WMT Options History — September 2018

In September 2018, WMT traded between $31.28 and $32.34. ATM implied volatility averaged 17.2%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 4.4% (HV 20d: 21.5%). Max pain ranged from $30.83 to $31.67. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.60.

Notable Days

2018-09-21: Highest Volume — 217,512 contracts
2018-09-17: Largest IV spike — 12.9% change
2018-09-19: Highest IV Rank — 21.5%
2018-09-27: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.83	$31.28	$32.34	$31.88	$31.28
Max Pain	$31.27	$30.83	$31.67	$30.83	$31.67
ATM IV	17.2%	15.0%	19.0%	15.0%	18.0%
Expected Move	5.2%	4.3%	5.6%	4.3%	5.5%
HV 20d	21.5%	9.9%	35.8%	35.7%	10.2%
HV 60d	23.0%	22.3%	23.3%	23.0%	22.4%
IV Rank	13.3%	4.9%	21.5%	4.9%	17.1%
IV Percentile	29.1%	4.8%	48.0%	4.8%	43.7%
Term Structure	0.2%	-1.4%	2.6%	0.2%	-0.7%
VWIV	18.5%	15.7%	19.6%	15.7%	19.5%
Skew 25d	1.0%	0.6%	1.5%	0.6%	1.4%
Skew 10d	1.9%	0.4%	3.1%	0.4%	3.1%
Call IV 25d	17.1%	15.2%	18.9%	15.2%	18.0%
Put IV 25d	18.1%	15.8%	20.1%	15.8%	19.4%
Bid-Ask Spread %	7.10	2.27	10.87	9.91	3.81
Gamma HHI	0.14	0.11	0.20	0.13	0.14
Net GEX	84.6M	48.3M	120.3M	91.7M	48.3M
Net DEX	-1.06B	-1.43B	-532.1M	-1.19B	-532.1M
Net VEX	-6.6M	-6.8M	-6.4M	-6.6M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.36	1.07	0.51	0.68
Total Volume	136,627.263	79,974	217,512	123,444	100,485
Total OI	1,973,102.211	1,749,387	2,158,908	1,909,008	1,868,946

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
2018-09-04	$31.88	$30.83	15.0%	4.3%	35.7%	4.9%	15.7%	0.6%	0.2%	91.7M	-1.19B	-6.6M	0.51	9.91	81,690	41,754	1,196,745	712,263
2018-09-05	$32.21	$30.83	15.7%	4.5%	35.8%	6.5%	16.2%	0.6%	-0.0%	103.1M	-1.43B	-6.6M	0.39	4.78	138,978	53,700	1,220,979	731,427
2018-09-06	$32.17	$30.83	16.4%	5.0%	35.8%	9.9%	17.8%	0.7%	-0.3%	105.3M	-1.37B	-6.7M	0.65	4.10	73,827	48,213	1,227,270	750,300
2018-09-07	$31.97	$30.83	15.7%	5.0%	35.6%	6.8%	17.7%	0.9%	0.1%	110.8M	-1.24B	-6.8M	0.52	8.43	107,781	56,505	1,235,571	763,383
2018-09-10	$32.34	$30.83	15.9%	5.1%	35.6%	7.7%	17.9%	0.8%	1.8%	90.4M	-1.41B	-6.7M	0.38	2.27	104,379	39,894	1,201,368	758,250
2018-09-11	$32.19	$30.83	16.0%	5.2%	35.5%	7.8%	18.7%	0.9%	2.3%	89.8M	-1.35B	-6.6M	0.54	9.23	81,051	44,046	1,226,820	765,810
2018-09-12	$32.01	$30.83	15.6%	5.2%	35.5%	6.3%	18.4%	0.9%	2.4%	85.1M	-1.20B	-6.6M	0.91	8.22	63,102	57,471	1,237,404	777,750
2018-09-13	$31.71	$30.83	16.2%	5.2%	35.6%	8.9%	18.3%	0.7%	2.3%	69.9M	-992.7M	-6.5M	0.70	8.34	90,087	63,237	1,245,846	795,330
2018-09-14	$31.51	$30.83	16.0%	5.1%	12.7%	7.8%	18.9%	0.6%	2.6%	81.5M	-836.4M	-6.5M	1.07	5.16	74,394	79,527	1,263,957	815,718
2018-09-17	$31.62	$31.67	18.0%	5.4%	12.4%	17.1%	19.2%	1.1%	-1.1%	68.8M	-939.0M	-6.4M	0.52	4.62	78,219	40,377	1,218,006	816,297
2018-09-18	$31.86	$31.67	18.4%	5.4%	11.3%	18.8%	19.2%	1.0%	-0.8%	82.3M	-1.11B	-6.4M	0.37	10.87	106,548	39,249	1,230,585	825,540
2018-09-19	$31.77	$31.67	19.0%	5.4%	11.3%	21.5%	19.0%	1.3%	-0.5%	83.4M	-1.04B	-6.5M	0.66	10.02	79,191	52,056	1,249,578	833,913
2018-09-20	$31.91	$31.67	18.0%	5.2%	11.4%	17.1%	18.3%	1.4%	-0.5%	96.8M	-1.17B	-6.5M	0.42	5.53	96,432	40,680	1,265,889	851,382
2018-09-21	$31.99	$31.67	18.7%	5.5%	11.2%	20.4%	19.1%	0.8%	-1.0%	120.3M	-1.26B	-6.6M	0.36	6.41	160,026	57,486	1,299,576	859,332
2018-09-24	$31.63	$31.67	18.4%	5.5%	11.9%	19.1%	19.6%	1.2%	-0.7%	68.1M	-782.2M	-6.6M	0.54	6.23	102,981	55,569	1,066,215	683,172
2018-09-25	$31.77	$31.67	18.5%	5.5%	11.7%	19.3%	19.3%	1.5%	-1.4%	80.6M	-862.5M	-6.7M	0.63	5.93	73,428	46,497	1,099,365	708,033
2018-09-26	$31.63	$31.67	18.1%	5.5%	9.9%	17.4%	19.2%	1.3%	-0.8%	74.3M	-763.0M	-6.7M	0.98	10.68	40,377	39,597	1,118,160	715,833
2018-09-27	$31.38	$31.67	18.4%	5.6%	10.2%	19.1%	19.1%	1.3%	-0.6%	56.1M	-600.9M	-6.5M	0.61	10.40	54,090	32,994	1,125,672	727,257
2018-09-28	$31.28	$31.67	18.0%	5.5%	10.2%	17.1%	19.5%	1.4%	-0.7%	48.3M	-532.1M	-6.5M	0.68	3.81	59,919	40,566	1,133,118	735,828