WMT Options History — February 2019

In February 2019, WMT traded between $31.25 and $34.13. ATM implied volatility averaged 21.9%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.4% (HV 20d: 20.5%). Max pain ranged from $31.67 to $32.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.53.

Notable Days

  • 2019-02-20: Highest Volume — 435,603 contracts
  • 2019-02-19: Largest IV drop — 27.0% change
  • 2019-02-13: Highest IV Rank — 67.4%
  • 2019-02-11: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.58$31.25$34.13$31.25$33.06
Max Pain$31.82$31.67$32.50$31.67$32.50
ATM IV21.9%16.0%27.7%27.7%16.9%
Expected Move6.2%4.6%7.5%7.1%4.9%
HV 20d20.5%18.4%23.6%18.8%21.8%
HV 60d22.2%21.6%22.6%22.5%22.0%
IV Rank40.7%11.5%67.4%60.9%17.4%
IV Percentile52.9%9.5%88.5%88.5%19.4%
Term Structure-0.7%-2.2%0.2%-1.4%-0.2%
VWIV21.4%15.8%25.8%24.7%17.2%
Skew 25d3.7%2.2%5.2%4.0%2.8%
Skew 10d7.2%4.3%10.3%8.8%4.8%
Call IV 25d20.1%15.0%26.9%26.9%15.1%
Put IV 25d23.9%17.5%30.9%30.9%17.9%
Bid-Ask Spread %3.672.006.782.823.79
Gamma HHI0.140.090.250.090.25
Net GEX55.9M2.9M111.0M2.9M111.0M
Net DEX-458.7M-963.4M71.9M71.9M-528.2M
Net VEX-4.6M-4.8M-4.4M-4.6M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.241.010.600.49
Total Volume159,676.89556,181435,603282,252101,319
Total OI1,334,021.3681,216,8661,485,4741,262,0101,380,021

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-02-01$31.25$31.6727.7%7.1%18.8%60.9%24.7%4.0%-1.4%2.9M71.9M-4.6M0.602.82176,898105,354727,080534,930
2019-02-04$31.49$31.6726.5%7.0%19.0%55.6%24.6%4.2%-2.2%29.7M-118.6M-4.6M0.852.0054,50446,434710,775506,091
2019-02-05$31.88$31.6725.6%6.9%18.6%51.4%23.2%4.3%-1.3%44.0M-304.5M-4.7M0.582.1967,11938,727727,002534,513
2019-02-06$31.89$31.6724.9%6.8%18.4%48.6%23.6%4.6%-1.1%42.4M-285.8M-4.7M1.012.3627,88228,299748,752551,409
2019-02-07$32.22$31.6725.3%6.9%18.6%50.1%24.2%4.2%-1.5%57.0M-469.4M-4.8M0.494.1879,58738,964754,770568,977
2019-02-08$31.84$31.6725.9%7.2%19.1%52.9%25.1%4.6%-1.1%58.4M-240.5M-4.8M0.862.0549,28142,612760,275576,669
2019-02-11$32.06$31.6726.4%7.5%19.3%55.3%25.8%4.7%-2.0%46.6M-342.7M-4.7M0.442.0341,85318,495738,075560,730
2019-02-12$32.30$31.6725.3%7.2%19.4%66.5%25.1%4.9%-0.9%59.8M-490.3M-4.7M0.243.44116,37327,483754,176565,509
2019-02-13$32.61$31.6725.5%7.3%19.0%67.4%25.3%5.2%-0.8%75.2M-685.8M-4.7M0.456.7856,13325,329784,251572,355
2019-02-14$32.99$31.6724.4%7.0%19.4%66.5%25.3%5.1%-0.4%80.4M-872.1M-4.7M0.515.78141,13272,210799,677580,278
2019-02-15$33.22$31.6724.3%7.0%19.5%65.9%24.7%4.8%-0.6%39.9M-963.4M-4.8M0.666.69123,23781,027822,129608,091
2019-02-19$34.13$31.6717.7%5.2%21.3%22.9%18.1%2.8%-0.3%72.3M-959.4M-4.4M0.495.37281,655138,882697,839530,379
2019-02-20$33.25$31.6717.6%5.2%23.6%22.3%17.4%3.0%-0.0%53.2M-495.8M-4.5M0.344.51324,384111,219763,944580,176
2019-02-21$33.10$31.6716.9%4.8%23.2%17.6%17.0%2.4%-0.4%60.6M-470.9M-4.7M0.492.9191,95045,459850,653604,239
2019-02-22$33.14$31.6716.3%4.6%23.2%13.4%15.8%2.3%0.2%36.7M-501.6M-4.7M0.473.8296,28844,772874,296611,178
2019-02-25$33.08$32.1716.2%4.8%22.6%13.1%16.5%2.6%-0.2%44.8M-398.8M-4.5M0.253.10108,15327,009751,623510,546
2019-02-26$32.87$32.5016.0%4.7%22.7%11.5%16.1%2.7%0.0%76.2M-375.3M-4.6M0.303.02100,99230,162819,642520,587
2019-02-27$32.69$32.3316.4%4.8%22.8%14.2%16.4%2.2%0.1%71.7M-283.6M-4.5M0.602.8745,38727,297837,381527,388
2019-02-28$33.06$32.5016.9%4.9%21.8%17.4%17.2%2.8%-0.2%111.0M-528.2M-4.7M0.493.7968,11233,207846,837533,184