41.2%30.0%
IV Percentile82.4%65.9%92.9%91.3%75.4%
Term Structure-0.1%-0.7%0.5%-0.5%-0.3%
VWIV20.9%18.3%23.6%23.6%19.5%
Skew 25d2.2%1.4%3.3%1.6%2.8%
Skew 10d4.5%2.6%6.5%3.6%5.0%
Call IV 25d20.0%17.6%22.4%22.4%18.5%
Put IV 25d22.2%19.0%25.2%23.9%21.3%
Bid-Ask Spread %6.252.4812.576.775.63
Gamma HHI0.090.070.100.080.10
Net GEX8.4M-15.7M49.4M-15.7M49.4M
Net DEX469.8M-221.7M951.2M777.4M-221.7M
Net VEX-8.5M-8.9M-8.2M-8.2M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.331.140.700.44
Total Volume228,719.143116,499401,475401,475179,928
Total OI2,766,279.8572,275,3083,218,3732,838,2342,432,739

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$29.69$31.6722.2%6.7%44.9%41.2%23.6%1.6%-0.5%-15.7M777.4M-8.2M0.706.77236,727164,7481,668,8941,169,340
2018-03-02$29.63$31.6721.6%6.4%45.0%38.7%22.6%2.7%-0.2%-10.2M829.5M-8.4M0.684.76183,291124,8691,759,0651,220,535
2018-03-05$30.11$30.8321.0%6.0%45.8%36.4%21.3%2.0%-0.1%4.8M435.6M-8.8M0.337.09189,51062,5321,660,3651,215,840
2018-03-06$29.66$30.8320.5%5.9%44.6%34.2%20.9%1.6%0.3%-3.2M733.7M-8.3M0.363.19203,81472,5911,716,7771,228,128
2018-03-07$29.23$30.8321.3%6.2%44.6%37.5%21.8%1.5%0.0%-8.9M951.2M-8.2M0.544.15143,37077,1391,791,5281,258,503
2018-03-08$29.27$30.8320.0%5.8%43.2%31.9%20.2%1.5%0.1%-1.6M869.3M-8.4M0.655.75129,92483,8891,820,6461,278,138
2018-03-09$29.53$30.8318.6%5.5%42.9%26.1%19.2%1.9%0.2%6.6M637.9M-8.4M0.662.48191,505126,0361,838,3611,277,640
2018-03-12$29.39$30.0019.5%5.7%42.9%29.9%19.7%1.9%0.5%-983.7K687.4M-8.8M0.414.86142,08357,5611,787,7481,281,837
2018-03-13$29.42$30.0019.5%5.7%42.9%29.8%19.9%2.2%0.4%6.3M635.3M-8.7M0.555.1898,58954,4411,835,2021,288,245
2018-03-14$29.25$30.0019.9%5.8%42.2%31.4%20.4%1.8%0.3%-1.4M746.8M-8.5M0.475.35152,32871,9611,846,1611,285,842
2018-03-15$29.21$30.0020.4%5.7%41.9%33.7%20.1%2.1%-0.7%5.8M720.9M-8.7M1.146.98148,500169,4911,891,1851,286,034
2018-03-16$29.94$30.0018.0%5.1%42.8%23.6%18.3%1.4%-0.2%39.2M146.7M-8.9M0.617.77220,116133,3501,893,5311,324,842
2018-03-19$29.19$30.0020.3%5.8%42.4%33.2%20.6%1.9%-0.2%10.4M221.4M-8.5M0.399.40207,64280,0911,329,456945,852
2018-03-20$29.33$30.0019.5%5.6%22.0%29.9%19.7%2.2%-0.2%15.4M124.4M-8.7M0.668.2870,64446,4041,374,873975,414
2018-03-21$29.45$30.0019.1%5.5%19.8%28.5%19.3%1.9%-0.2%23.9M34.5M-8.7M0.5510.3899,09354,1051,391,685980,826
2018-03-22$29.13$30.0021.6%6.2%19.0%38.8%22.6%2.7%-0.0%8.0M234.6M-8.7M0.6212.57121,32074,6941,398,600981,981
2018-03-23$28.51$30.0023.0%6.7%20.1%44.7%22.9%2.8%-0.5%1.4M608.5M-8.3M0.865.48119,760102,7231,445,8201,009,515
2018-03-26$29.20$30.0020.9%6.0%22.3%35.6%21.1%2.9%0.1%19.8M148.4M-8.7M0.834.0976,62363,4261,386,843994,503
2018-03-27$28.67$30.0022.2%6.4%22.6%41.4%22.8%2.5%-0.1%1.2M458.9M-8.3M0.745.5466,76549,7341,400,2111,003,614
2018-03-28$29.26$30.0022.2%6.3%23.4%41.3%21.9%3.3%-0.6%26.3M85.7M-8.7M0.625.4893,74158,0441,406,5441,009,014
2018-03-29$29.68$30.0019.5%5.5%23.7%30.0%19.5%2.8%-0.3%49.4M-221.7M-8.6M0.445.63124,95954,9691,415,3791,017,360