WMT Options History — August 2019

In August 2019, WMT traded between $35.04 and $38.09. ATM implied volatility averaged 21.8%, placing in the 52.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.1% (HV 20d: 21.9%). Max pain ranged from $35.00 to $36.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.09.

Notable Days

2019-08-15: Highest Volume — 395,208 contracts
2019-08-15: Largest IV drop — 31.3% change
2019-08-14: Highest IV Rank — 100.0%
2019-08-02: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.80	$35.04	$38.09	$36.63	$38.09
Max Pain	$35.83	$35.00	$36.67	$36.67	$36.67
ATM IV	21.8%	16.2%	29.6%	24.7%	17.4%
Expected Move	6.2%	4.6%	9.1%	8.8%	4.9%
HV 20d	21.9%	9.4%	28.4%	9.4%	28.2%
HV 60d	15.9%	12.4%	18.3%	12.5%	17.9%
IV Rank	52.3%	17.6%	100.0%	70.6%	25.4%
IV Percentile	63.8%	29.8%	100.0%	83.3%	36.5%
Term Structure	-0.6%	-1.6%	0.5%	-1.4%	0.2%
VWIV	21.8%	15.5%	32.1%	30.6%	17.5%
Skew 25d	3.6%	2.5%	4.9%	3.3%	3.2%
Skew 10d	7.5%	5.3%	10.5%	6.5%	6.4%
Call IV 25d	20.3%	14.9%	27.7%	23.6%	16.0%
Put IV 25d	23.9%	17.9%	32.6%	26.8%	19.1%
Bid-Ask Spread %	4.32	2.28	9.07	6.02	2.67
Gamma HHI	0.19	0.12	0.27	0.20	0.23
Net GEX	40.3M	8.3M	81.5M	30.4M	81.5M
Net DEX	-530.8M	-1.05B	43.4M	-399.9M	-1.04B
Net VEX	-5.1M	-5.5M	-4.7M	-5.5M	-5.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.50	2.53	0.78	0.94
Total Volume	136,085.318	37,680	395,208	149,010	76,341
Total OI	1,455,645.136	1,307,784	1,655,304	1,359,090	1,444,059

Daily Data (22 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
2019-08-01	$36.63	$36.67	24.7%	8.8%	9.4%	70.6%	30.6%	3.3%	-1.4%	30.4M	-399.9M	-5.5M	0.78	6.02	83,586	65,424	713,820	645,270
2019-08-02	$36.58	$36.67	24.9%	9.1%	9.4%	71.7%	32.1%	4.2%	-1.6%	24.3M	-364.7M	-5.4M	1.48	4.94	63,744	94,632	723,978	675,843
2019-08-05	$35.44	$35.00	28.7%	7.4%	13.9%	94.9%	25.4%	4.7%	-1.3%	8.3M	43.4M	-5.3M	1.18	5.55	60,693	71,835	705,699	688,755
2019-08-06	$35.78	$35.00	27.0%	7.2%	14.6%	84.7%	24.7%	4.6%	-1.3%	12.6M	-73.9M	-5.3M	1.18	3.45	43,515	51,537	716,391	709,164
2019-08-07	$36.12	$35.00	26.6%	6.8%	15.1%	81.8%	24.8%	4.6%	-1.4%	20.7M	-221.9M	-5.4M	1.10	3.40	53,901	59,379	732,543	729,834
2019-08-08	$36.22	$35.00	24.7%	6.4%	14.8%	70.4%	22.6%	4.3%	-1.3%	26.7M	-291.3M	-5.3M	0.50	3.19	34,935	17,346	732,435	771,981
2019-08-09	$35.86	$35.00	24.5%	6.3%	14.6%	69.0%	22.5%	4.1%	-1.1%	21.4M	-187.1M	-5.1M	0.63	3.95	43,623	27,669	734,661	766,650
2019-08-12	$35.04	$35.00	28.0%	7.6%	16.1%	90.4%	27.2%	4.6%	-0.9%	11.6M	14.1M	-4.9M	2.04	2.64	52,149	106,173	706,902	734,037
2019-08-13	$35.78	$35.00	25.8%	7.3%	18.3%	77.0%	25.7%	3.9%	-0.2%	22.2M	-254.2M	-5.0M	1.65	4.18	55,875	92,169	721,581	777,435
2019-08-14	$35.56	$35.00	29.6%	8.2%	18.3%	100.0%	27.5%	4.9%	-0.9%	19.2M	-193.8M	-5.2M	0.84	6.82	124,734	105,183	732,861	807,297
2019-08-15	$37.60	$35.00	20.3%	5.6%	28.0%	43.2%	21.1%	4.1%	-1.2%	76.8M	-1.05B	-5.1M	0.77	8.59	223,815	171,393	768,912	859,296
2019-08-16	$37.65	$35.00	18.7%	5.2%	27.9%	33.0%	18.7%	3.0%	-1.1%	70.7M	-1.05B	-4.9M	0.56	2.28	176,901	99,300	766,509	888,795
2019-08-19	$37.96	$35.00	16.2%	4.6%	27.6%	17.6%	15.5%	2.9%	0.5%	70.5M	-978.6M	-4.7M	0.72	3.28	94,761	67,980	624,318	683,466
2019-08-20	$37.46	$36.67	17.7%	5.1%	28.0%	27.3%	18.1%	3.0%	0.2%	59.6M	-754.3M	-4.9M	2.53	4.04	51,780	131,163	670,608	716,370
2019-08-21	$37.33	$36.67	16.6%	4.8%	28.0%	20.5%	16.8%	2.7%	0.3%	41.4M	-641.1M	-5.0M	1.06	3.10	48,405	51,261	691,335	760,110
2019-08-22	$37.36	$36.67	16.8%	4.8%	28.0%	21.4%	17.0%	2.5%	0.2%	39.9M	-654.6M	-5.1M	0.82	3.58	45,660	37,587	703,518	768,462
2019-08-23	$36.93	$36.67	18.4%	5.3%	28.2%	31.6%	17.9%	2.9%	-0.1%	28.1M	-475.9M	-5.1M	1.41	4.33	63,465	89,373	714,660	769,383
2019-08-26	$37.24	$36.67	18.4%	5.3%	28.3%	31.1%	18.7%	3.0%	0.1%	45.5M	-620.0M	-5.1M	1.26	9.07	16,662	21,018	659,766	729,354
2019-08-27	$37.50	$36.67	18.9%	5.5%	28.4%	34.2%	19.3%	3.4%	-0.0%	50.7M	-724.1M	-5.2M	0.94	3.89	32,466	30,618	667,623	741,960
2019-08-28	$37.54	$36.67	18.1%	5.2%	28.1%	29.3%	18.5%	3.2%	0.2%	52.2M	-760.8M	-5.0M	0.89	2.74	35,424	31,407	677,643	749,493
2019-08-29	$37.99	$36.67	17.3%	4.9%	28.2%	24.6%	17.5%	2.9%	0.2%	71.3M	-991.8M	-4.9M	0.69	3.39	52,722	36,273	683,334	758,082
2019-08-30	$38.09	$36.67	17.4%	4.9%	28.2%	25.4%	17.5%	3.2%	0.2%	81.5M	-1.04B	-5.0M	0.94	2.67	39,270	37,071	683,652	760,407