WMT Options History — September 2020

In September 2020, WMT traded between $45.33 and $49.29. ATM implied volatility averaged 31.9%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 4.0% (HV 20d: 35.9%). Max pain ranged from $42.67 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2020-09-01: Highest Volume — 2,251,080 contracts
  • 2020-09-14: Largest IV spike — 12.6% change
  • 2020-09-02: Highest IV Rank — 53.6%
  • 2020-09-01: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.36$45.33$49.29$49.24$46.61
Max Pain$44.81$42.67$45.00$42.67$45.00
ATM IV31.9%24.6%41.9%41.6%24.6%
Expected Move9.1%6.7%12.2%12.2%6.7%
HV 20d35.9%21.6%39.2%34.5%21.6%
HV 60d28.4%25.8%29.1%27.2%25.8%
IV Rank35.3%21.9%53.6%53.0%21.9%
IV Percentile75.0%53.6%94.8%94.8%53.6%
Term Structure0.4%-1.0%3.3%-1.0%3.2%
VWIV33.1%23.9%44.2%43.4%23.9%
Skew 25d-1.7%-7.1%1.5%-7.0%1.1%
Skew 10d-3.1%-14.2%3.8%-10.8%1.7%
Call IV 25d33.4%24.6%47.5%47.5%24.6%
Put IV 25d31.7%25.7%40.5%40.5%25.7%
Bid-Ask Spread %8.272.3820.825.524.12
Gamma HHI0.090.080.110.100.09
Net GEX137.1M91.0M209.2M181.6M157.3M
Net DEX-2.07B-4.76B-1.25B-4.76B-1.79B
Net VEX-14.5M-15.8M-13.1M-14.0M-14.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.080.430.140.41
Total Volume527,744.286159,3932,251,0802,251,080551,106
Total OI2,825,396.8572,502,5103,312,8342,591,2802,621,250

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$49.24$42.6741.6%12.2%34.5%53.0%43.4%-7.0%-1.0%181.6M-4.76B-14.0M0.145.521,977,135273,9451,784,217807,063
2020-09-02$49.29$43.3341.9%12.0%33.6%53.6%44.2%-7.1%0.4%209.2M-4.62B-15.8M0.155.69782,676115,4671,976,061908,034
2020-09-03$47.96$45.0038.7%10.9%35.7%47.7%40.7%-2.4%-0.1%193.3M-3.52B-15.7M0.3015.79600,663178,8452,046,117931,659
2020-09-04$47.69$45.0038.7%10.7%35.9%47.6%38.4%-1.7%0.0%136.1M-3.21B-15.4M0.4013.48370,140147,0422,093,619965,880
2020-09-08$46.21$45.0037.3%10.5%37.9%45.0%38.6%-5.2%-0.3%117.4M-1.99B-14.5M0.3115.16240,36073,8061,860,444877,437
2020-09-09$46.99$45.0034.3%10.2%37.8%39.5%38.4%-5.7%0.4%139.8M-2.44B-14.5M0.2420.82316,22175,8401,890,072898,407
2020-09-10$45.67$45.0031.6%8.9%39.2%34.7%33.0%-0.7%-0.9%97.3M-1.48B-13.3M0.418.51274,665112,8331,938,564929,508
2020-09-11$45.52$45.0030.1%8.7%39.2%32.0%31.7%-1.6%0.2%91.0M-1.39B-13.1M0.329.02466,206149,3881,974,006943,452
2020-09-14$45.82$45.0033.9%9.7%39.2%38.9%35.6%-2.0%0.3%128.9M-1.82B-13.7M0.1210.92667,23977,7091,877,400887,481
2020-09-15$45.75$45.0031.0%8.9%38.2%33.6%32.5%-1.7%0.2%159.3M-1.78B-13.8M0.0813.17604,73151,1412,068,158915,681
2020-09-16$45.68$45.0030.3%8.7%38.1%32.3%32.7%-1.8%0.1%174.3M-1.82B-14.5M0.195.63285,77153,1092,216,961930,474
2020-09-17$45.51$45.0031.9%9.1%37.5%35.2%33.6%-1.5%0.6%171.0M-1.77B-14.8M0.129.87395,56548,7892,286,045943,953
2020-09-18$45.33$45.0028.6%8.2%37.1%29.3%30.4%-1.4%0.3%129.9M-1.61B-14.0M0.3010.34305,55090,6332,360,259952,575
2020-09-21$45.60$45.0030.8%8.8%37.0%33.2%31.4%-1.9%-0.4%103.9M-1.30B-14.1M0.216.30325,79168,8411,816,461721,965
2020-09-22$46.18$45.0029.1%8.3%37.1%30.2%29.7%0.1%-0.3%146.9M-1.67B-15.0M0.203.19276,90955,0921,907,730755,061
2020-09-23$45.46$45.0028.5%8.1%37.7%29.1%28.7%0.5%-0.0%108.4M-1.25B-14.8M0.293.65212,33461,3291,942,926769,380
2020-09-24$45.63$45.0028.8%8.1%37.7%29.6%29.2%1.3%-0.2%109.2M-1.29B-14.8M0.224.11177,81638,4901,939,332783,918
2020-09-25$45.73$45.0026.1%7.4%34.4%24.8%26.3%1.2%0.4%113.8M-1.33B-14.5M0.352.94118,43440,9591,946,604800,460
2020-09-28$45.78$45.0026.0%7.2%32.5%24.5%25.7%1.5%2.3%99.9M-1.27B-14.1M0.432.38121,54852,5031,756,950745,560
2020-09-29$45.91$45.0026.6%7.3%32.0%25.6%26.4%0.8%3.3%111.0M-1.35B-14.6M0.253.02196,71349,2961,787,295774,915
2020-09-30$46.61$45.0024.6%6.7%21.6%21.9%23.9%1.1%3.2%157.3M-1.79B-14.7M0.414.12390,351160,7551,825,161796,089