WMT Options History — September 2019

In September 2019, WMT traded between $38.26 and $39.57. ATM implied volatility averaged 16.4%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.9% (HV 20d: 17.3%). Max pain ranged from $36.67 to $38.33. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.79.

Notable Days

2019-09-24: Highest Volume — 154,473 contracts
2019-09-24: Largest IV spike — 9.5% change
2019-09-03: Highest IV Rank — 32.9%
2019-09-03: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.95	$38.26	$39.57	$38.26	$39.57
Max Pain	$37.17	$36.67	$38.33	$36.67	$38.33
ATM IV	16.4%	15.3%	18.7%	18.7%	16.0%
Expected Move	4.8%	4.4%	5.4%	5.4%	4.6%
HV 20d	17.3%	11.5%	25.5%	25.2%	11.5%
HV 60d	18.1%	17.7%	18.4%	17.8%	18.2%
IV Rank	19.0%	12.6%	32.9%	32.9%	16.6%
IV Percentile	27.2%	15.1%	48.8%	48.8%	23.0%
Term Structure	0.1%	-0.9%	1.1%	-0.3%	0.2%
VWIV	16.7%	14.9%	19.6%	19.6%	16.0%
Skew 25d	2.7%	2.1%	3.5%	3.5%	2.8%
Skew 10d	5.7%	4.4%	7.8%	7.8%	5.3%
Call IV 25d	15.3%	14.1%	17.2%	17.2%	15.0%
Put IV 25d	17.9%	16.4%	20.7%	20.7%	17.8%
Bid-Ask Spread %	4.28	1.95	8.47	4.20	4.67
Gamma HHI	0.26	0.22	0.35	0.28	0.24
Net GEX	69.1M	44.5M	91.9M	73.4M	55.2M
Net DEX	-1.08B	-1.36B	-876.1M	-1.00B	-944.9M
Net VEX	-4.7M	-5.0M	-4.4M	-5.0M	-4.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.36	1.14	0.79	1.14
Total Volume	88,637.85	48,852	154,473	69,291	48,852
Total OI	1,354,123.05	1,114,641	1,455,561	1,376,784	1,199,463

Daily Data (20 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
2019-09-03	$38.26	$36.67	18.7%	5.4%	25.2%	32.9%	19.6%	3.5%	-0.3%	73.4M	-1.00B	-5.0M	0.79	4.20	38,685	30,606	652,632	724,152
2019-09-04	$38.64	$36.67	17.7%	5.0%	25.2%	26.9%	17.8%	2.9%	0.0%	83.4M	-1.16B	-4.8M	0.42	4.05	85,401	35,733	659,601	734,307
2019-09-05	$38.54	$36.67	16.9%	5.0%	25.2%	22.1%	17.5%	2.9%	0.2%	83.6M	-1.13B	-4.9M	1.07	3.81	66,327	71,001	676,119	741,708
2019-09-06	$38.27	$36.67	16.3%	4.8%	25.5%	18.4%	17.1%	2.5%	0.3%	89.3M	-998.4M	-4.7M	0.66	2.17	54,933	36,069	686,454	752,148
2019-09-09	$38.85	$36.67	16.5%	5.0%	25.4%	19.5%	17.5%	3.1%	1.1%	86.0M	-1.21B	-4.7M	0.72	3.56	45,606	32,643	670,629	732,915
2019-09-10	$38.56	$36.67	16.7%	5.0%	23.7%	20.8%	17.2%	2.6%	0.5%	77.8M	-1.07B	-4.8M	0.96	2.34	38,802	37,134	672,573	739,743
2019-09-11	$38.58	$36.67	16.4%	4.9%	23.0%	18.9%	17.8%	2.3%	0.5%	77.6M	-1.08B	-4.6M	0.63	4.00	37,767	23,928	677,526	750,417
2019-09-12	$38.98	$36.67	15.6%	4.7%	22.8%	14.0%	17.1%	2.1%	0.7%	91.9M	-1.27B	-4.5M	0.53	1.95	56,910	30,147	682,386	757,176
2019-09-13	$39.16	$36.67	15.6%	4.7%	12.5%	14.0%	15.4%	2.3%	1.0%	83.4M	-1.36B	-4.5M	0.74	3.18	60,618	44,655	689,175	766,275
2019-09-16	$38.53	$36.67	16.4%	4.8%	14.1%	19.2%	16.6%	2.7%	-0.1%	74.9M	-1.01B	-4.6M	1.02	3.89	34,998	35,583	668,598	750,420
2019-09-17	$38.86	$36.67	16.4%	4.7%	14.1%	18.8%	16.4%	2.8%	-0.5%	78.7M	-1.18B	-4.5M	0.74	3.46	48,975	36,438	673,230	758,202
2019-09-18	$39.02	$36.67	16.5%	4.7%	13.1%	19.7%	16.4%	2.9%	-0.5%	71.0M	-1.20B	-4.5M	0.91	7.42	31,575	28,728	675,303	767,490
2019-09-19	$39.01	$36.67	15.7%	4.5%	12.9%	14.7%	15.8%	2.5%	-0.7%	65.4M	-1.20B	-4.4M	0.77	4.56	38,529	29,589	675,519	780,042
2019-09-20	$38.95	$36.67	15.6%	4.5%	13.0%	13.9%	15.7%	2.6%	-0.9%	53.0M	-1.18B	-4.4M	0.36	8.47	97,500	34,641	672,090	782,280
2019-09-23	$39.27	$38.33	15.3%	4.4%	12.1%	12.6%	15.6%	2.4%	0.3%	44.5M	-876.1M	-4.6M	0.89	3.68	51,111	45,348	520,254	594,387
2019-09-24	$39.48	$38.33	16.8%	4.9%	11.9%	21.5%	16.8%	2.4%	0.2%	45.7M	-933.2M	-4.7M	0.78	4.45	86,688	67,785	536,346	615,471
2019-09-25	$39.52	$38.33	15.7%	4.5%	11.9%	15.0%	15.9%	2.4%	0.3%	48.2M	-930.1M	-4.9M	0.95	3.94	33,765	32,241	558,612	635,214
2019-09-26	$39.48	$38.33	16.4%	4.6%	11.9%	19.3%	14.9%	2.9%	0.0%	49.1M	-918.6M	-4.9M	0.69	6.36	53,520	36,921	568,173	642,750
2019-09-27	$39.42	$38.33	16.6%	4.8%	11.5%	20.4%	16.6%	2.5%	0.1%	49.4M	-903.3M	-5.0M	0.96	5.47	37,194	35,811	590,217	652,464
2019-09-30	$39.57	$38.33	16.0%	4.6%	11.5%	16.6%	16.0%	2.8%	0.2%	55.2M	-944.9M	-4.7M	1.14	4.67	22,854	25,998	572,337	627,126