WMT Options History — November 2019

In November 2019, WMT traded between $39.08 and $40.40. ATM implied volatility averaged 18.5%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.7% (HV 20d: 12.8%). Max pain ranged from $36.67 to $39.67. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2019-11-14: Highest Volume — 983,523 contracts
  • 2019-11-14: Largest IV drop — 25.5% change
  • 2019-11-11: Highest IV Rank — 62.9%
  • 2019-11-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.74$39.08$40.40$39.17$39.73
Max Pain$37.98$36.67$39.67$39.67$38.33
ATM IV18.5%13.0%23.6%21.4%14.0%
Expected Move5.1%3.8%7.9%7.9%4.1%
HV 20d12.8%10.7%14.8%11.2%13.1%
HV 60d13.5%12.0%17.6%17.6%12.4%
IV Rank32.0%0.0%62.9%49.9%5.7%
IV Percentile41.7%0.0%80.6%67.9%4.4%
Term Structure-0.9%-2.1%0.1%-0.7%0.1%
VWIV17.9%13.3%27.8%27.8%14.7%
Skew 25d2.2%0.5%3.4%2.7%0.9%
Skew 10d4.0%0.7%6.4%5.4%1.4%
Call IV 25d17.4%12.6%21.7%20.4%13.7%
Put IV 25d19.7%13.9%24.7%23.0%14.6%
Bid-Ask Spread %5.422.7616.612.824.17
Gamma HHI0.160.130.210.160.16
Net GEX55.2M20.5M103.8M21.9M76.4M
Net DEX-823.4M-1.19B-567.8M-585.6M-842.3M
Net VEX-4.4M-4.6M-4.2M-4.5M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.220.740.480.22
Total Volume192,85858,380983,52358,380108,549
Total OI1,386,596.11,222,8781,741,1341,263,9871,446,645

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$39.17$39.6721.4%7.9%11.2%49.9%27.8%2.7%-0.7%21.9M-585.6M-4.5M0.482.8239,36019,020621,861642,126
2019-11-04$39.08$36.6723.3%6.1%10.8%61.6%21.1%3.1%-1.6%20.5M-567.8M-4.6M0.532.9962,71233,543598,821624,057
2019-11-05$39.62$36.6723.3%5.8%11.8%61.4%20.0%3.2%-1.6%40.6M-786.4M-4.6M0.585.9956,79633,045623,424644,139
2019-11-06$39.78$36.6722.9%5.7%11.2%58.5%19.6%3.0%-1.7%43.7M-855.0M-4.5M0.472.8046,74021,759629,235657,093
2019-11-07$40.05$36.6722.8%5.8%11.4%58.1%20.5%2.9%-2.1%58.3M-974.0M-4.5M0.706.6852,72536,984638,268659,838
2019-11-08$39.75$36.6722.5%5.6%11.3%56.5%20.1%3.3%-1.7%48.1M-832.2M-4.5M0.693.3155,89338,772644,715666,051
2019-11-11$39.61$38.3323.6%6.0%10.7%62.9%21.2%3.1%-2.0%37.7M-772.0M-4.5M0.4712.76126,08459,229629,148643,887
2019-11-12$39.64$38.3323.2%6.0%10.7%60.8%20.9%3.0%-2.1%43.0M-808.1M-4.6M0.6712.4685,44656,991696,258684,021
2019-11-13$40.40$38.3323.0%6.2%12.7%59.6%21.5%3.4%-1.4%67.1M-1.19B-4.6M0.6416.61265,473170,313739,314712,899
2019-11-14$40.13$38.3317.1%4.8%12.8%23.6%16.4%2.2%-0.6%103.8M-1.11B-4.3M0.385.09711,267272,256846,702807,279
2019-11-15$39.51$38.3316.0%4.5%13.8%16.7%15.7%1.1%-0.5%41.1M-615.1M-4.4M0.376.95296,325110,874917,169823,965
2019-11-18$40.03$38.3315.6%4.4%14.5%14.2%15.6%2.0%-0.6%79.0M-952.6M-4.5M0.273.41176,97947,307736,656625,698
2019-11-19$39.98$38.3315.3%4.4%14.5%12.5%15.3%1.9%-0.4%68.2M-892.6M-4.4M0.452.9680,28935,847735,024646,005
2019-11-20$39.72$38.3315.7%4.5%14.7%14.6%15.4%2.0%-0.5%48.7M-758.4M-4.4M0.272.76115,28731,290748,302659,136
2019-11-21$39.88$38.3315.1%4.4%14.7%11.2%15.3%1.8%-0.3%65.6M-867.1M-4.4M0.303.0887,57026,133772,392663,198
2019-11-22$39.78$38.3314.0%4.1%14.7%4.5%14.1%1.6%-0.3%49.0M-797.1M-4.3M0.744.0353,68239,942768,339670,416
2019-11-25$39.56$38.3313.6%4.0%14.8%2.2%14.1%1.5%0.1%43.1M-690.3M-4.2M0.402.98109,50643,869687,036641,373
2019-11-26$39.74$38.3313.0%3.8%13.7%0.0%13.3%1.3%0.1%73.9M-810.5M-4.2M0.383.3084,35431,803718,494653,478
2019-11-27$39.59$38.3313.9%4.1%13.6%5.4%14.6%0.5%0.1%74.7M-760.2M-4.4M0.273.33105,18327,963748,122661,338
2019-11-29$39.73$38.3314.0%4.1%13.1%5.7%14.7%0.9%0.1%76.4M-842.3M-4.4M0.224.1788,83619,713777,867668,778