WMT Options History — October 2020

In October 2020, WMT traded between $46.09 and $48.83. ATM implied volatility averaged 28.4%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 11.3% (HV 20d: 17.1%). Max pain ranged from $45.00 to $46.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.38.

Notable Days

2020-10-01: Highest Volume — 730,173 contracts
2020-10-19: Largest IV spike — 10.6% change
2020-10-30: Highest IV Rank — 40.4%
2020-10-30: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.57	$46.09	$48.83	$47.68	$46.09
Max Pain	$46.52	$45.00	$46.67	$45.00	$46.67
ATM IV	28.4%	25.7%	34.7%	26.4%	34.7%
Expected Move	8.6%	7.1%	10.7%	7.4%	10.7%
HV 20d	17.1%	14.6%	23.4%	23.4%	15.0%
HV 60d	25.5%	25.1%	26.0%	26.0%	25.7%
IV Rank	29.0%	23.9%	40.4%	25.2%	40.4%
IV Percentile	63.7%	51.2%	85.7%	57.1%	85.7%
Term Structure	0.4%	-2.0%	3.3%	3.2%	-2.0%
VWIV	30.4%	25.7%	37.0%	26.5%	37.0%
Skew 25d	0.8%	-0.4%	2.5%	0.5%	2.5%
Skew 10d	1.5%	-1.3%	5.8%	1.4%	5.8%
Call IV 25d	28.4%	24.2%	33.8%	25.8%	33.8%
Put IV 25d	29.3%	25.7%	36.3%	26.4%	36.3%
Bid-Ask Spread %	3.15	2.11	6.78	2.51	6.78
Gamma HHI	0.13	0.08	0.59	0.09	0.08
Net GEX	152.5M	48.8M	463.1M	173.5M	48.8M
Net DEX	-1.95B	-2.94B	-870.1M	-2.52B	-870.1M
Net VEX	-14.1M	-14.9M	-13.4M	-14.9M	-13.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.17	0.93	0.21	0.93
Total Volume	226,999.091	116,937	730,173	730,173	161,700
Total OI	2,480,588.727	2,196,966	2,720,655	2,607,837	2,325,891

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
2020-10-01	$47.68	$45.00	26.4%	7.4%	23.4%	25.2%	26.5%	0.5%	3.2%	173.5M	-2.52B	-14.9M	0.21	2.51	604,449	125,724	1,833,939	773,898
2020-10-02	$46.94	$45.00	26.9%	7.1%	22.0%	26.1%	25.7%	-0.4%	3.3%	130.9M	-1.93B	-14.7M	0.30	2.11	265,212	79,710	1,863,597	797,898
2020-10-05	$47.20	$46.67	27.9%	9.0%	22.1%	27.9%	31.7%	0.5%	-0.1%	143.1M	-2.03B	-14.7M	0.32	2.54	122,220	39,444	1,801,719	746,274
2020-10-06	$46.88	$46.67	27.6%	8.8%	19.0%	27.5%	30.9%	1.0%	0.1%	132.4M	-1.83B	-14.6M	0.30	2.73	217,614	64,599	1,820,256	754,119
2020-10-07	$47.03	$46.67	27.6%	8.6%	18.0%	27.4%	30.3%	0.6%	0.1%	137.9M	-1.91B	-14.3M	0.41	2.68	130,590	53,268	1,840,566	771,372
2020-10-08	$47.18	$46.67	27.3%	8.6%	14.6%	26.9%	30.1%	0.4%	0.1%	160.5M	-2.04B	-14.5M	0.27	3.29	153,696	41,010	1,872,030	793,161
2020-10-09	$47.59	$46.67	26.2%	8.3%	14.7%	24.9%	29.6%	0.2%	0.3%	208.8M	-2.37B	-14.6M	0.39	3.01	211,086	82,359	1,907,256	802,491
2020-10-12	$48.06	$46.67	25.9%	8.2%	14.8%	24.4%	29.0%	0.8%	2.6%	193.3M	-2.51B	-14.4M	0.32	2.63	241,902	77,376	1,822,074	791,910
2020-10-13	$48.83	$46.67	25.7%	8.2%	15.5%	24.0%	28.6%	1.1%	2.9%	200.4M	-2.94B	-14.4M	0.29	2.45	255,948	74,169	1,828,014	798,243
2020-10-14	$48.01	$46.67	26.1%	8.3%	17.0%	24.7%	29.3%	0.8%	2.6%	182.1M	-2.35B	-14.4M	0.27	3.02	178,566	48,135	1,847,208	833,655
2020-10-15	$48.19	$46.67	26.1%	8.2%	16.8%	24.7%	29.1%	1.4%	3.2%	224.1M	-2.47B	-14.5M	0.17	2.42	208,764	35,511	1,874,142	846,513
2020-10-16	$48.26	$46.67	25.7%	8.0%	16.7%	23.9%	27.9%	1.5%	3.1%	463.1M	-2.42B	-14.0M	0.24	2.67	188,316	45,951	1,853,229	856,854
2020-10-19	$47.77	$46.67	28.4%	8.4%	17.3%	28.9%	29.8%	0.4%	-1.3%	107.7M	-1.72B	-13.7M	0.67	4.27	102,861	68,475	1,482,009	714,957
2020-10-20	$48.11	$46.67	29.0%	8.4%	16.9%	30.0%	29.9%	0.5%	-1.3%	123.0M	-1.89B	-14.0M	0.40	3.32	122,547	48,678	1,506,390	743,505
2020-10-21	$48.22	$46.67	29.8%	8.5%	15.6%	31.4%	30.0%	0.6%	-1.4%	128.4M	-1.94B	-14.0M	0.29	2.62	115,503	33,144	1,518,393	744,615
2020-10-22	$47.92	$46.67	29.5%	8.5%	15.9%	30.8%	29.9%	-0.1%	-1.4%	118.8M	-1.75B	-14.0M	0.32	3.55	113,181	36,063	1,537,215	759,732
2020-10-23	$47.87	$46.67	28.7%	8.4%	15.9%	29.5%	29.3%	-0.2%	-1.5%	114.3M	-1.74B	-13.7M	0.33	3.00	91,563	30,507	1,562,103	766,668
2020-10-26	$47.29	$46.67	29.9%	8.9%	16.7%	31.7%	31.6%	1.1%	-0.9%	93.9M	-1.45B	-13.5M	0.43	2.99	111,000	48,177	1,523,055	740,742
2020-10-27	$47.67	$46.67	29.8%	9.0%	16.9%	31.5%	31.5%	0.9%	-0.9%	117.1M	-1.66B	-13.6M	0.32	2.62	89,454	28,977	1,542,903	752,166
2020-10-28	$46.96	$46.67	32.9%	10.1%	17.1%	37.0%	35.2%	2.1%	-0.5%	79.6M	-1.30B	-13.7M	0.54	5.08	83,976	45,618	1,550,712	757,359
2020-10-29	$46.82	$46.67	33.8%	10.4%	15.0%	38.8%	36.3%	2.3%	-1.6%	73.0M	-1.22B	-13.8M	0.62	2.94	72,387	44,550	1,549,278	764,841
2020-10-30	$46.09	$46.67	34.7%	10.7%	15.0%	40.4%	37.0%	2.5%	-2.0%	48.8M	-870.1M	-13.4M	0.93	6.78	83,817	77,883	1,551,234	774,657