WMT Options History — June 2020

In June 2020, WMT traded between $39.22 and $41.31. ATM implied volatility averaged 22.6%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.3% (HV 20d: 16.2%). Max pain ranged from $40.00 to $41.67. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.38.

Notable Days

2020-06-11: Highest Volume — 393,510 contracts
2020-06-11: Largest IV spike — 29.0% change
2020-06-12: Highest IV Rank — 28.6%
2020-06-11: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.13	$39.22	$41.31	$41.31	$39.83
Max Pain	$40.15	$40.00	$41.67	$40.00	$40.00
ATM IV	22.6%	20.1%	28.2%	21.5%	20.5%
Expected Move	6.5%	5.7%	7.9%	6.4%	5.7%
HV 20d	16.2%	12.6%	18.8%	17.7%	15.5%
HV 60d	30.0%	22.8%	39.9%	39.9%	22.8%
IV Rank	18.3%	13.7%	28.6%	16.3%	14.5%
IV Percentile	58.4%	42.5%	77.4%	55.2%	42.5%
Term Structure	0.0%	-1.1%	0.9%	0.2%	0.2%
VWIV	22.8%	19.9%	27.8%	22.8%	20.1%
Skew 25d	3.2%	1.6%	5.8%	3.9%	2.9%
Skew 10d	6.4%	-0.1%	11.2%	6.7%	6.6%
Call IV 25d	21.9%	19.6%	27.1%	20.5%	19.6%
Put IV 25d	25.1%	21.2%	32.8%	24.4%	22.5%
Bid-Ask Spread %	6.00	2.02	23.18	2.48	4.04
Gamma HHI	0.10	0.07	0.24	0.14	0.08
Net GEX	32.7M	-9.7M	74.9M	56.1M	40.5M
Net DEX	-263.1M	-568.2M	150.6M	-568.2M	-306.8M
Net VEX	-6.2M	-6.9M	-5.6M	-5.9M	-6.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.21	0.71	0.46	0.27
Total Volume	190,207.091	102,438	393,510	102,438	116,892
Total OI	1,568,651.864	1,217,196	1,873,449	1,474,314	1,382,376

Daily Data (22 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
2020-06-01	$41.31	$40.00	21.5%	6.4%	17.7%	16.3%	22.8%	3.9%	0.2%	56.1M	-568.2M	-5.9M	0.46	2.48	70,161	32,277	936,888	537,426
2020-06-02	$41.12	$40.00	22.1%	6.4%	17.6%	17.4%	22.6%	3.4%	-0.5%	51.4M	-497.5M	-5.8M	0.59	2.75	64,809	38,229	951,486	551,082
2020-06-03	$41.25	$40.00	20.6%	6.0%	17.4%	14.7%	21.9%	3.3%	0.3%	59.6M	-560.8M	-5.9M	0.47	2.02	77,094	36,000	971,331	565,308
2020-06-04	$40.68	$41.67	21.5%	6.3%	17.7%	16.3%	21.3%	3.8%	-0.3%	32.6M	-317.6M	-5.6M	0.71	6.05	105,408	74,736	992,850	581,121
2020-06-05	$40.41	$41.67	20.1%	5.8%	17.6%	13.7%	19.9%	1.6%	-0.7%	4.1M	-188.5M	-5.6M	0.41	11.03	179,142	72,948	1,024,500	601,086
2020-06-08	$40.24	$40.00	21.6%	6.3%	17.6%	16.6%	21.8%	2.2%	0.6%	24.9M	-226.4M	-5.9M	0.53	2.86	144,888	77,355	983,583	584,676
2020-06-09	$40.36	$40.00	21.3%	6.3%	17.4%	16.0%	21.7%	2.1%	0.7%	37.3M	-324.0M	-6.1M	0.37	3.12	89,874	32,961	1,028,136	617,226
2020-06-10	$40.48	$40.00	21.1%	6.2%	17.3%	15.7%	21.0%	2.1%	0.3%	42.3M	-370.9M	-6.1M	0.32	11.99	107,874	34,968	1,046,286	627,108
2020-06-11	$40.07	$40.00	27.3%	7.9%	17.4%	26.8%	27.2%	3.4%	0.2%	26.0M	-221.0M	-6.4M	0.28	9.24	307,194	86,316	1,059,990	635,217
2020-06-12	$39.22	$40.00	28.2%	7.8%	18.8%	28.6%	27.8%	5.8%	-1.1%	-5.7M	150.6M	-6.2M	0.44	23.18	220,038	97,227	1,104,537	655,134
2020-06-15	$39.23	$40.00	25.6%	7.3%	17.8%	23.8%	26.1%	5.2%	-0.2%	2.0M	81.8M	-6.0M	0.30	9.19	166,818	50,367	1,060,326	634,914
2020-06-16	$39.73	$40.00	23.4%	6.7%	15.1%	19.8%	23.3%	4.7%	-0.1%	24.2M	-155.6M	-6.1M	0.25	6.67	157,533	39,717	1,111,887	649,149
2020-06-17	$39.51	$40.00	23.1%	6.6%	12.7%	19.2%	23.7%	3.8%	-1.0%	12.5M	-41.6M	-6.1M	0.38	6.03	100,770	38,370	1,135,854	658,491
2020-06-18	$39.25	$40.00	23.4%	6.7%	12.6%	19.8%	23.8%	3.3%	0.9%	-9.7M	70.9M	-6.1M	0.35	5.65	105,579	36,495	1,160,994	672,999
2020-06-19	$39.90	$40.00	22.1%	6.4%	14.4%	17.5%	22.2%	3.4%	-0.0%	74.9M	-259.2M	-6.3M	0.40	3.88	194,604	78,321	1,184,211	689,238
2020-06-22	$40.56	$40.00	22.3%	6.5%	15.7%	17.8%	22.8%	3.3%	0.2%	47.5M	-463.7M	-6.5M	0.22	5.63	276,630	60,402	735,072	482,124
2020-06-23	$40.45	$40.00	21.1%	6.0%	15.6%	15.6%	20.8%	2.4%	0.0%	58.3M	-475.7M	-6.5M	0.21	2.36	236,430	49,488	793,932	502,263
2020-06-24	$40.23	$40.00	22.6%	6.5%	15.3%	18.2%	23.0%	2.7%	0.0%	54.4M	-430.2M	-6.9M	0.34	3.65	114,831	38,706	877,341	511,704
2020-06-25	$39.85	$40.00	22.2%	6.5%	15.2%	17.6%	22.9%	2.8%	0.1%	37.1M	-289.3M	-6.9M	0.34	3.20	103,383	34,704	899,376	521,733
2020-06-26	$39.50	$40.00	23.4%	6.7%	15.4%	19.7%	23.4%	2.5%	0.4%	20.7M	-176.9M	-6.8M	0.39	3.70	91,731	35,697	914,511	528,693
2020-06-29	$39.58	$40.00	21.9%	6.2%	15.2%	17.0%	21.4%	2.7%	0.3%	27.7M	-217.0M	-6.7M	0.26	3.34	85,089	22,500	849,654	498,528
2020-06-30	$39.83	$40.00	20.5%	5.7%	15.5%	14.5%	20.1%	2.9%	0.2%	40.5M	-306.8M	-6.7M	0.27	4.04	92,361	24,531	874,860	507,516