WMT Options History — March 2020

In March 2020, WMT traded between $34.99 and $40.16. ATM implied volatility averaged 45.1%, placing in the 77.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 9.7% (HV 20d: 54.9%). Max pain ranged from $38.33 to $40.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2020-03-18: Highest Volume — 505,431 contracts
  • 2020-03-05: Largest IV spike — 39.6% change
  • 2020-03-10: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.06$34.99$40.16$38.45$38.21
Max Pain$38.56$38.33$40.00$38.33$38.33
ATM IV45.1%23.9%67.4%28.3%35.0%
Expected Move12.7%7.8%19.3%9.2%11.1%
HV 20d54.9%40.4%67.3%40.4%59.2%
HV 60d33.4%24.6%41.5%24.6%41.4%
IV Rank77.2%40.9%100.0%62.6%40.9%
IV Percentile98.0%89.3%100.0%98.8%93.3%
Term Structure-2.5%-8.4%6.2%-1.3%-7.6%
VWIV45.7%28.1%65.9%31.3%39.6%
Skew 25d14.7%6.0%28.8%12.2%16.3%
Skew 10d26.9%4.6%48.0%24.8%5.8%
Call IV 25d37.8%21.8%58.5%23.7%24.4%
Put IV 25d52.6%28.6%79.9%35.9%40.7%
Bid-Ask Spread %13.537.7826.4411.3812.91
Gamma HHI0.110.070.130.110.10
Net GEX16.4M-10.9M48.3M10.0M29.8M
Net DEX-130.2M-697.5M568.3M-119.6M-266.2M
Net VEX-5.5M-6.4M-4.8M-4.8M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.342.100.640.47
Total Volume173,793.13672,129505,431204,081115,281
Total OI1,143,631.091946,6741,336,281946,6741,148,955

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$38.45$38.3328.3%9.2%40.4%62.6%31.3%12.2%-1.3%10.0M-119.6M-4.8M0.6411.38124,75279,329502,149444,525
2020-03-03$37.89$38.3328.9%9.2%40.7%65.0%32.4%8.2%-1.3%7.7M-8.7M-4.9M0.5712.5881,04546,266554,058475,422
2020-03-04$38.71$38.3323.9%7.8%41.3%44.8%28.1%6.8%1.6%26.9M-248.1M-5.0M0.779.5640,75831,371597,330487,944
2020-03-05$38.46$38.3333.3%8.5%41.2%82.3%28.7%7.1%-0.8%23.6M-203.0M-5.3M1.0310.3147,10048,456608,844490,170
2020-03-06$38.91$38.3334.8%9.8%41.4%88.1%35.7%13.1%1.8%34.0M-313.9M-5.5M2.109.3348,471101,685614,484505,368
2020-03-09$39.46$38.3335.8%9.7%41.7%92.0%34.8%15.7%-0.4%28.3M-396.5M-5.6M0.847.7995,61380,694589,362523,017
2020-03-10$39.80$38.3338.7%9.8%41.6%100.0%39.0%12.7%-6.8%33.8M-493.7M-5.7M1.0210.5967,87869,549609,621541,230
2020-03-11$38.17$38.3345.0%11.2%44.4%100.0%43.8%7.5%-5.3%11.0M-59.0M-5.6M0.997.7877,33776,464618,555564,219
2020-03-12$34.99$38.3357.4%15.8%53.8%100.0%54.6%28.8%-3.0%-10.2M568.3M-5.2M1.2716.7799,693126,579638,991581,763
2020-03-13$36.45$38.3352.0%14.3%56.0%87.8%53.9%10.5%-2.8%-10.9M360.4M-5.4M1.2121.5348,00657,870650,151578,280
2020-03-16$36.26$38.3358.9%16.9%56.0%100.0%65.9%21.0%-6.6%1.0M249.6M-5.5M1.2613.2561,68077,811628,611539,115
2020-03-17$39.44$38.3354.5%15.3%63.8%90.6%57.0%25.4%-2.9%29.8M-454.5M-6.0M0.5910.57126,80474,709646,776545,043
2020-03-18$39.95$38.3367.4%19.3%63.8%100.0%65.6%21.3%-7.9%32.2M-639.6M-6.3M0.4613.57347,352158,079661,596563,208
2020-03-19$40.16$40.0055.2%15.8%63.8%77.7%56.3%15.0%0.4%48.3M-697.5M-6.4M0.4326.44175,22475,552725,649610,632
2020-03-20$38.07$40.0050.8%14.8%66.7%69.7%51.8%12.2%-1.9%7.3M-39.1M-5.8M0.6217.90106,58465,718716,688616,002
2020-03-23$37.96$40.0056.0%14.6%66.5%79.3%53.3%24.5%-3.1%7.9M-76.2M-5.5M0.6414.8871,54445,630505,674487,551
2020-03-24$38.05$38.3346.2%13.0%66.2%61.3%46.0%16.3%0.6%9.6M-88.9M-5.3M0.3514.81127,47645,060529,737497,385
2020-03-25$36.86$38.3355.5%14.7%67.2%78.3%49.1%11.1%-8.4%3.4M82.2M-5.3M0.3513.70146,45450,856583,701510,972
2020-03-26$35.97$38.3347.3%14.1%67.3%63.3%49.7%16.6%-5.4%-384.1K206.5M-5.1M0.4411.51132,97258,806628,539513,666
2020-03-27$36.58$38.3347.1%13.6%64.7%63.0%46.0%15.8%6.2%11.8M73.5M-5.4M0.3416.12128,11243,296683,916533,883
2020-03-30$38.46$38.3340.8%11.4%59.4%51.5%42.5%6.0%-0.7%25.8M-299.6M-5.6M0.3614.34102,88836,645615,786491,316
2020-03-31$38.21$38.3335.0%11.1%59.2%40.9%39.6%16.3%-7.6%29.8M-266.2M-5.5M0.4712.9178,53436,747644,070504,885