WMT Options History — February 2020

In February 2020, WMT traded between $35.27 and $39.82. ATM implied volatility averaged 22.8%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 7.8% (HV 20d: 15.0%). Max pain ranged from $38.33 to $38.67. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.91.

Notable Days

  • 2020-02-18: Highest Volume — 372,843 contracts
  • 2020-02-28: Largest IV spike — 42.4% change
  • 2020-02-28: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.55$35.27$39.82$38.16$35.27
Max Pain$38.35$38.33$38.67$38.67$38.33
ATM IV22.8%15.3%37.8%24.9%37.8%
Expected Move6.7%4.4%11.9%8.3%11.9%
HV 20d15.0%12.7%25.0%12.7%25.0%
HV 60d11.7%10.4%16.7%11.3%16.7%
IV Rank57.6%15.9%100.0%72.1%100.0%
IV Percentile77.6%28.2%100.0%92.1%100.0%
Term Structure-0.9%-3.9%0.5%-0.3%-1.7%
VWIV23.4%15.9%42.1%28.7%42.1%
Skew 25d3.5%2.3%8.2%3.2%8.2%
Skew 10d6.3%1.5%12.0%5.8%10.7%
Call IV 25d21.4%14.6%36.4%22.8%36.4%
Put IV 25d24.9%17.1%44.6%26.1%44.6%
Bid-Ask Spread %5.262.4813.892.488.72
Gamma HHI0.100.080.200.090.08
Net GEX18.6M-12.9M84.8M5.9M-11.5M
Net DEX-150.2M-727.3M550.4M103.1M550.4M
Net VEX-4.4M-4.9M-3.8M-4.7M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.341.870.941.37
Total Volume147,261.15870,608372,843100,404148,710
Total OI1,197,198.474890,6341,387,5961,170,279981,789

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$38.16$38.6724.9%8.3%12.7%72.1%28.7%3.2%-0.3%5.9M103.1M-4.7M0.942.4851,72048,684657,894512,385
2020-02-04$38.52$38.3323.7%7.9%13.2%65.1%27.6%2.8%-0.7%16.0M-48.7M-4.8M0.402.5150,42720,181671,496530,340
2020-02-05$38.91$38.3323.9%8.1%13.5%66.4%28.3%3.0%-0.9%32.2M-241.8M-4.9M0.433.3983,43635,550678,360535,173
2020-02-06$38.75$38.3323.5%6.2%13.6%63.9%21.1%3.0%-0.9%23.5M-148.0M-4.8M1.042.7846,70748,630700,704547,980
2020-02-07$38.82$38.3323.6%6.3%13.4%64.5%21.0%3.4%-0.6%23.9M-212.7M-4.8M0.803.0243,62334,764713,379549,762
2020-02-10$38.41$38.3325.1%6.5%13.7%73.7%22.0%2.9%-3.9%9.7M-4.5M-4.6M1.235.4366,62782,221674,013529,692
2020-02-11$38.44$38.3324.2%6.5%13.6%68.4%22.4%2.8%-1.5%11.3M-49.1M-4.6M0.344.5370,87224,057698,946547,248
2020-02-12$38.70$38.3324.4%6.6%13.8%69.2%22.1%3.1%-1.1%27.0M-206.4M-4.7M0.895.3373,88465,484722,793556,068
2020-02-13$39.11$38.3324.3%6.7%14.1%68.6%22.3%2.8%-0.9%43.7M-396.0M-4.8M0.787.77113,96489,121735,093591,591
2020-02-14$39.17$38.3324.6%6.5%13.9%70.5%22.9%2.8%-2.4%32.0M-461.1M-4.8M0.537.88231,168123,267750,552593,781
2020-02-18$39.82$38.3315.5%4.4%14.5%17.2%15.9%2.5%0.1%84.8M-727.3M-3.9M0.844.98202,224170,619774,996610,875
2020-02-19$39.29$38.3315.3%4.4%15.4%15.9%16.0%2.5%0.5%19.1M-370.0M-3.8M0.603.68121,57872,597766,152621,444
2020-02-20$39.21$38.3315.3%4.4%15.3%15.9%16.3%2.3%0.3%4.0M-358.1M-3.8M0.864.2350,41843,152767,724619,683
2020-02-21$39.48$38.3316.4%4.7%15.3%22.8%17.3%3.0%0.4%33.8M-524.0M-3.8M0.744.1954,52240,470767,466617,781
2020-02-24$38.91$38.3319.7%5.9%15.6%41.8%20.9%3.7%-0.6%16.2M-143.4M-4.0M1.553.7744,65269,288512,253378,381
2020-02-25$38.27$38.3322.4%6.8%15.9%57.5%24.1%4.5%-0.8%1.6M21.6M-4.1M1.575.2142,56166,891517,545402,465
2020-02-26$38.02$38.3322.5%6.8%15.8%58.5%23.7%4.3%-0.9%-7.0M106.8M-4.1M0.416.11113,50246,878527,025423,021
2020-02-27$37.20$38.3326.5%8.3%17.4%82.0%30.1%5.7%-0.7%-12.9M256.5M-4.3M1.8713.8936,77168,742523,935436,986
2020-02-28$35.27$38.3337.8%11.9%25.0%100.0%42.1%8.2%-1.7%-11.5M550.4M-4.2M1.378.7262,66186,049529,134452,655