WMT Options History — August 2020

In August 2020, WMT traded between $43.10 and $46.91. ATM implied volatility averaged 27.0%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.5% (HV 20d: 18.4%). Max pain ranged from $40.00 to $42.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2020-08-27: Highest Volume — 2,893,266 contracts
  • 2020-08-27: Largest IV spike — 35.2% change
  • 2020-08-31: Highest IV Rank — 33.9%
  • 2020-08-05: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.14$43.10$46.91$43.10$46.13
Max Pain$41.40$40.00$42.33$42.33$42.33
ATM IV27.0%20.8%31.1%28.6%31.1%
Expected Move7.7%5.8%10.0%8.6%9.3%
HV 20d18.4%12.9%28.3%28.3%26.9%
HV 60d21.6%20.4%24.0%21.0%24.0%
IV Rank26.3%15.0%33.9%29.3%33.9%
IV Percentile65.4%36.9%81.0%74.2%81.0%
Term Structure-0.4%-2.2%1.1%-0.8%1.1%
VWIV27.8%20.9%35.2%30.7%34.1%
Skew 25d-0.5%-2.3%1.3%-1.1%-2.1%
Skew 10d-0.1%-6.5%2.9%2.9%-5.3%
Call IV 25d27.9%20.7%34.0%29.0%33.6%
Put IV 25d27.4%21.8%32.0%27.8%31.5%
Bid-Ask Spread %7.671.8524.683.164.79
Gamma HHI0.120.090.320.110.11
Net GEX147.6M26.2M281.1M92.6M175.4M
Net DEX-1.62B-3.82B-716.7M-1.11B-2.57B
Net VEX-10.7M-13.0M-9.5M-9.5M-12.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.110.500.310.21
Total Volume642,362.714215,8442,893,266215,844622,623
Total OI2,453,499.8572,107,4942,990,5292,107,4942,476,839

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$43.10$42.3328.6%8.6%28.3%29.3%30.7%-1.1%-0.8%92.6M-1.11B-9.5M0.313.16164,80551,0391,482,321625,173
2020-08-04$43.85$42.3329.0%9.2%17.6%29.9%32.2%1.3%-0.3%128.5M-1.57B-10.3M0.184.10267,99347,0131,522,167649,989
2020-08-05$43.16$42.3331.1%10.0%18.0%33.9%35.1%-2.1%-0.5%104.0M-1.22B-10.4M0.283.22285,76278,7681,606,866664,497
2020-08-06$43.14$40.0029.9%7.8%16.6%31.6%28.0%-0.6%-1.4%113.5M-1.26B-10.3M0.3717.18160,40758,9981,680,378703,953
2020-08-07$43.32$40.0029.4%7.9%13.8%30.8%28.3%-0.7%-1.4%236.6M-1.39B-10.9M0.194.19200,44538,3551,713,225733,059
2020-08-10$43.97$40.0029.9%8.2%14.1%31.6%29.1%-1.3%-0.9%150.9M-1.80B-10.9M0.2517.91283,00569,6121,651,662689,568
2020-08-11$43.39$40.0030.8%8.6%12.9%33.4%30.9%-1.8%-1.3%124.7M-1.47B-10.8M0.2922.34404,376115,4761,686,513709,929
2020-08-12$44.01$40.0028.9%8.0%13.9%29.9%28.6%-2.3%-1.3%186.9M-1.85B-10.9M0.1924.68402,28275,8101,737,333750,912
2020-08-13$43.86$41.6729.0%8.0%14.0%30.0%28.7%-0.7%-1.3%180.3M-1.47B-11.3M0.316.57244,59376,1971,711,248776,361
2020-08-14$44.14$41.6728.7%8.0%14.1%29.5%28.4%-1.2%-1.2%231.0M-1.75B-11.2M0.3411.74290,64999,7201,748,154801,897
2020-08-17$45.29$41.6728.0%7.9%16.7%28.1%28.0%0.2%-0.2%161.8M-2.41B-11.0M0.2711.51893,103237,6571,652,376766,896
2020-08-18$44.90$41.6723.3%6.6%17.1%19.5%23.8%0.4%0.0%212.8M-2.04B-10.1M0.306.221,069,464320,5861,860,240871,353
2020-08-19$44.08$41.6722.2%6.4%18.3%17.7%22.8%0.6%-0.2%131.9M-1.27B-9.9M0.302.72511,965154,2271,923,627864,093
2020-08-20$43.47$41.6721.8%6.2%18.8%16.8%22.7%0.5%0.8%26.2M-716.7M-9.8M0.501.85319,116160,8571,984,956890,928
2020-08-21$43.87$41.6722.4%6.4%19.0%18.0%23.2%0.8%-0.3%88.8M-1.18B-10.4M0.151.99529,97179,2332,047,062943,467
2020-08-24$43.70$41.6721.0%5.9%19.0%15.4%21.7%0.8%0.4%105.7M-981.5M-10.1M0.302.46237,99071,1331,461,213671,598
2020-08-25$43.52$41.6720.8%5.8%19.0%15.0%21.1%1.2%1.0%90.2M-871.4M-10.3M0.322.22168,81054,5641,502,325705,501
2020-08-26$43.56$41.6721.1%5.8%18.7%15.6%20.9%0.5%0.3%90.3M-887.3M-10.3M0.232.32232,02653,3731,531,761732,078
2020-08-27$45.49$41.6728.5%8.4%24.1%29.0%30.2%-1.5%-2.2%186.3M-2.47B-11.6M0.116.022,604,594288,6721,571,505752,955
2020-08-28$46.91$41.6730.8%9.7%25.9%33.3%35.2%-2.0%0.1%281.1M-3.82B-13.0M0.133.801,296,876167,4721,836,237831,282
2020-08-31$46.13$42.3331.1%9.3%26.9%33.9%34.1%-2.1%1.1%175.4M-2.57B-12.8M0.214.79513,972108,6511,702,416774,423