WMT Options History — May 2018

In May 2018, WMT traded between $27.44 and $29.19. ATM implied volatility averaged 23.5%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.7% (HV 20d: 20.9%). Max pain ranged from $28.33 to $30.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.73.

Notable Days

2018-05-17: Highest Volume — 763,764 contracts
2018-05-17: Largest IV drop — 23.3% change
2018-05-09: Highest IV Rank — 71.6%
2018-05-02: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.10	$27.44	$29.19	$29.03	$27.56
Max Pain	$29.39	$28.33	$30.00	$29.17	$28.33
ATM IV	23.5%	17.0%	29.5%	26.9%	17.8%
Expected Move	6.8%	5.0%	9.8%	9.5%	5.3%
HV 20d	20.9%	15.3%	23.8%	15.4%	23.2%
HV 60d	26.6%	21.8%	31.9%	31.9%	22.0%
IV Rank	46.8%	19.2%	71.6%	60.7%	22.6%
IV Percentile	73.7%	36.1%	97.2%	92.9%	42.9%
Term Structure	-0.9%	-1.7%	0.1%	-1.1%	-0.8%
VWIV	23.8%	17.4%	34.8%	34.4%	18.6%
Skew 25d	2.5%	1.4%	4.5%	3.7%	1.7%
Skew 10d	5.0%	3.1%	8.5%	7.4%	3.6%
Call IV 25d	22.7%	16.1%	28.7%	25.2%	17.4%
Put IV 25d	25.2%	18.2%	31.1%	28.9%	19.1%
Bid-Ask Spread %	6.10	4.12	7.56	5.47	4.97
Gamma HHI	0.07	0.05	0.10	0.07	0.08
Net GEX	19.7M	-11.7M	50.4M	21.1M	37.9M
Net DEX	241.7M	-213.4M	733.5M	60.1M	195.7M
Net VEX	-6.6M	-7.1M	-6.2M	-6.9M	-6.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.42	1.31	1.02	0.89
Total Volume	260,715.136	100,329	763,764	128,682	190,452
Total OI	2,404,114.091	2,169,318	3,033,882	2,169,318	2,426,592

Daily Data (22 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
2018-05-01	$29.03	$29.17	26.9%	9.5%	15.4%	60.7%	34.4%	3.7%	-1.1%	21.1M	60.1M	-6.9M	1.02	5.47	63,579	65,103	1,280,493	888,825
2018-05-02	$28.78	$29.17	27.5%	9.8%	15.5%	63.4%	34.8%	3.7%	-1.5%	11.1M	200.5M	-6.9M	0.92	6.36	52,200	48,129	1,302,465	910,812
2018-05-03	$28.70	$30.00	28.1%	7.4%	15.3%	65.7%	25.0%	4.5%	-1.7%	6.6M	243.9M	-6.8M	0.79	5.74	61,431	48,786	1,313,676	919,509
2018-05-04	$29.19	$30.00	26.7%	6.9%	15.6%	59.9%	23.9%	4.0%	-1.7%	39.0M	-44.2M	-6.9M	0.91	6.16	78,003	71,220	1,327,986	928,206
2018-05-07	$28.48	$30.00	28.2%	7.6%	18.0%	66.2%	26.1%	3.5%	-1.0%	4.8M	325.1M	-6.5M	0.75	6.96	125,037	94,095	1,299,222	906,453
2018-05-08	$28.60	$30.00	28.0%	7.6%	18.0%	65.6%	26.4%	3.3%	-1.3%	11.4M	253.4M	-6.6M	0.55	6.95	98,043	54,162	1,362,468	955,143
2018-05-09	$27.62	$30.00	29.5%	8.0%	21.7%	71.6%	28.0%	2.3%	-1.5%	-11.7M	733.5M	-6.2M	0.60	6.29	365,118	218,832	1,395,540	967,164
2018-05-10	$27.61	$30.00	28.9%	7.9%	21.7%	69.0%	27.4%	2.0%	-1.7%	6.6M	559.5M	-6.6M	0.67	5.81	154,287	103,752	1,553,553	1,028,292
2018-05-11	$27.80	$30.00	27.8%	7.7%	21.8%	64.6%	26.6%	1.9%	-1.5%	13.5M	422.3M	-6.7M	0.53	5.60	158,592	83,850	1,580,427	1,038,246
2018-05-14	$28.15	$30.00	27.9%	7.8%	22.0%	64.9%	27.1%	1.7%	-0.9%	23.7M	134.7M	-6.9M	0.67	6.81	162,054	108,216	1,504,683	989,508
2018-05-15	$28.09	$30.00	28.4%	8.0%	21.3%	67.0%	27.9%	2.4%	-1.3%	24.5M	129.6M	-7.0M	0.77	5.34	101,709	78,669	1,562,352	1,033,635
2018-05-16	$28.64	$30.00	26.6%	7.6%	22.6%	59.7%	26.6%	1.4%	-1.1%	42.2M	-213.4M	-7.1M	0.58	5.61	346,437	199,374	1,581,537	1,054,779
2018-05-17	$28.05	$30.00	20.4%	5.9%	23.6%	33.8%	21.3%	1.6%	-0.0%	-3.8M	360.8M	-6.3M	0.48	6.97	516,120	247,644	1,660,749	1,122,708
2018-05-18	$27.88	$29.17	19.6%	5.7%	23.4%	30.3%	19.6%	2.4%	-0.5%	21.6M	447.5M	-6.6M	0.58	4.69	193,410	112,800	1,855,065	1,178,817
2018-05-21	$28.12	$29.17	18.0%	5.3%	23.6%	23.5%	18.8%	2.2%	-0.1%	40.3M	58.0M	-6.5M	0.42	5.64	152,451	64,734	1,348,410	824,973
2018-05-22	$27.84	$29.17	18.7%	5.5%	23.8%	26.6%	19.0%	2.1%	-0.2%	32.1M	166.4M	-6.6M	0.51	7.56	109,575	55,677	1,394,559	833,307
2018-05-23	$27.62	$29.17	18.5%	5.4%	23.1%	25.7%	19.4%	1.8%	-0.2%	20.7M	312.2M	-6.5M	1.31	6.80	116,208	151,926	1,422,930	861,729
2018-05-24	$27.59	$28.33	17.8%	5.2%	22.7%	22.9%	18.4%	1.8%	0.1%	19.8M	291.4M	-6.6M	1.05	4.12	97,563	102,156	1,459,383	867,054
2018-05-25	$27.47	$28.33	17.5%	5.1%	22.5%	21.7%	17.6%	1.9%	-0.1%	6.5M	355.2M	-6.4M	0.64	6.91	108,900	69,909	1,488,219	881,874
2018-05-29	$27.44	$28.33	18.4%	5.6%	21.5%	25.4%	19.6%	2.1%	-0.6%	14.3M	348.7M	-6.3M	0.75	7.04	83,895	63,084	1,422,216	853,536
2018-05-30	$28.03	$28.33	17.0%	5.0%	22.7%	19.2%	17.4%	2.1%	-0.7%	50.4M	-22.8M	-6.5M	0.55	6.46	231,171	127,380	1,440,129	863,286
2018-05-31	$27.56	$28.33	17.8%	5.3%	23.2%	22.6%	18.6%	1.7%	-0.8%	37.9M	195.7M	-6.7M	0.89	4.97	100,686	89,766	1,549,527	877,065