WMT Options History — July 2020

In July 2020, WMT traded between $39.56 and $44.28. ATM implied volatility averaged 27.4%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.6% (HV 20d: 26.7%). Max pain ranged from $38.33 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.24.

Notable Days

2020-07-07: Highest Volume — 2,110,902 contracts
2020-07-07: Largest IV spike — 46.7% change
2020-07-16: Highest IV Rank — 35.5%
2020-07-16: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.01	$39.56	$44.28	$39.94	$43.11
Max Pain	$40.79	$38.33	$42.00	$40.00	$42.00
ATM IV	27.4%	18.8%	32.0%	19.3%	26.9%
Expected Move	8.1%	5.0%	9.4%	5.2%	8.3%
HV 20d	26.7%	14.8%	29.8%	15.5%	28.4%
HV 60d	22.4%	20.0%	24.1%	20.3%	21.1%
IV Rank	27.0%	11.4%	35.5%	12.3%	26.2%
IV Percentile	70.6%	37.7%	82.5%	38.5%	69.4%
Term Structure	-0.1%	-2.0%	2.0%	0.5%	-1.0%
VWIV	29.3%	17.8%	34.3%	18.6%	29.3%
Skew 25d	-1.1%	-5.9%	3.0%	2.9%	-2.0%
Skew 10d	-1.3%	-8.6%	6.5%	6.1%	-2.5%
Call IV 25d	28.7%	17.8%	35.1%	18.3%	30.0%
Put IV 25d	27.6%	20.6%	31.1%	21.2%	28.0%
Bid-Ask Spread %	5.23	2.31	19.73	4.82	4.89
Gamma HHI	0.12	0.08	0.20	0.08	0.11
Net GEX	141.8M	34.1M	253.2M	57.3M	83.8M
Net DEX	-1.72B	-3.01B	-224.3M	-371.2M	-1.19B
Net VEX	-9.3M	-10.4M	-6.3M	-6.6M	-9.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.24	0.11	0.71	0.32	0.47
Total Volume	502,046.182	110,340	2,110,902	110,340	324,972
Total OI	2,000,383.909	1,385,736	2,342,967	1,400,292	2,206,848

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
2020-07-01	$39.94	$40.00	19.3%	5.2%	15.5%	12.3%	18.6%	2.9%	0.5%	57.3M	-371.2M	-6.6M	0.32	4.82	83,406	26,934	887,502	512,790
2020-07-02	$39.75	$40.00	18.8%	5.0%	14.9%	11.4%	17.8%	2.9%	0.4%	48.7M	-279.6M	-6.5M	0.32	3.02	115,374	37,074	913,764	523,137
2020-07-06	$39.56	$38.33	20.0%	6.8%	14.8%	13.7%	24.5%	3.0%	0.4%	34.1M	-224.3M	-6.3M	0.71	9.46	104,121	74,283	886,917	498,819
2020-07-07	$42.24	$40.00	29.4%	8.7%	27.8%	30.7%	32.1%	-1.0%	-1.7%	78.0M	-1.43B	-7.6M	0.11	5.01	1,896,759	214,143	915,726	526,488
2020-07-08	$41.70	$40.00	28.1%	8.5%	28.3%	28.4%	31.8%	-2.2%	0.1%	144.9M	-1.51B	-8.6M	0.15	3.00	1,077,336	161,271	1,352,568	586,266
2020-07-09	$42.55	$40.00	27.5%	8.7%	29.1%	27.3%	31.6%	-4.0%	-0.5%	207.5M	-2.19B	-9.5M	0.13	5.45	835,692	106,428	1,516,317	613,722
2020-07-10	$43.66	$40.00	28.1%	8.6%	29.8%	28.3%	31.2%	-3.5%	-0.6%	253.2M	-3.01B	-9.6M	0.15	3.59	845,115	124,725	1,548,966	636,441
2020-07-13	$43.16	$40.00	31.1%	9.3%	28.9%	33.7%	34.3%	-5.9%	0.9%	166.1M	-2.07B	-9.6M	0.13	5.06	833,577	108,942	1,405,185	575,382
2020-07-14	$44.06	$40.00	29.2%	9.1%	29.3%	30.3%	34.0%	-3.3%	2.0%	179.2M	-2.55B	-9.9M	0.13	19.73	390,408	51,291	1,508,370	606,354
2020-07-15	$44.03	$40.00	29.6%	8.8%	29.3%	31.1%	32.5%	-3.8%	1.3%	196.7M	-2.52B	-10.0M	0.15	4.61	613,053	94,380	1,557,240	618,495
2020-07-16	$44.00	$40.00	32.0%	9.4%	29.1%	35.5%	34.1%	-1.5%	0.6%	195.8M	-2.47B	-10.4M	0.13	6.79	334,683	42,663	1,623,534	641,358
2020-07-17	$43.89	$41.67	31.3%	8.9%	28.9%	34.1%	33.0%	-5.1%	0.3%	169.6M	-2.40B	-10.0M	0.13	8.54	357,549	46,617	1,683,207	659,760
2020-07-20	$43.91	$41.67	30.3%	8.8%	28.7%	32.4%	31.8%	-1.4%	-2.0%	143.7M	-1.86B	-10.4M	0.20	6.39	237,840	48,531	1,424,538	542,256
2020-07-21	$44.14	$41.67	29.3%	8.5%	28.4%	30.6%	30.5%	-0.6%	-0.9%	165.8M	-2.01B	-10.3M	0.15	3.92	335,418	50,796	1,487,283	568,488
2020-07-22	$44.28	$41.67	28.9%	8.3%	28.3%	29.8%	29.7%	-0.4%	-0.5%	176.6M	-2.08B	-10.4M	0.16	2.74	244,227	40,152	1,514,946	580,446
2020-07-23	$43.92	$41.67	27.8%	8.0%	28.4%	27.7%	28.7%	0.5%	-0.4%	172.1M	-1.87B	-10.4M	0.20	2.59	207,435	42,141	1,590,702	594,831
2020-07-24	$43.66	$41.67	27.4%	7.9%	28.2%	27.0%	27.9%	0.9%	-0.1%	114.4M	-1.68B	-10.2M	0.35	4.76	142,524	49,632	1,613,451	605,049
2020-07-27	$43.72	$41.67	27.4%	7.9%	27.8%	27.2%	28.0%	-0.6%	-1.8%	131.3M	-1.58B	-9.8M	0.31	2.31	134,580	42,135	1,491,903	574,548
2020-07-28	$43.96	$41.67	26.7%	7.8%	27.8%	25.8%	27.2%	-0.2%	0.7%	150.4M	-1.70B	-9.7M	0.27	2.80	133,125	36,450	1,519,863	588,336
2020-07-29	$43.61	$41.67	26.1%	7.8%	28.2%	24.7%	27.4%	0.1%	0.0%	133.6M	-1.48B	-9.7M	0.34	2.89	170,163	57,330	1,528,953	597,708
2020-07-30	$43.34	$42.00	26.9%	8.0%	28.4%	26.2%	28.1%	0.2%	-0.9%	116.9M	-1.33B	-9.5M	0.20	2.76	143,283	28,458	1,557,186	622,803
2020-07-31	$43.11	$42.00	26.9%	8.3%	28.4%	26.2%	29.3%	-2.0%	-1.0%	83.8M	-1.19B	-9.6M	0.47	4.89	221,559	103,413	1,577,118	629,730