WMT Options History — December 2020

In December 2020, WMT traded between $47.87 and $50.75. ATM implied volatility averaged 22.0%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 8.0% (HV 20d: 14.0%). Max pain ranged from $43.33 to $48.33. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.33.

Notable Days

2020-12-09: Highest Volume — 603,552 contracts
2020-12-21: Largest IV drop — 9.1% change
2020-12-18: Highest IV Rank — 22.2%
2020-12-18: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.84	$47.87	$50.75	$50.75	$47.96
Max Pain	$46.73	$43.33	$48.33	$46.67	$48.33
ATM IV	22.0%	19.7%	24.7%	19.7%	21.1%
Expected Move	6.4%	5.8%	7.2%	5.9%	5.8%
HV 20d	14.0%	10.0%	18.2%	18.2%	10.0%
HV 60d	16.8%	15.6%	18.8%	18.8%	15.6%
IV Rank	16.8%	12.6%	22.2%	13.1%	13.8%
IV Percentile	25.3%	11.1%	40.9%	15.9%	13.5%
Term Structure	0.5%	-0.9%	1.4%	1.4%	0.6%
VWIV	22.7%	20.1%	25.5%	21.1%	20.8%
Skew 25d	-0.4%	-1.1%	0.3%	-0.4%	0.2%
Skew 10d	-0.5%	-2.7%	4.3%	-1.3%	0.8%
Call IV 25d	22.7%	20.6%	25.8%	20.6%	21.3%
Put IV 25d	22.3%	20.1%	25.0%	20.2%	21.6%
Bid-Ask Spread %	2.52	1.66	4.89	2.38	2.12
Gamma HHI	0.13	0.08	0.17	0.17	0.12
Net GEX	106.3M	29.2M	194.3M	194.3M	29.2M
Net DEX	-1.31B	-2.54B	-723.6M	-2.54B	-801.7M
Net VEX	-12.6M	-13.6M	-11.8M	-12.2M	-12.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.09	0.64	0.21	0.35
Total Volume	283,779.818	151,713	603,552	228,618	203,073
Total OI	2,411,482.773	2,258,190	2,650,881	2,258,190	2,533,779

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
2020-12-01	$50.75	$46.67	19.7%	5.9%	18.2%	13.1%	21.1%	-0.4%	1.4%	194.3M	-2.54B	-12.2M	0.21	2.38	188,340	40,278	1,520,001	738,189
2020-12-02	$50.08	$48.00	21.5%	6.3%	17.7%	16.3%	22.7%	-0.3%	1.3%	150.7M	-2.12B	-12.4M	0.21	3.24	236,592	50,079	1,534,689	752,040
2020-12-03	$49.73	$43.33	21.2%	6.5%	17.7%	15.8%	23.1%	-0.8%	1.4%	127.5M	-1.90B	-12.1M	0.31	3.51	202,518	63,147	1,558,431	767,100
2020-12-04	$49.49	$43.33	20.6%	6.3%	17.7%	14.8%	22.5%	-1.0%	1.3%	115.1M	-1.75B	-12.0M	0.28	1.97	203,103	56,052	1,592,373	788,976
2020-12-07	$49.20	$43.33	22.0%	6.5%	16.9%	17.2%	23.2%	-1.1%	0.2%	100.6M	-1.62B	-11.8M	0.32	3.29	135,270	43,593	1,513,374	769,773
2020-12-08	$49.88	$43.33	21.3%	6.3%	17.1%	16.1%	22.4%	-1.0%	0.3%	152.0M	-2.07B	-11.9M	0.26	1.70	220,440	58,278	1,535,202	787,533
2020-12-09	$49.43	$45.00	22.3%	6.5%	17.4%	17.8%	20.1%	-0.9%	0.4%	121.6M	-1.81B	-12.3M	0.09	1.67	554,643	48,909	1,576,044	804,711
2020-12-10	$49.06	$46.67	22.5%	6.5%	16.7%	18.2%	23.0%	-0.7%	0.3%	107.2M	-1.10B	-12.3M	0.34	1.76	184,056	63,309	1,520,154	826,302
2020-12-11	$49.03	$46.67	23.1%	6.7%	16.7%	19.3%	23.5%	0.0%	0.6%	122.4M	-1.13B	-12.5M	0.36	4.89	160,632	58,056	1,571,169	852,528
2020-12-14	$48.50	$46.67	22.2%	6.4%	15.1%	17.6%	22.8%	0.3%	-0.4%	79.2M	-909.5M	-12.1M	0.42	2.39	184,926	78,231	1,506,063	812,142
2020-12-15	$48.50	$46.67	22.6%	6.5%	14.3%	18.4%	23.1%	0.3%	-0.2%	86.0M	-956.4M	-12.5M	0.26	1.66	208,863	55,134	1,549,188	838,467
2020-12-16	$48.49	$46.67	22.8%	6.5%	13.0%	18.7%	23.3%	-0.3%	-0.4%	96.8M	-1.02B	-12.6M	0.21	2.16	197,793	41,646	1,596,555	861,267
2020-12-17	$48.72	$46.67	23.6%	6.8%	13.2%	20.1%	24.3%	-1.1%	-0.5%	113.3M	-1.27B	-13.1M	0.33	2.21	240,504	78,954	1,650,177	876,768
2020-12-18	$48.63	$48.33	24.7%	7.2%	11.1%	22.2%	25.5%	-0.8%	-0.9%	150.3M	-1.26B	-13.6M	0.33	4.36	267,102	88,209	1,727,439	923,442
2020-12-21	$48.61	$48.33	22.5%	6.5%	10.5%	18.1%	23.7%	-1.0%	0.4%	121.5M	-1.26B	-13.4M	0.30	2.15	241,740	71,973	1,510,995	804,969
2020-12-22	$48.05	$48.33	23.0%	6.6%	11.0%	17.8%	23.8%	-0.2%	1.2%	84.6M	-851.1M	-13.2M	0.54	3.36	352,812	190,104	1,565,640	835,104
2020-12-23	$47.87	$48.33	21.4%	6.2%	10.7%	14.9%	22.6%	-0.7%	0.6%	54.9M	-723.6M	-13.3M	0.43	2.04	267,561	115,089	1,600,662	898,512
2020-12-24	$47.91	$48.33	20.4%	5.9%	10.5%	12.6%	21.1%	-0.3%	0.6%	76.2M	-763.3M	-13.1M	0.64	2.79	92,481	59,232	1,645,923	920,268
2020-12-28	$48.36	$48.33	21.8%	6.4%	11.3%	15.2%	22.8%	0.3%	0.4%	93.4M	-1.10B	-13.1M	0.34	2.01	188,688	64,290	1,545,651	866,493
2020-12-29	$48.13	$48.33	22.3%	6.4%	10.8%	15.9%	22.5%	0.2%	0.6%	86.1M	-978.5M	-13.0M	0.30	1.86	169,398	51,012	1,582,842	882,897
2020-12-30	$48.08	$48.33	21.8%	6.0%	10.8%	15.1%	21.6%	0.2%	0.5%	75.0M	-966.1M	-13.0M	0.39	1.95	119,844	47,202	1,612,782	896,007
2020-12-31	$47.96	$48.33	21.1%	5.8%	10.0%	13.8%	20.8%	0.2%	0.6%	29.2M	-801.7M	-12.9M	0.35	2.12	150,756	52,317	1,626,969	906,810