WMT Options History — December 2018

In December 2018, WMT traded between $28.78 and $32.90. ATM implied volatility averaged 23.4%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.5% (HV 20d: 22.9%). Max pain ranged from $31.67 to $31.67. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2018-12-05: Highest Volume — 234,060 contracts
  • 2018-12-17: Largest IV spike — 17.5% change
  • 2018-12-24: Highest IV Rank — 69.1%
  • 2018-12-24: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.72$28.78$32.90$32.90$31.01
Max Pain$31.67$31.67$31.67$31.67$31.67
ATM IV23.4%16.2%29.5%16.2%24.4%
Expected Move6.9%4.9%8.7%4.9%7.4%
HV 20d22.9%18.8%28.9%21.8%28.3%
HV 60d20.6%18.4%23.7%18.4%23.7%
IV Rank41.5%8.7%69.1%8.7%46.1%
IV Percentile67.8%15.5%96.4%15.5%72.6%
Term Structure-0.2%-1.0%1.3%0.4%-0.2%
VWIV24.5%17.9%30.2%17.9%26.0%
Skew 25d3.5%2.1%5.1%2.1%3.5%
Skew 10d6.9%3.5%9.8%4.6%8.7%
Call IV 25d22.2%15.6%28.0%15.6%22.6%
Put IV 25d25.7%17.7%32.9%17.7%26.2%
Bid-Ask Spread %5.423.1810.275.403.32
Gamma HHI0.090.060.210.160.07
Net GEX10.9M-20.9M57.5M57.5M19.0M
Net DEX85.5M-770.8M652.7M-770.8M-115.0M
Net VEX-4.7M-5.2M-4.2M-5.1M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.261.120.260.75
Total Volume108,973.546,689234,060164,79364,968
Total OI1,718,925.751,534,2451,846,7251,728,0571,534,245

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$32.90$31.6716.2%4.9%21.8%8.7%17.9%2.1%0.4%57.5M-770.8M-5.1M0.265.40130,62934,164982,383745,674
2018-12-04$31.98$31.6718.9%5.9%22.6%21.1%24.8%2.5%0.1%29.1M-317.3M-5.2M0.313.88171,63053,9761,010,493758,745
2018-12-05$31.94$31.6719.2%6.1%22.6%22.7%24.4%2.2%0.0%28.5M-309.6M-5.1M0.328.27177,28556,7751,010,493758,745
2018-12-06$31.62$31.6720.5%6.1%21.5%28.3%21.2%2.7%0.3%24.5M-193.4M-5.2M0.784.2954,63942,5011,027,398774,348
2018-12-07$31.06$31.6721.9%6.5%21.8%34.6%21.8%2.8%0.3%7.3M147.2M-5.1M0.585.5149,63228,788994,368785,472
2018-12-10$31.34$31.6723.0%6.5%21.7%39.7%23.4%3.4%-0.4%17.4M-21.0M-5.2M0.584.2644,75425,749947,817764,277
2018-12-11$31.36$31.6722.5%6.2%21.5%37.5%21.9%3.1%-0.8%17.9M-26.8M-5.0M0.356.0474,79626,079955,659767,628
2018-12-12$31.16$31.6720.4%6.0%21.4%28.2%20.6%2.5%0.3%13.4M79.2M-4.8M0.415.8157,67823,400985,752771,549
2018-12-13$30.96$31.6720.2%5.9%21.1%26.9%20.7%2.6%0.7%10.1M131.1M-4.9M0.595.5341,12724,3571,004,922772,041
2018-12-14$30.53$31.6721.0%6.1%20.4%30.9%21.6%4.0%1.3%1.9M293.6M-4.7M0.625.2346,30228,9111,013,985776,199
2018-12-17$30.08$31.6724.7%7.1%20.3%47.6%24.8%3.9%-0.6%-1.8M352.0M-4.6M0.934.7124,19522,494982,527758,655
2018-12-18$30.36$31.6724.6%7.1%20.7%47.1%24.3%3.9%-0.7%2.1M281.5M-4.6M1.123.1840,01144,664991,017762,027
2018-12-19$30.20$31.6724.1%6.9%18.8%44.8%24.2%4.2%-0.9%-3.2M359.3M-4.5M0.7310.2748,14734,9891,006,539782,853
2018-12-20$28.99$31.6726.3%7.6%23.3%54.8%26.7%4.3%-0.4%-17.1M652.7M-4.2M0.746.16120,98489,6881,015,482775,872
2018-12-21$29.18$31.6727.0%7.8%23.1%57.9%27.3%4.7%-0.6%-20.9M560.1M-4.4M0.747.5868,19650,6521,054,509792,216
2018-12-24$28.78$31.6729.5%8.7%23.2%69.1%29.9%4.9%-0.6%-7.2M487.5M-4.2M0.896.3441,09136,714859,638693,849
2018-12-26$30.05$31.6728.1%8.5%28.9%63.0%30.2%4.4%-0.8%7.3M134.5M-4.5M0.574.4866,66338,106863,676703,578
2018-12-27$30.34$31.6728.7%8.4%27.5%65.8%29.9%5.1%-0.7%11.0M52.9M-4.6M0.823.8646,92338,541873,570712,080
2018-12-28$30.66$31.6726.5%7.8%27.9%55.8%27.3%3.5%-1.0%20.3M-68.5M-4.6M0.584.3468,99440,278883,449724,785
2018-12-31$31.01$31.6724.4%7.4%28.3%46.1%26.0%3.5%-0.2%19.0M-115.0M-4.5M0.753.3237,12227,846830,472703,773