WMT Options History — December 2019

In December 2019, WMT traded between $39.44 and $40.46. ATM implied volatility averaged 13.9%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.8% (HV 20d: 10.1%). Max pain ranged from $38.33 to $38.67. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.51.

Notable Days

2019-12-04: Highest Volume — 479,934 contracts
2019-12-09: Largest IV spike — 9.8% change
2019-12-03: Highest IV Rank — 16.8%
2019-12-03: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.85	$39.44	$40.46	$39.71	$39.56
Max Pain	$38.35	$38.33	$38.67	$38.33	$38.33
ATM IV	13.9%	12.5%	15.8%	14.9%	13.8%
Expected Move	4.0%	3.6%	4.8%	4.5%	3.9%
HV 20d	10.1%	7.3%	13.2%	13.0%	8.9%
HV 60d	11.6%	11.0%	12.3%	12.3%	11.0%
IV Rank	6.4%	0.0%	16.8%	11.2%	7.1%
IV Percentile	6.3%	0.0%	25.8%	11.1%	6.3%
Term Structure	0.2%	-0.5%	0.7%	0.6%	0.4%
VWIV	14.4%	12.6%	17.3%	15.9%	13.9%
Skew 25d	2.0%	1.2%	2.5%	1.2%	1.9%
Skew 10d	4.1%	2.4%	5.3%	2.4%	4.0%
Call IV 25d	13.1%	11.9%	15.4%	14.5%	13.2%
Put IV 25d	15.1%	14.0%	16.8%	15.7%	15.1%
Bid-Ask Spread %	4.20	2.09	10.58	5.76	4.64
Gamma HHI	0.22	0.13	0.41	0.16	0.18
Net GEX	68.7M	35.6M	115.3M	53.8M	37.7M
Net DEX	-598.6M	-898.2M	-356.3M	-796.4M	-356.3M
Net VEX	-4.2M	-4.5M	-3.9M	-4.3M	-4.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.06	1.05	0.27	0.56
Total Volume	115,419.857	49,998	479,934	171,402	87,297
Total OI	1,296,828.571	1,112,106	1,419,192	1,331,250	1,234,191

Daily Data (21 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
2019-12-02	$39.71	$38.33	14.9%	4.5%	13.0%	11.2%	15.9%	1.2%	0.6%	53.8M	-796.4M	-4.3M	0.27	5.76	134,559	36,843	690,120	641,130
2019-12-03	$39.44	$38.33	15.8%	4.8%	13.2%	16.8%	17.3%	1.4%	0.5%	35.6M	-664.2M	-4.4M	0.46	3.10	92,229	42,813	733,164	657,015
2019-12-04	$39.60	$38.67	14.7%	4.3%	12.3%	9.9%	14.5%	1.3%	0.5%	42.1M	-745.7M	-4.4M	0.06	3.49	453,510	26,424	747,576	671,616
2019-12-05	$39.59	$38.33	14.6%	4.4%	12.2%	9.7%	15.4%	2.1%	0.5%	57.9M	-478.9M	-4.5M	0.52	2.66	60,675	31,794	694,974	670,992
2019-12-06	$39.86	$38.33	13.3%	4.0%	12.3%	1.3%	14.2%	2.1%	0.7%	78.0M	-660.1M	-4.4M	0.45	2.09	69,177	30,975	697,317	678,129
2019-12-09	$39.77	$38.33	14.5%	4.2%	12.0%	9.2%	15.4%	2.4%	0.2%	65.6M	-559.3M	-4.3M	0.76	2.65	41,178	31,470	638,658	641,610
2019-12-10	$39.74	$38.33	14.4%	4.2%	11.9%	8.5%	14.7%	2.5%	0.2%	66.0M	-534.1M	-4.3M	0.75	2.40	31,545	23,616	649,137	656,748
2019-12-11	$39.61	$38.33	14.2%	4.2%	12.0%	7.4%	15.8%	2.3%	0.3%	58.8M	-478.2M	-4.3M	0.62	2.97	44,016	27,396	653,514	659,070
2019-12-12	$39.96	$38.33	14.1%	4.1%	10.2%	6.2%	14.3%	2.5%	0.3%	89.6M	-674.0M	-4.4M	0.38	3.97	76,032	28,668	667,044	668,289
2019-12-13	$40.11	$38.33	13.0%	3.8%	10.0%	0.0%	13.3%	2.0%	0.5%	94.6M	-765.5M	-4.1M	0.41	2.54	76,455	31,056	664,623	670,971
2019-12-16	$40.19	$38.33	12.6%	3.7%	8.2%	0.0%	12.6%	2.2%	-0.4%	89.5M	-744.5M	-4.0M	0.41	3.49	70,077	28,479	638,628	650,061
2019-12-17	$40.46	$38.33	13.1%	3.8%	7.3%	2.5%	14.0%	2.3%	-0.5%	102.7M	-898.2M	-3.9M	1.05	2.27	80,700	84,747	654,723	652,233
2019-12-18	$40.01	$38.33	13.4%	3.9%	8.4%	4.7%	13.6%	2.3%	-0.0%	89.3M	-601.6M	-3.9M	0.57	2.93	51,771	29,745	660,261	626,310
2019-12-19	$39.99	$38.33	13.3%	3.8%	8.0%	3.8%	14.5%	2.4%	0.0%	115.3M	-599.2M	-4.0M	0.82	4.57	46,275	37,812	670,371	637,767
2019-12-20	$40.16	$38.33	12.5%	3.6%	8.0%	0.0%	12.6%	2.1%	-0.1%	109.1M	-714.3M	-3.9M	0.29	3.67	77,427	22,785	677,856	650,394
2019-12-23	$39.69	$38.33	13.6%	4.0%	9.1%	6.1%	14.2%	1.8%	0.3%	41.6M	-403.9M	-4.0M	0.32	4.75	118,839	37,560	566,874	545,232
2019-12-24	$39.85	$38.33	13.4%	3.9%	9.0%	4.7%	13.8%	2.1%	0.5%	60.0M	-480.9M	-4.1M	0.40	10.30	35,727	14,271	645,435	562,479
2019-12-26	$39.79	$38.33	14.3%	4.0%	8.8%	10.2%	14.1%	1.8%	-0.0%	54.8M	-462.3M	-4.1M	0.39	10.58	55,749	21,900	661,362	571,341
2019-12-27	$39.85	$38.33	13.7%	3.9%	8.7%	6.5%	14.0%	2.0%	0.3%	50.5M	-485.5M	-4.2M	0.43	6.27	51,222	21,969	682,401	581,811
2019-12-30	$39.79	$38.33	13.9%	4.0%	8.7%	8.0%	14.2%	2.2%	0.3%	50.9M	-467.3M	-4.1M	0.69	3.18	35,022	24,012	647,727	564,246
2019-12-31	$39.56	$38.33	13.8%	3.9%	8.9%	7.1%	13.9%	1.9%	0.4%	37.7M	-356.3M	-4.0M	0.56	4.64	55,971	31,326	656,382	577,809