WMT Options History — November 2018

In November 2018, WMT traded between $31.38 and $35.25. ATM implied volatility averaged 22.9%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.4% (HV 20d: 20.5%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.67.

Notable Days

2018-11-15: Highest Volume — 411,825 contracts
2018-11-15: Largest IV drop — 29.2% change
2018-11-14: Highest IV Rank — 69.0%
2018-11-02: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.17	$31.38	$35.25	$33.44	$32.53
Max Pain	$31.02	$30.00	$32.50	$32.50	$31.67
ATM IV	22.9%	17.5%	29.4%	27.1%	17.8%
Expected Move	6.5%	5.3%	9.9%	9.8%	5.5%
HV 20d	20.5%	16.5%	23.2%	20.7%	21.5%
HV 60d	19.3%	15.9%	24.5%	24.5%	18.3%
IV Rank	39.3%	14.6%	69.0%	58.2%	16.3%
IV Percentile	65.6%	32.1%	96.4%	88.1%	33.3%
Term Structure	-1.0%	-2.4%	0.3%	-1.1%	-0.0%
VWIV	23.3%	19.1%	35.1%	34.4%	19.4%
Skew 25d	3.3%	2.4%	4.4%	4.2%	2.4%
Skew 10d	6.6%	5.0%	9.4%	8.1%	5.0%
Call IV 25d	21.6%	16.7%	28.1%	25.3%	17.2%
Put IV 25d	24.9%	19.3%	31.0%	29.4%	19.6%
Bid-Ask Spread %	5.42	2.38	12.81	5.31	2.77
Gamma HHI	0.14	0.09	0.22	0.16	0.14
Net GEX	51.9M	5.9M	96.8M	72.8M	47.0M
Net DEX	-987.3M	-2.18B	-90.1M	-1.37B	-645.7M
Net VEX	-5.7M	-6.4M	-5.2M	-6.3M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.34	1.01	0.78	0.51
Total Volume	173,458	71,922	411,825	99,918	148,788
Total OI	1,851,680.286	1,632,723	2,201,307	1,892,667	1,765,857

Daily Data (21 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
2018-11-01	$33.44	$32.50	27.1%	9.8%	20.7%	58.2%	34.4%	4.2%	-1.1%	72.8M	-1.37B	-6.3M	0.78	5.31	56,283	43,635	1,098,288	794,379
2018-11-02	$33.64	$32.50	26.9%	9.9%	20.1%	57.5%	35.1%	4.0%	-1.1%	83.5M	-1.48B	-6.3M	0.72	9.39	53,604	38,391	1,109,751	806,637
2018-11-05	$34.26	$30.00	27.3%	6.7%	20.1%	59.2%	24.5%	4.4%	-1.5%	76.5M	-1.69B	-6.2M	0.59	5.03	86,310	51,066	1,073,052	771,873
2018-11-06	$34.27	$30.00	26.9%	6.6%	18.7%	57.2%	23.9%	4.4%	-1.6%	80.1M	-1.71B	-6.0M	0.69	4.68	52,800	36,216	1,086,399	789,804
2018-11-07	$34.79	$30.00	23.9%	6.0%	18.4%	43.7%	22.2%	3.6%	-1.5%	92.2M	-2.00B	-5.7M	0.34	6.59	148,167	50,706	1,093,083	799,995
2018-11-08	$34.92	$30.00	24.3%	6.2%	16.5%	45.6%	22.8%	3.8%	-1.4%	96.8M	-2.02B	-5.6M	0.67	6.07	80,679	54,090	1,091,943	813,657
2018-11-09	$35.25	$30.00	25.0%	6.5%	16.5%	48.8%	23.8%	4.0%	-1.4%	88.5M	-2.18B	-5.6M	0.98	5.83	106,617	104,241	1,106,391	838,866
2018-11-12	$34.67	$30.83	29.0%	7.5%	17.7%	67.0%	26.7%	4.3%	-2.4%	68.2M	-1.67B	-6.0M	0.52	5.56	217,053	112,443	1,070,058	819,414
2018-11-13	$34.32	$30.83	27.5%	7.1%	17.8%	60.3%	25.8%	4.3%	-2.4%	60.8M	-1.43B	-6.2M	0.46	7.35	115,383	53,610	1,124,475	889,914
2018-11-14	$33.81	$30.83	29.4%	7.9%	19.0%	69.0%	27.4%	2.9%	-1.7%	54.5M	-1.17B	-6.4M	0.59	7.07	221,361	131,238	1,146,999	904,359
2018-11-15	$33.08	$30.83	20.8%	5.9%	20.9%	29.9%	21.1%	3.0%	-0.5%	45.8M	-619.9M	-5.6M	1.01	5.85	205,032	206,793	1,178,835	961,584
2018-11-16	$32.58	$30.83	19.4%	5.5%	21.2%	23.6%	19.6%	2.8%	-0.3%	37.7M	-239.2M	-5.5M	0.98	6.26	135,699	133,257	1,204,386	996,921
2018-11-19	$32.22	$30.83	20.2%	5.8%	21.5%	26.9%	20.0%	3.0%	-0.8%	21.4M	-385.7M	-5.4M	0.95	3.99	90,108	85,398	908,199	724,524
2018-11-20	$31.38	$31.33	22.5%	6.4%	23.2%	37.5%	22.5%	2.8%	-1.1%	9.4M	-90.1M	-5.3M	0.72	3.73	99,951	71,700	932,595	734,085
2018-11-21	$31.39	$31.33	20.0%	5.7%	23.0%	26.2%	20.8%	2.9%	-0.8%	8.3M	-102.4M	-5.3M	0.84	4.10	81,618	68,310	957,963	745,641
2018-11-23	$31.70	$31.33	20.3%	5.9%	23.2%	27.5%	21.1%	3.0%	-1.3%	5.9M	-237.7M	-5.4M	0.57	12.81	52,230	29,868	988,875	774,663
2018-11-26	$31.71	$31.33	18.8%	5.7%	23.2%	20.9%	19.7%	2.8%	0.3%	23.7M	-259.0M	-5.2M	0.45	2.70	70,263	31,908	919,629	728,067
2018-11-27	$31.70	$31.50	18.4%	5.5%	22.9%	18.9%	19.7%	2.6%	0.1%	25.3M	-236.0M	-5.2M	0.66	2.38	43,209	28,713	945,720	736,884
2018-11-28	$32.49	$31.50	17.5%	5.3%	22.2%	14.6%	19.1%	2.6%	0.0%	42.3M	-597.8M	-5.3M	0.39	3.07	116,559	45,342	955,455	743,556
2018-11-29	$32.44	$31.50	17.9%	5.4%	21.5%	16.5%	19.3%	2.5%	0.0%	50.1M	-614.7M	-5.4M	0.68	3.29	50,067	33,912	998,739	753,771
2018-11-30	$32.53	$31.67	17.8%	5.5%	21.5%	16.3%	19.4%	2.4%	-0.0%	47.0M	-645.7M	-5.4M	0.51	2.77	98,691	50,097	1,005,195	760,662