WMT Options History — October 2019

In October 2019, WMT traded between $38.75 and $40.15. ATM implied volatility averaged 19.7%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 7.8% (HV 20d: 12.0%). Max pain ranged from $38.33 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.90.

Notable Days

2019-10-02: Highest Volume — 170,199 contracts
2019-10-14: Largest IV spike — 12.9% change
2019-10-31: Highest IV Rank — 54.5%
2019-10-31: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.53	$38.75	$40.15	$39.28	$38.97
Max Pain	$39.26	$38.33	$40.00	$38.33	$39.67
ATM IV	19.7%	16.4%	22.2%	16.9%	22.2%
Expected Move	6.5%	4.8%	7.9%	4.8%	7.9%
HV 20d	12.0%	11.3%	13.2%	11.9%	12.2%
HV 60d	18.5%	17.5%	19.0%	18.2%	17.6%
IV Rank	39.5%	19.4%	54.5%	22.1%	54.5%
IV Percentile	56.1%	31.3%	73.0%	34.5%	73.0%
Term Structure	0.6%	-1.9%	6.2%	-0.3%	-0.6%
VWIV	22.7%	17.1%	27.6%	17.1%	27.5%
Skew 25d	3.1%	2.6%	3.6%	2.9%	2.8%
Skew 10d	6.5%	5.0%	9.8%	5.5%	5.0%
Call IV 25d	18.2%	14.7%	20.6%	15.5%	20.6%
Put IV 25d	21.3%	17.4%	24.1%	18.4%	23.4%
Bid-Ask Spread %	3.48	2.05	8.96	4.89	2.47
Gamma HHI	0.20	0.13	0.33	0.22	0.13
Net GEX	48.9M	8.5M	87.4M	47.6M	8.5M
Net DEX	-827.6M	-1.30B	-496.1M	-813.3M	-496.1M
Net VEX	-4.8M	-5.2M	-4.5M	-4.9M	-4.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.32	3.76	1.10	0.94
Total Volume	81,659.348	49,395	170,199	57,291	52,251
Total OI	1,289,115.261	1,139,493	1,418,883	1,215,093	1,240,860

Daily Data (23 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
2019-10-01	$39.28	$38.33	16.9%	4.8%	11.9%	22.1%	17.1%	2.9%	-0.3%	47.6M	-813.3M	-4.9M	1.10	4.89	27,312	29,979	577,842	637,251
2019-10-02	$38.75	$38.33	18.2%	5.2%	12.6%	30.3%	18.8%	2.9%	-0.2%	35.7M	-621.0M	-4.9M	3.76	6.53	35,757	134,442	583,485	643,710
2019-10-03	$38.79	$38.33	17.7%	6.6%	12.5%	26.9%	23.3%	2.8%	0.2%	20.2M	-604.4M	-5.2M	1.26	3.88	40,605	51,156	597,147	720,360
2019-10-04	$39.36	$38.33	16.4%	6.0%	13.2%	19.4%	21.7%	3.0%	0.0%	67.8M	-883.5M	-5.1M	1.08	3.49	34,491	37,332	610,440	733,602
2019-10-07	$39.05	$38.33	17.0%	6.6%	12.5%	22.6%	23.2%	2.8%	6.2%	38.1M	-723.9M	-5.1M	0.79	2.82	27,648	21,747	592,299	709,698
2019-10-08	$39.25	$38.33	17.8%	6.4%	12.3%	27.4%	23.4%	3.1%	4.7%	45.0M	-804.7M	-5.1M	0.50	5.69	102,315	50,955	602,232	713,592
2019-10-09	$39.69	$38.33	16.9%	6.3%	12.8%	22.0%	22.8%	2.9%	5.3%	78.3M	-1.07B	-5.1M	0.93	3.92	36,372	33,906	640,104	734,526
2019-10-10	$39.83	$38.33	18.0%	6.4%	12.4%	28.8%	22.9%	2.7%	5.6%	78.0M	-1.13B	-5.0M	0.83	3.11	36,942	30,570	645,399	746,352
2019-10-11	$40.15	$38.33	18.1%	6.3%	12.6%	29.7%	22.0%	2.8%	6.2%	70.0M	-1.30B	-4.9M	0.52	8.96	108,798	56,196	651,294	759,228
2019-10-14	$39.72	$38.33	20.5%	6.3%	11.6%	43.9%	21.3%	3.6%	-0.4%	53.0M	-913.7M	-4.9M	1.23	2.85	23,427	28,848	610,221	739,080
2019-10-15	$39.82	$40.00	20.2%	6.0%	11.3%	42.5%	20.3%	3.4%	-0.4%	59.4M	-934.4M	-4.8M	0.71	2.37	32,094	22,731	613,509	747,696
2019-10-16	$39.75	$40.00	20.9%	6.0%	11.3%	46.9%	20.6%	3.4%	-0.7%	55.4M	-908.6M	-4.7M	0.37	3.60	77,727	29,037	621,555	753,531
2019-10-17	$40.01	$40.00	20.8%	6.0%	11.5%	46.1%	20.8%	3.5%	-1.1%	87.4M	-1.06B	-4.6M	0.49	3.24	48,018	23,514	639,087	765,444
2019-10-18	$39.78	$40.00	21.0%	6.1%	11.7%	47.3%	20.0%	3.4%	-0.6%	27.3M	-871.1M	-4.7M	0.52	2.82	79,470	41,613	646,923	771,960
2019-10-21	$39.91	$40.00	20.6%	6.3%	11.4%	44.9%	22.2%	3.4%	-1.3%	40.4M	-803.1M	-4.6M	0.32	2.39	64,947	20,871	550,992	588,501
2019-10-22	$39.83	$40.00	21.8%	6.7%	11.4%	52.0%	22.2%	3.6%	-1.6%	46.9M	-812.5M	-4.7M	0.89	2.46	41,265	36,840	583,620	597,048
2019-10-23	$39.73	$40.00	21.2%	6.7%	11.4%	48.5%	23.3%	3.4%	-1.5%	49.9M	-789.7M	-4.7M	0.91	2.48	26,511	24,057	599,865	604,539
2019-10-24	$39.78	$40.00	21.7%	7.0%	11.4%	51.6%	24.6%	3.5%	-1.9%	52.0M	-817.2M	-4.7M	0.77	2.05	36,072	27,618	604,899	610,767
2019-10-25	$39.66	$40.00	20.7%	6.7%	11.4%	45.5%	23.2%	3.4%	-1.4%	70.7M	-752.4M	-4.6M	0.62	2.12	37,056	22,974	611,394	620,250
2019-10-28	$39.70	$40.00	21.2%	7.3%	11.4%	48.6%	26.2%	3.4%	-0.6%	41.4M	-755.8M	-4.5M	0.86	2.44	32,010	27,639	586,350	604,608
2019-10-29	$39.07	$40.00	22.1%	7.7%	12.5%	53.9%	26.5%	3.0%	-0.5%	20.4M	-538.6M	-4.5M	0.76	3.15	35,340	26,742	596,097	614,478
2019-10-30	$39.35	$40.00	21.9%	7.8%	11.7%	52.6%	27.6%	2.6%	-0.4%	30.2M	-644.3M	-4.6M	0.64	2.39	38,301	24,669	606,192	621,624
2019-10-31	$38.97	$39.67	22.2%	7.9%	12.2%	54.5%	27.5%	2.8%	-0.6%	8.5M	-496.1M	-4.5M	0.94	2.47	26,901	25,350	610,692	630,168