WMT Options History — May 2020

In May 2020, WMT traded between $40.77 and $42.80. ATM implied volatility averaged 28.9%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.7% (HV 20d: 24.2%). Max pain ranged from $38.33 to $41.33. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.30.

Notable Days

2020-05-19: Highest Volume — 944,613 contracts
2020-05-19: Largest IV drop — 10.1% change
2020-05-01: Highest IV Rank — 44.7%
2020-05-14: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.34	$40.77	$42.80	$40.94	$41.06
Max Pain	$39.65	$38.33	$41.33	$41.33	$40.00
ATM IV	28.9%	21.4%	37.1%	37.1%	21.8%
Expected Move	7.9%	6.0%	9.3%	8.7%	6.5%
HV 20d	24.2%	18.0%	32.4%	32.4%	18.0%
HV 60d	44.4%	39.9%	45.6%	45.2%	39.9%
IV Rank	29.9%	16.2%	44.7%	44.7%	17.0%
IV Percentile	76.7%	55.6%	91.7%	91.7%	57.5%
Term Structure	-1.6%	-5.5%	0.4%	-5.4%	0.0%
VWIV	27.8%	21.0%	33.3%	30.3%	22.6%
Skew 25d	3.0%	-2.1%	6.8%	6.8%	4.2%
Skew 10d	4.3%	-17.3%	14.3%	5.9%	8.3%
Call IV 25d	28.2%	19.9%	38.2%	36.7%	20.5%
Put IV 25d	31.2%	22.8%	43.6%	43.6%	24.7%
Bid-Ask Spread %	5.36	1.88	14.26	4.49	2.27
Gamma HHI	0.14	0.09	0.63	0.09	0.15
Net GEX	64.5M	30.0M	255.6M	30.0M	47.1M
Net DEX	-582.9M	-1.08B	-339.9M	-385.6M	-488.7M
Net VEX	-6.2M	-6.7M	-5.8M	-6.4M	-5.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.16	0.58	0.28	0.58
Total Volume	268,088.55	120,501	944,613	233,139	143,322
Total OI	1,519,188.45	1,296,915	1,823,448	1,431,429	1,608,348

Daily Data (20 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
2020-05-01	$40.94	$41.33	37.1%	8.7%	32.4%	44.7%	30.3%	6.8%	-5.4%	30.0M	-385.6M	-6.4M	0.28	4.49	182,598	50,541	893,544	537,885
2020-05-04	$41.23	$38.33	36.4%	9.1%	32.3%	43.5%	32.6%	-1.1%	-4.6%	44.7M	-529.8M	-6.3M	0.16	7.05	131,079	20,790	845,580	523,122
2020-05-05	$41.55	$38.33	32.9%	8.8%	27.2%	37.0%	30.8%	-2.1%	-5.5%	53.3M	-632.9M	-6.1M	0.19	8.26	135,282	25,686	853,458	529,617
2020-05-06	$41.13	$38.33	34.4%	8.8%	26.9%	39.8%	31.4%	0.6%	-0.9%	42.1M	-482.1M	-6.2M	0.23	7.37	97,581	22,920	869,799	537,036
2020-05-07	$40.77	$38.33	33.0%	8.9%	26.7%	37.3%	30.0%	4.8%	-1.4%	32.7M	-339.9M	-6.1M	0.42	6.15	107,184	45,465	880,992	543,879
2020-05-08	$40.86	$38.33	29.9%	8.0%	26.7%	31.6%	30.7%	3.1%	-1.8%	36.0M	-360.0M	-6.1M	0.49	2.93	108,057	53,424	905,241	553,179
2020-05-11	$41.21	$40.00	31.0%	8.3%	25.3%	33.7%	30.5%	3.9%	-1.5%	51.3M	-541.5M	-6.0M	0.33	3.52	151,488	50,214	874,419	526,119
2020-05-12	$41.44	$40.00	31.0%	8.2%	23.1%	33.6%	29.1%	3.1%	-2.7%	63.3M	-646.6M	-6.1M	0.18	6.40	181,554	33,417	923,736	539,823
2020-05-13	$41.15	$40.00	32.5%	8.8%	23.2%	36.3%	30.9%	4.0%	-1.9%	55.5M	-540.7M	-6.2M	0.23	3.52	188,379	42,489	948,630	542,517
2020-05-14	$41.06	$40.00	34.7%	9.3%	19.9%	40.3%	33.3%	5.1%	-2.7%	58.1M	-521.2M	-6.3M	0.23	14.26	233,913	53,487	962,880	546,216
2020-05-15	$41.66	$40.00	32.0%	9.0%	20.9%	35.5%	31.7%	2.9%	-0.7%	255.6M	-820.8M	-6.4M	0.22	4.63	201,009	44,115	1,003,926	552,378
2020-05-18	$42.80	$40.00	29.1%	8.2%	23.1%	30.2%	29.9%	2.4%	-1.0%	68.3M	-1.08B	-6.2M	0.43	4.45	459,111	196,266	825,069	471,846
2020-05-19	$41.71	$40.00	26.2%	7.5%	24.7%	24.9%	26.2%	1.8%	-1.4%	60.3M	-717.6M	-6.3M	0.25	5.12	752,835	191,778	1,013,043	576,555
2020-05-20	$41.85	$40.00	24.5%	7.0%	23.8%	21.9%	24.7%	2.5%	-0.2%	87.8M	-802.9M	-6.6M	0.27	2.72	314,286	84,069	1,171,902	584,958
2020-05-21	$41.72	$40.00	23.8%	6.8%	22.7%	20.6%	24.1%	2.6%	0.4%	83.6M	-756.5M	-6.7M	0.20	2.47	267,402	52,755	1,206,984	592,305
2020-05-22	$41.46	$40.00	22.9%	6.5%	22.6%	18.8%	23.0%	2.4%	0.1%	61.4M	-616.1M	-6.5M	0.28	1.88	164,277	46,638	1,227,753	595,695
2020-05-26	$41.26	$40.00	21.4%	6.0%	22.6%	16.2%	21.0%	3.0%	-0.5%	62.0M	-538.2M	-5.9M	0.27	13.05	121,008	32,292	990,663	512,988
2020-05-27	$40.80	$40.00	22.2%	6.4%	22.8%	17.5%	22.0%	5.9%	-0.2%	41.2M	-341.0M	-5.8M	0.32	2.68	157,812	51,147	1,007,865	521,067
2020-05-28	$41.12	$40.00	22.0%	6.3%	19.9%	17.2%	21.8%	3.7%	-0.1%	56.5M	-511.6M	-5.9M	0.37	4.00	121,122	44,979	1,046,286	536,466
2020-05-29	$41.06	$40.00	21.8%	6.5%	18.0%	17.0%	22.6%	4.2%	0.0%	47.1M	-488.7M	-5.9M	0.58	2.27	90,567	52,755	1,058,172	550,176