WMT Options History — January 2020

In January 2020, WMT traded between $38.10 and $39.64. ATM implied volatility averaged 18.1%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 8.6% (HV 20d: 9.5%). Max pain ranged from $38.33 to $40.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2020-01-17: Highest Volume — 316,422 contracts
  • 2020-01-21: Largest IV spike — 26.8% change
  • 2020-01-31: Highest IV Rank — 76.5%
  • 2020-01-31: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.73$38.10$39.64$39.64$38.12
Max Pain$39.33$38.33$40.00$38.33$38.67
ATM IV18.1%13.7%25.6%13.9%25.6%
Expected Move6.2%4.0%8.0%4.0%8.0%
HV 20d9.5%8.4%12.8%8.6%12.8%
HV 60d10.9%10.5%11.7%10.9%11.7%
IV Rank32.4%6.8%76.5%7.7%76.5%
IV Percentile44.7%6.3%95.2%7.9%95.2%
Term Structure1.2%-2.1%7.4%0.3%-2.1%
VWIV21.4%13.7%27.5%13.7%27.5%
Skew 25d2.2%1.5%3.4%1.9%3.4%
Skew 10d4.3%2.6%7.0%5.0%7.0%
Call IV 25d17.0%12.6%23.9%13.1%23.9%
Put IV 25d19.1%14.0%27.4%15.0%27.4%
Bid-Ask Spread %3.742.209.873.889.87
Gamma HHI0.130.090.320.180.10
Net GEX22.1M-33.0M46.1M46.1M-4.0M
Net DEX-130.7M-406.2M137.4M-406.2M137.4M
Net VEX-4.4M-4.9M-3.9M-4.1M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.201.240.551.24
Total Volume128,723.85764,677316,42271,100171,948
Total OI1,300,738.8571,015,7371,578,5731,269,2071,201,305

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$39.64$38.3313.9%4.0%8.6%7.7%13.7%1.9%0.3%46.1M-406.2M-4.1M0.553.8845,77125,329678,084591,123
2020-01-03$39.34$38.3314.5%4.2%8.9%11.7%14.9%2.0%0.2%3.8M-278.7M-4.0M0.504.3463,07831,764681,876594,984
2020-01-06$39.15$40.0014.9%6.2%9.1%13.8%20.5%2.3%0.1%17.8M-243.8M-3.9M0.783.3181,38163,477667,158588,468
2020-01-07$38.85$40.0014.5%6.1%9.0%11.4%20.4%2.1%0.1%1.2M-101.4M-4.0M0.243.70112,83027,219690,552619,953
2020-01-08$38.83$40.0013.9%6.0%9.0%7.9%20.1%1.8%0.3%23.2M-169.6M-4.0M0.764.0492,95570,881745,116628,560
2020-01-09$39.05$40.0014.1%6.0%9.3%8.8%20.0%1.6%-0.3%46.1M-292.2M-4.2M0.202.20165,20133,651774,315654,609
2020-01-10$38.76$40.0013.7%5.8%9.6%6.8%20.3%1.5%0.2%32.4M-138.2M-4.3M0.423.93114,66948,033822,069667,293
2020-01-13$38.58$40.0013.7%5.9%8.9%6.8%20.3%1.8%6.9%37.9M-98.3M-4.2M0.342.4085,97129,535832,560657,822
2020-01-14$38.60$40.0014.0%6.1%8.7%8.4%20.5%1.8%7.3%36.3M-121.6M-4.3M0.502.8877,64339,087847,458668,874
2020-01-15$38.36$40.0014.5%6.2%8.7%11.3%22.0%1.7%7.0%10.2M41.0M-4.2M0.446.1488,91738,823858,597687,399
2020-01-16$38.60$40.0014.6%5.9%8.7%11.9%20.3%1.5%7.4%23.4M-120.5M-4.3M0.503.4059,04029,460883,635693,774
2020-01-17$38.27$40.0016.7%6.1%8.4%24.4%21.2%1.5%7.3%-33.0M123.0M-4.1M1.063.99153,279163,143887,913690,660
2020-01-21$38.48$40.0021.2%6.3%8.8%50.6%21.7%2.3%-1.3%19.4M-23.1M-4.3M0.462.7280,91037,065593,247422,490
2020-01-22$38.75$38.6722.4%6.4%9.1%57.5%21.7%2.2%-1.3%30.1M-177.0M-4.7M0.282.7393,14426,124636,696470,310
2020-01-23$38.59$38.6722.5%6.5%8.4%58.2%22.7%2.3%-1.5%29.8M-112.7M-4.8M0.382.8246,89017,787670,929473,166
2020-01-24$38.10$38.6723.6%6.9%9.0%64.7%23.9%2.2%-1.5%811.8K91.6M-4.6M0.653.3651,47733,576679,299476,553
2020-01-27$38.65$38.6723.8%7.2%10.8%65.7%24.9%3.1%-0.8%30.3M-168.4M-4.7M0.442.2795,54142,504645,987453,093
2020-01-28$38.93$38.6722.4%6.8%11.2%57.9%24.0%2.8%-1.1%41.4M-280.9M-4.8M0.612.7365,87140,479659,748473,394
2020-01-29$38.77$38.6722.6%7.0%11.2%58.8%24.3%2.8%-1.1%34.1M-184.1M-4.8M0.843.3537,33531,506673,443491,367
2020-01-30$38.86$38.6722.8%7.2%11.2%60.0%25.2%2.8%-0.9%36.3M-220.5M-4.9M0.754.3951,36638,541678,681502,956
2020-01-31$38.12$38.6725.6%8.0%12.8%76.5%27.5%3.4%-2.1%-4.0M137.4M-4.8M1.249.8776,66895,280688,155513,150