WMT Options History — June 2019

In June 2019, WMT traded between $33.92 and $37.25. ATM implied volatility averaged 15.8%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.6% (HV 20d: 13.2%). Max pain ranged from $33.33 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2019-06-21: Highest Volume — 246,360 contracts
  • 2019-06-04: Largest IV drop — 4.7% change
  • 2019-06-03: Highest IV Rank — 30.1%
  • 2019-06-03: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.09$33.92$37.25$33.92$36.77
Max Pain$34.50$33.33$35.00$33.33$35.00
ATM IV15.8%14.6%18.5%18.5%14.9%
Expected Move4.5%4.2%5.5%5.5%4.2%
HV 20d13.2%11.3%16.8%15.6%11.3%
HV 60d14.1%13.6%14.3%13.6%14.0%
IV Rank12.5%5.0%30.1%30.1%7.2%
IV Percentile18.3%5.2%49.2%49.2%9.1%
Term Structure-0.1%-0.7%0.5%-0.2%0.5%
VWIV16.3%14.6%19.2%19.2%14.6%
Skew 25d2.4%1.9%3.0%3.0%2.0%
Skew 10d5.4%3.9%12.7%6.4%3.9%
Call IV 25d14.9%13.9%17.4%17.4%14.0%
Put IV 25d17.3%16.0%20.5%20.5%16.0%
Bid-Ask Spread %3.041.817.723.952.44
Gamma HHI0.280.190.520.220.22
Net GEX66.4M33.1M110.7M33.1M50.8M
Net DEX-1.05B-1.58B-356.1M-356.1M-918.1M
Net VEX-4.9M-5.4M-4.6M-4.9M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.321.260.761.26
Total Volume125,34362,124246,360109,28199,732
Total OI1,296,410.851,111,6681,450,7461,203,7831,237,851

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$33.92$33.3318.5%5.5%15.6%30.1%19.2%3.0%-0.2%33.1M-356.1M-4.9M0.763.9562,01347,268618,702585,081
2019-06-04$34.11$33.3317.6%5.1%15.7%24.5%17.8%2.7%-0.2%42.5M-436.2M-4.9M0.583.9739,26722,857632,346596,643
2019-06-05$34.89$33.3317.1%5.0%16.8%20.9%17.9%2.8%-0.1%59.7M-769.7M-4.8M0.613.25100,95961,134634,146603,840
2019-06-06$35.04$33.3316.6%4.8%16.7%17.8%17.1%2.6%-0.1%68.6M-854.9M-4.8M0.393.23102,47740,290658,044624,456
2019-06-07$35.40$33.3316.0%4.7%16.3%14.0%16.5%2.4%0.1%78.5M-1.04B-4.7M0.403.57100,19440,236673,245633,837
2019-06-10$35.88$33.3316.1%4.4%15.5%14.5%16.7%2.4%-0.6%78.1M-1.17B-4.7M0.322.37145,85147,382668,736610,593
2019-06-11$35.99$35.0016.0%4.4%12.6%13.9%16.4%2.2%-0.5%80.9M-1.21B-4.8M0.542.35127,67169,135699,399628,242
2019-06-12$36.23$35.0015.7%4.5%12.6%12.0%16.9%2.3%-0.0%75.3M-1.27B-4.9M0.642.0668,76344,307711,447655,176
2019-06-13$36.10$35.0015.4%4.3%12.4%10.3%16.4%2.1%-0.4%59.1M-1.17B-4.9M0.792.5571,84756,760714,492670,611
2019-06-14$36.44$35.0015.3%4.3%12.3%9.6%15.4%1.9%-0.5%82.0M-1.35B-4.8M0.727.7280,70957,870721,164681,000
2019-06-17$36.33$35.0015.2%4.3%12.3%8.6%15.9%2.4%0.3%76.7M-1.21B-4.8M0.753.0739,55229,583702,462653,724
2019-06-18$36.54$35.0015.0%4.3%12.2%8.0%15.7%2.5%-0.2%82.8M-1.31B-4.6M0.411.8387,55835,787708,495667,290
2019-06-19$36.59$35.0014.6%4.2%11.8%5.0%16.2%2.3%0.2%93.5M-1.29B-4.7M0.522.0458,95930,822717,510677,082
2019-06-20$36.74$35.0014.9%4.3%11.5%7.3%15.2%2.4%0.0%110.7M-1.37B-4.7M0.771.8173,83956,754732,138685,041
2019-06-21$37.25$35.0015.4%4.5%11.3%10.6%15.8%2.6%-0.7%55.5M-1.58B-4.8M0.553.43159,05187,309740,862709,884
2019-06-24$37.09$35.0015.4%4.4%11.4%10.1%15.4%2.4%0.1%50.8M-1.01B-4.9M0.902.7643,44339,240603,696507,972
2019-06-25$36.88$35.0015.3%4.4%11.8%9.6%15.9%2.3%0.2%52.1M-900.0M-5.2M0.922.5371,77265,907623,286518,970
2019-06-26$36.81$35.0015.2%4.4%11.8%8.7%15.4%2.1%0.2%50.8M-906.2M-5.3M0.873.1733,86729,463654,120546,951
2019-06-27$36.76$35.0015.0%4.3%11.7%7.5%14.9%2.2%0.1%46.4M-867.3M-5.4M0.982.8139,08738,145667,269552,414
2019-06-28$36.77$35.0014.9%4.2%11.3%7.2%14.6%2.0%0.5%50.8M-918.1M-5.3M1.262.4444,18755,545678,330559,521