WMT Options History — June 2018

In June 2018, WMT traded between $27.64 and $29.02. ATM implied volatility averaged 16.3%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 2.8% (HV 20d: 19.1%). Max pain ranged from $28.00 to $28.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2018-06-04: Highest Volume — 298,989 contracts
  • 2018-06-25: Largest IV spike — 5.7% change
  • 2018-06-01: Highest IV Rank — 18.2%
  • 2018-06-28: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.20$27.64$29.02$27.64$28.62
Max Pain$28.25$28.00$28.33$28.33$28.33
ATM IV16.3%15.5%17.3%16.7%16.4%
Expected Move4.7%4.5%5.0%4.8%4.7%
HV 20d19.1%16.1%25.2%23.3%16.1%
HV 60d21.1%18.3%22.8%21.9%18.4%
IV Rank12.4%7.0%18.2%18.2%11.2%
IV Percentile25.0%11.1%39.7%32.1%26.2%
Term Structure0.2%-0.6%0.6%-0.6%0.3%
VWIV16.6%15.8%17.6%16.9%16.4%
Skew 25d1.7%1.0%2.6%2.0%2.1%
Skew 10d3.3%1.3%6.5%4.0%3.9%
Call IV 25d15.8%15.1%16.3%16.3%15.6%
Put IV 25d17.4%16.3%18.9%18.4%17.7%
Bid-Ask Spread %4.702.519.693.522.99
Gamma HHI0.110.090.160.160.11
Net GEX56.7M24.9M84.0M72.8M66.3M
Net DEX-193.3M-694.0M161.5M161.5M-372.5M
Net VEX-6.9M-7.4M-6.5M-6.7M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.141.950.760.35
Total Volume168,772.143107,472298,989183,870113,250
Total OI2,128,3101,632,3692,543,2652,467,6291,859,088

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$27.64$28.3316.7%4.8%23.3%18.2%16.9%2.0%-0.6%72.8M161.5M-6.7M0.763.52104,36779,5031,579,491888,138
2018-06-04$28.50$28.3316.1%4.8%25.2%15.9%16.4%1.5%0.4%84.0M-414.1M-7.1M0.525.72196,995101,9941,531,353862,056
2018-06-05$28.22$28.3316.6%4.8%23.9%17.8%16.9%1.5%0.2%65.7M-190.3M-7.1M1.052.6284,99389,1541,521,342872,517
2018-06-06$28.17$28.3316.0%4.7%23.9%12.3%16.4%1.5%0.3%62.8M-143.2M-7.0M1.952.9463,144123,1111,535,271899,163
2018-06-07$28.33$28.3316.2%4.8%20.3%13.2%16.9%1.3%0.2%72.7M-261.5M-7.1M1.163.1677,92590,2041,543,083903,474
2018-06-08$28.11$28.3316.1%4.7%20.5%12.2%16.4%1.6%0.1%53.4M-69.9M-6.8M0.742.85105,51378,2881,545,360908,088
2018-06-11$28.13$28.3316.0%4.6%20.4%11.8%16.5%1.4%0.1%50.8M-71.7M-6.8M0.802.5188,54870,8751,523,763898,359
2018-06-12$27.99$28.3316.1%4.7%20.0%12.5%16.7%1.3%0.1%42.3M10.6M-6.6M0.783.2481,01563,0211,547,283905,679
2018-06-13$28.05$28.3316.0%4.6%20.0%11.7%16.4%1.5%0.1%49.3M-29.3M-6.7M1.007.7053,69153,7811,555,851911,298
2018-06-14$27.94$28.3315.6%4.5%18.7%10.1%16.0%1.0%0.3%42.4M15.1M-6.6M1.216.5085,458103,3741,566,360908,706
2018-06-15$27.83$28.3315.5%4.6%17.2%7.0%15.8%1.2%0.6%29.1M111.3M-6.7M0.936.6398,36491,8061,591,479951,786
2018-06-18$27.67$28.3316.1%4.6%17.2%9.6%16.6%1.0%-0.1%24.9M9.6M-6.5M0.543.7073,03839,708972,531659,838
2018-06-19$27.80$28.3316.3%4.7%17.0%10.7%16.3%1.3%0.0%32.9M-61.6M-6.7M0.662.9979,98952,5421,007,901675,060
2018-06-20$27.90$28.3316.2%4.6%16.7%10.0%16.0%1.3%0.3%40.1M-104.2M-6.9M0.322.8995,80531,0381,040,571702,693
2018-06-21$28.01$28.0016.9%4.8%16.5%13.2%17.0%1.9%0.3%47.5M-161.8M-6.9M0.278.08165,24344,6731,049,682708,042
2018-06-22$28.24$28.0015.9%4.6%16.7%8.9%16.1%1.8%-0.1%65.4M-318.4M-7.0M0.524.2291,88147,9941,108,422719,736
2018-06-25$28.78$28.0016.8%4.9%17.7%13.0%17.5%2.1%0.4%69.7M-579.6M-7.4M0.395.62145,89956,5111,083,336693,051
2018-06-26$28.69$28.0016.8%4.8%17.7%12.7%16.8%2.6%0.0%70.9M-495.4M-7.3M0.562.7871,66740,3801,084,299713,478
2018-06-27$29.02$28.0016.9%4.9%16.6%13.5%16.7%2.5%0.2%82.9M-694.0M-7.4M0.149.69258,61536,4321,098,867723,501
2018-06-28$28.64$28.3317.3%5.0%16.1%15.2%17.6%2.6%0.1%64.9M-400.0M-7.3M0.478.4577,71236,7141,113,480731,034
2018-06-29$28.62$28.3316.4%4.7%16.1%11.2%16.4%2.1%0.3%66.3M-372.5M-7.1M0.352.9984,02129,2291,120,770738,318