WMT Options History — April 2020

In April 2020, WMT traded between $38.06 and $44.18. ATM implied volatility averaged 34.8%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 10.1% (HV 20d: 44.9%). Max pain ranged from $38.33 to $41.67. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.48.

Notable Days

2020-04-16: Highest Volume — 354,027 contracts
2020-04-06: Largest IV drop — 18.7% change
2020-04-21: Highest IV Rank — 51.1%
2020-04-01: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.97	$38.06	$44.18	$38.06	$40.49
Max Pain	$40.17	$38.33	$41.67	$38.33	$41.67
ATM IV	34.8%	29.1%	40.6%	40.1%	36.8%
Expected Move	8.9%	7.2%	12.2%	12.2%	8.2%
HV 20d	44.9%	29.8%	62.3%	58.7%	33.9%
HV 60d	43.7%	41.4%	45.1%	41.4%	45.1%
IV Rank	40.6%	30.3%	51.1%	50.3%	44.1%
IV Percentile	91.0%	87.3%	94.4%	94.4%	91.7%
Term Structure	0.3%	-6.4%	8.4%	0.8%	0.9%
VWIV	31.7%	25.4%	42.1%	42.1%	28.1%
Skew 25d	4.2%	-3.0%	15.0%	15.0%	2.4%
Skew 10d	10.4%	-2.7%	23.5%	11.4%	-2.7%
Call IV 25d	32.6%	27.0%	38.5%	31.9%	33.3%
Put IV 25d	36.8%	29.5%	46.9%	46.9%	35.7%
Bid-Ask Spread %	10.08	4.17	34.69	14.20	6.27
Gamma HHI	0.16	0.08	0.21	0.10	0.08
Net GEX	52.6M	13.3M	77.2M	25.4M	13.3M
Net DEX	-953.0M	-1.86B	-196.5M	-219.2M	-196.5M
Net VEX	-6.0M	-6.7M	-5.5M	-5.6M	-5.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.28	1.13	0.28	0.38
Total Volume	192,482.714	113,646	354,027	127,623	139,680
Total OI	1,266,207	1,125,204	1,406,391	1,161,393	1,382,640

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
2020-04-01	$38.06	$38.33	40.1%	12.2%	58.7%	50.3%	42.1%	15.0%	0.8%	25.4M	-219.2M	-5.6M	0.28	14.20	99,987	27,636	648,414	512,979
2020-04-02	$39.27	$38.33	37.2%	10.2%	59.8%	44.9%	37.0%	10.2%	-6.4%	44.2M	-514.5M	-5.8M	0.71	19.30	69,246	49,404	659,826	522,348
2020-04-03	$39.67	$38.33	40.0%	10.3%	59.7%	50.0%	36.5%	2.4%	5.1%	49.8M	-621.7M	-5.9M	0.59	34.69	117,309	69,690	668,925	538,749
2020-04-06	$41.67	$38.33	32.5%	8.4%	62.0%	36.4%	30.2%	3.0%	-2.7%	54.8M	-1.02B	-5.7M	0.68	16.84	133,383	90,174	633,651	491,553
2020-04-07	$41.05	$38.33	33.8%	8.5%	62.3%	38.8%	31.3%	-3.0%	0.6%	49.9M	-839.6M	-5.8M	1.13	14.95	78,186	88,683	669,912	531,942
2020-04-08	$40.56	$40.00	34.3%	8.9%	60.4%	39.6%	29.3%	10.5%	-2.1%	46.6M	-677.2M	-5.7M	0.61	12.16	94,986	58,356	683,796	548,013
2020-04-09	$40.73	$40.00	33.1%	8.7%	50.2%	37.4%	30.1%	5.3%	-4.8%	54.8M	-749.6M	-5.8M	0.36	9.60	119,097	43,134	717,231	561,111
2020-04-13	$41.74	$40.00	29.2%	8.6%	49.1%	30.3%	31.0%	7.2%	5.8%	64.1M	-1.03B	-5.5M	0.31	9.96	123,669	38,577	687,540	524,538
2020-04-14	$42.92	$40.00	29.1%	8.3%	49.4%	30.3%	30.8%	5.6%	8.4%	75.0M	-1.47B	-5.6M	0.32	7.73	200,598	64,209	722,001	538,287
2020-04-15	$42.88	$40.00	31.0%	8.9%	40.6%	33.6%	32.9%	5.7%	4.1%	77.2M	-1.48B	-5.6M	0.34	7.07	189,090	63,660	764,550	554,664
2020-04-16	$44.18	$40.00	31.9%	8.7%	41.5%	35.2%	31.1%	5.6%	7.5%	69.9M	-1.86B	-6.0M	0.34	5.59	264,222	89,805	796,809	581,625
2020-04-17	$43.97	$40.00	32.2%	8.7%	41.7%	35.9%	31.3%	5.1%	5.7%	58.4M	-1.68B	-6.1M	0.59	4.95	116,733	69,456	799,836	606,555
2020-04-20	$43.47	$40.00	35.6%	9.1%	36.2%	42.1%	32.0%	4.2%	-0.6%	49.7M	-1.10B	-6.2M	0.47	7.72	188,580	87,789	680,241	455,622
2020-04-21	$43.23	$40.67	40.6%	10.1%	36.3%	51.1%	35.7%	0.4%	-2.5%	45.0M	-1.01B	-6.6M	0.30	8.17	187,611	56,508	748,563	484,833
2020-04-22	$43.99	$41.33	35.9%	9.5%	36.5%	42.6%	33.8%	3.1%	0.4%	74.0M	-1.33B	-6.6M	0.31	6.53	121,065	37,863	806,619	502,083
2020-04-23	$43.04	$41.67	39.9%	9.5%	35.2%	49.8%	33.0%	2.0%	-3.3%	49.7M	-965.3M	-6.7M	0.38	6.15	147,171	56,586	808,422	510,252
2020-04-24	$43.23	$41.67	35.2%	8.0%	33.2%	41.3%	29.8%	0.6%	-1.4%	71.0M	-1.05B	-6.6M	0.69	4.17	76,221	52,620	827,748	526,920
2020-04-27	$42.92	$41.67	35.2%	7.6%	33.5%	41.3%	27.4%	3.9%	-2.1%	54.4M	-903.7M	-6.4M	0.46	4.58	91,863	42,333	775,338	485,970
2020-04-28	$42.84	$41.67	32.8%	7.2%	29.8%	37.0%	25.4%	-0.3%	-3.6%	55.2M	-877.6M	-6.2M	0.41	4.87	80,727	32,919	802,908	501,216
2020-04-29	$41.44	$41.67	34.5%	7.5%	32.5%	40.0%	26.3%	0.1%	-3.1%	21.7M	-428.1M	-5.9M	0.31	6.25	217,002	66,309	814,185	511,932
2020-04-30	$40.49	$41.67	36.8%	8.2%	33.9%	44.1%	28.1%	2.4%	0.9%	13.3M	-196.5M	-5.9M	0.38	6.27	100,974	38,706	857,409	525,231