WMT Options History — April 2018

In April 2018, WMT traded between $28.55 and $29.52. ATM implied volatility averaged 23.9%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 0.5% (HV 20d: 24.4%). Max pain ranged from $29.17 to $30.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2018-04-02: Highest Volume — 287,952 contracts
  • 2018-04-06: Largest IV spike — 9.0% change
  • 2018-04-24: Highest IV Rank — 67.6%
  • 2018-04-30: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.99$28.55$29.52$28.56$29.52
Max Pain$29.79$29.17$30.00$30.00$29.17
ATM IV23.9%19.9%28.5%24.5%26.1%
Expected Move7.6%6.1%9.0%7.3%9.0%
HV 20d24.4%14.9%27.3%27.3%14.9%
HV 60d32.0%31.5%32.4%32.2%31.8%
IV Rank48.4%31.6%67.6%50.8%57.4%
IV Percentile89.2%76.6%95.6%92.9%91.7%
Term Structure0.5%-2.1%6.4%0.1%-1.2%
VWIV26.9%21.7%31.4%25.6%31.3%
Skew 25d3.2%2.4%4.0%3.3%3.4%
Skew 10d6.5%3.8%8.4%7.2%6.7%
Call IV 25d22.6%18.0%27.1%23.2%24.2%
Put IV 25d25.8%20.7%30.8%26.4%27.6%
Bid-Ask Spread %5.923.4510.975.884.20
Gamma HHI0.090.060.160.090.07
Net GEX9.1M-30.2M46.0M-3.2M33.0M
Net DEX253.1M-189.3M663.3M511.3M-189.3M
Net VEX-7.4M-8.2M-6.8M-8.0M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.481.360.660.48
Total Volume134,958.57181,405287,952287,952147,948
Total OI2,380,057.2861,986,3182,615,2292,344,5632,125,992

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$28.56$30.0024.5%7.3%27.3%50.8%25.6%3.3%0.1%-3.2M511.3M-8.0M0.665.88173,172114,7801,352,784991,779
2018-04-03$28.97$29.8322.5%6.5%27.2%42.5%22.8%2.9%-0.6%6.7M300.5M-8.2M0.614.3583,36750,9761,419,0091,039,791
2018-04-04$29.16$29.8321.1%6.1%26.9%36.4%21.7%2.6%0.2%15.4M179.3M-8.2M0.753.4555,03241,0371,423,9981,049,085
2018-04-05$29.35$30.0019.9%7.1%26.5%31.6%24.8%2.6%0.7%25.8M39.5M-8.1M0.695.1765,27144,9071,428,2401,049,160
2018-04-06$28.90$30.0021.7%7.5%27.0%39.1%27.1%2.9%0.4%192.4K371.3M-7.9M1.186.0153,67363,5701,435,7911,057,974
2018-04-09$28.92$30.0021.9%7.5%26.8%40.0%26.0%3.4%4.0%-6.1M395.8M-7.6M0.584.1856,76632,8951,393,6651,040,937
2018-04-10$28.85$30.0021.0%7.4%26.8%36.1%26.6%3.1%4.8%-10.0M450.2M-7.5M0.604.9458,51835,1061,414,4281,046,154
2018-04-11$28.70$30.0020.2%7.6%26.8%32.7%26.7%2.8%6.3%-19.1M539.5M-7.4M0.836.7749,77941,0731,434,6181,052,043
2018-04-12$28.55$30.0020.8%7.3%26.8%35.2%25.5%2.4%5.7%-30.2M663.3M-7.0M0.806.3769,52855,8931,443,7381,052,700
2018-04-13$28.67$30.0021.7%7.4%26.9%39.1%24.5%2.7%6.4%-28.1M573.0M-7.1M0.978.4187,41784,4681,467,3091,065,966
2018-04-16$28.95$30.0022.7%6.9%25.5%43.1%24.7%3.1%-0.5%-2.1M405.5M-7.0M0.837.4290,06074,5951,458,9631,052,733
2018-04-17$29.33$30.0023.4%6.9%24.4%46.0%24.3%3.0%-1.2%27.3M64.7M-7.0M0.824.1891,30875,0961,475,1361,076,160
2018-04-18$29.22$30.0024.7%7.1%24.4%51.5%26.5%3.2%-1.6%21.6M160.4M-7.0M1.344.3565,32287,5941,477,7851,066,518
2018-04-19$29.30$29.1726.5%7.7%24.3%59.0%26.6%3.3%-1.7%23.1M92.6M-7.3M0.9710.9776,52474,3671,487,9041,082,430
2018-04-20$28.96$30.0027.3%8.0%24.4%62.6%28.3%4.0%-1.4%9.1M448.3M-7.0M1.369.0696,549131,0551,512,1561,103,073
2018-04-23$28.74$30.0027.7%8.4%23.2%64.3%29.0%3.5%-1.6%10.9M212.0M-6.8M0.654.2552,63234,4521,164,411821,907
2018-04-24$28.67$30.0028.5%8.7%21.5%67.6%30.2%3.5%-2.1%10.9M222.8M-6.8M0.566.2589,77250,1271,188,375832,914
2018-04-25$29.10$29.1728.1%8.9%21.2%65.7%30.7%4.0%-1.9%29.7M925.4K-7.2M0.507.5573,06836,7441,241,766860,112
2018-04-26$29.37$29.1725.9%8.3%20.2%56.8%30.3%3.7%-1.6%46.0M-141.6M-7.3M0.815.3844,86236,5431,267,299871,101
2018-04-27$29.08$29.1726.4%8.5%19.8%58.8%31.4%3.8%-1.8%29.7M15.8M-7.1M1.145.2141,21147,0731,278,201877,098
2018-04-30$29.52$29.1726.1%9.0%14.9%57.4%31.3%3.4%-1.2%33.0M-189.3M-7.1M0.484.20100,00847,9401,247,760878,232