WMT Options History — November 2020

In November 2020, WMT traded between $46.67 and $50.88. ATM implied volatility averaged 25.1%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 6.1% (HV 20d: 19.0%). Max pain ranged from $45.00 to $46.67. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.36.

Notable Days

  • 2020-11-17: Highest Volume — 694,806 contracts
  • 2020-11-17: Largest IV drop — 14.9% change
  • 2020-11-02: Highest IV Rank — 36.7%
  • 2020-11-02: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.42$46.67$50.88$46.67$50.88
Max Pain$45.92$45.00$46.67$46.67$46.67
ATM IV25.1%20.2%32.7%32.7%21.0%
Expected Move7.3%5.7%10.5%10.5%6.3%
HV 20d19.0%15.6%21.5%15.6%18.2%
HV 60d24.6%18.9%26.1%25.8%18.9%
IV Rank23.0%13.9%36.7%36.7%15.4%
IV Percentile42.0%17.9%79.8%79.8%19.4%
Term Structure-0.6%-1.8%0.9%-0.3%0.9%
VWIV25.8%20.5%36.7%36.7%22.3%
Skew 25d1.1%-0.5%3.5%3.5%0.0%
Skew 10d2.1%-1.4%7.6%6.7%-0.5%
Call IV 25d24.8%20.0%31.0%31.0%21.7%
Put IV 25d26.0%20.1%34.6%34.6%21.7%
Bid-Ask Spread %4.252.509.386.384.03
Gamma HHI0.160.090.440.090.16
Net GEX147.7M59.8M273.2M59.8M168.5M
Net DEX-2.23B-3.07B-1.12B-1.12B-2.56B
Net VEX-12.5M-13.3M-12.1M-13.0M-12.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.200.650.650.23
Total Volume258,081.45111,291694,806126,741263,154
Total OI2,335,330.52,145,3092,644,7972,195,6582,192,880

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$46.67$46.6732.7%10.5%15.6%36.7%36.7%3.5%-0.3%59.8M-1.12B-13.0M0.656.3876,92649,8151,450,290745,368
2020-11-03$47.77$46.6732.0%10.5%17.6%35.4%36.3%3.1%-0.4%83.1M-1.58B-13.3M0.399.38100,38339,2461,450,290745,368
2020-11-04$47.42$46.6728.6%9.6%17.8%29.3%33.1%2.0%-0.4%84.9M-1.36B-13.0M0.464.3776,09835,1931,482,903772,899
2020-11-05$47.81$45.0027.8%7.6%18.0%27.8%27.3%2.1%-0.6%103.3M-1.58B-12.6M0.584.1571,17240,9351,497,726776,970
2020-11-06$48.68$45.0027.6%7.5%18.8%27.4%26.7%1.7%-0.9%156.2M-2.07B-12.9M0.386.40117,30644,9761,519,254794,856
2020-11-09$48.28$45.0027.0%7.4%18.8%26.4%26.2%1.4%-0.9%105.6M-1.73B-12.4M0.352.69136,45547,1241,487,949767,010
2020-11-10$48.67$45.0028.1%7.8%18.1%28.4%27.2%1.6%-0.7%123.4M-1.97B-12.5M0.233.84124,90528,9561,516,467777,222
2020-11-11$49.41$45.0026.6%7.3%17.8%25.7%26.1%1.3%-1.2%157.2M-2.40B-12.6M0.293.51171,25549,8361,545,135784,581
2020-11-12$49.20$45.0028.4%7.8%17.8%28.8%27.4%2.0%-1.8%141.6M-2.24B-12.6M0.444.3990,24039,2911,557,903794,544
2020-11-13$50.23$45.0026.8%7.5%19.2%26.0%26.4%1.4%-1.0%172.4M-2.89B-12.7M0.364.17271,19497,8481,564,200803,316
2020-11-16$50.84$45.0026.7%7.5%18.9%25.8%26.8%0.6%-0.6%154.5M-3.04B-12.4M0.416.36451,026185,6251,541,031776,022
2020-11-17$49.94$45.0022.7%6.5%20.2%18.5%23.2%0.7%-0.7%160.5M-2.54B-12.5M0.522.75458,517236,2891,685,742862,446
2020-11-18$49.86$46.6722.0%6.3%20.3%17.3%22.7%0.4%-0.7%166.4M-2.44B-12.4M0.364.35249,97890,7681,706,568886,527
2020-11-19$50.76$46.6721.4%6.2%20.8%16.1%21.5%0.9%-0.4%210.8M-3.07B-12.4M0.323.39234,45075,1141,713,189903,243
2020-11-20$50.14$46.6721.1%6.1%21.5%15.6%21.6%0.3%-0.5%273.2M-2.66B-12.1M0.362.75246,13888,9531,723,386921,411
2020-11-23$50.21$46.6721.1%6.1%20.8%15.6%21.7%0.0%-0.2%135.4M-2.15B-12.1M0.202.72241,57248,6961,424,079721,230
2020-11-24$50.46$46.6720.2%5.7%20.7%13.9%20.5%0.4%-0.3%168.0M-2.31B-12.1M0.253.04158,16339,7861,491,915735,855
2020-11-25$50.65$46.6720.8%5.9%19.6%15.1%20.8%-0.1%-0.3%181.8M-2.43B-12.1M0.202.50193,93838,8771,510,836745,965
2020-11-27$50.50$46.6720.2%5.8%19.6%13.9%20.6%-0.5%-0.2%147.4M-2.40B-12.3M0.213.91124,75526,6761,572,843757,191
2020-11-30$50.88$46.6721.0%6.3%18.2%15.4%22.3%0.0%0.9%168.5M-2.56B-12.2M0.234.03214,33848,8161,471,728721,152