WMT Options History — January 2021

In January 2021, WMT traded between $46.94 and $49.75. ATM implied volatility averaged 25.1%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 12.1% (HV 20d: 13.0%). Max pain ranged from $48.33 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.43.

Notable Days

2021-01-22: Highest Volume — 413,133 contracts
2021-01-27: Largest IV spike — 18.9% change
2021-01-29: Highest IV Rank — 35.5%
2021-01-29: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.63	$46.94	$49.75	$48.81	$46.94
Max Pain	$49.47	$48.33	$50.00	$48.33	$48.33
ATM IV	25.1%	20.4%	33.8%	22.4%	33.8%
Expected Move	7.8%	7.0%	10.1%	7.4%	10.1%
HV 20d	13.0%	10.3%	19.0%	12.1%	19.0%
HV 60d	15.8%	15.1%	16.8%	15.9%	16.8%
IV Rank	20.1%	12.5%	35.5%	16.2%	35.5%
IV Percentile	39.1%	7.9%	82.1%	27.0%	82.1%
Term Structure	0.7%	-1.1%	3.8%	0.5%	-1.1%
VWIV	27.5%	24.7%	35.6%	26.1%	35.6%
Skew 25d	-0.0%	-1.1%	1.4%	1.4%	0.6%
Skew 10d	0.5%	-2.9%	3.1%	2.6%	1.3%
Call IV 25d	25.5%	20.7%	34.3%	22.4%	34.3%
Put IV 25d	25.5%	21.0%	35.0%	23.7%	35.0%
Bid-Ask Spread %	9.35	2.31	22.68	6.57	20.18
Gamma HHI	0.10	0.06	0.16	0.11	0.07
Net GEX	100.8M	19.0M	156.3M	121.3M	62.3M
Net DEX	-1.18B	-2.02B	-315.6M	-1.45B	-315.6M
Net VEX	-13.1M	-14.1M	-12.3M	-12.9M	-13.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.23	0.82	0.50	0.52
Total Volume	258,075.316	177,837	413,133	259,503	337,254
Total OI	2,353,761.474	1,910,700	2,701,755	2,394,834	2,347,707

Daily Data (19 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
2021-01-04	$48.81	$48.33	22.4%	7.4%	12.1%	16.2%	26.1%	1.4%	0.5%	121.3M	-1.45B	-12.9M	0.50	6.57	173,460	86,043	1,542,822	852,012
2021-01-05	$48.60	$48.33	22.6%	7.4%	12.0%	16.5%	25.9%	0.5%	0.1%	109.6M	-1.26B	-12.8M	0.58	9.32	144,438	83,679	1,541,241	869,880
2021-01-06	$48.82	$50.00	21.2%	7.1%	12.0%	14.0%	25.2%	0.4%	0.5%	127.8M	-1.40B	-13.2M	0.51	22.68	171,789	88,389	1,596,270	921,507
2021-01-07	$48.99	$50.00	20.4%	7.0%	10.9%	12.5%	24.7%	0.3%	0.6%	152.0M	-1.51B	-13.1M	0.34	11.94	142,641	48,834	1,601,898	934,218
2021-01-08	$48.88	$50.00	20.5%	7.0%	10.5%	12.6%	24.9%	0.2%	0.7%	107.4M	-1.41B	-12.9M	0.82	5.72	126,903	104,262	1,612,569	946,929
2021-01-11	$49.12	$50.00	21.8%	7.3%	10.3%	15.1%	25.6%	0.5%	3.8%	113.7M	-1.46B	-12.8M	0.59	16.31	141,786	84,270	1,555,725	950,472
2021-01-12	$49.75	$50.00	22.5%	7.4%	11.2%	16.3%	26.2%	-0.3%	3.4%	156.3M	-2.02B	-13.1M	0.23	2.88	298,197	69,624	1,568,058	969,234
2021-01-13	$49.35	$50.00	21.6%	7.1%	10.9%	14.3%	25.2%	0.0%	3.2%	143.5M	-1.65B	-12.9M	0.30	4.94	149,502	44,508	1,604,700	979,812
2021-01-14	$49.05	$50.00	23.1%	7.3%	11.2%	16.2%	26.1%	-0.0%	3.1%	120.4M	-1.49B	-13.0M	0.35	3.16	155,673	53,739	1,650,891	989,121
2021-01-15	$48.24	$50.00	23.9%	7.3%	12.8%	17.7%	26.1%	0.3%	2.7%	19.0M	-722.3M	-12.7M	0.58	10.61	223,728	130,092	1,687,983	1,013,772
2021-01-19	$47.92	$50.00	25.6%	7.4%	12.8%	19.8%	26.2%	-0.4%	-0.1%	27.5M	-452.0M	-12.3M	0.54	5.63	167,625	89,739	1,249,833	660,867
2021-01-20	$48.49	$50.00	25.5%	7.3%	13.6%	19.7%	25.7%	-1.1%	-0.2%	69.9M	-847.6M	-12.7M	0.32	4.77	190,221	61,014	1,306,818	703,791
2021-01-21	$48.29	$50.00	26.1%	7.5%	13.6%	20.7%	26.2%	-1.0%	-1.0%	64.6M	-742.3M	-12.9M	0.38	2.31	129,300	48,537	1,344,591	709,041
2021-01-22	$48.83	$50.00	26.4%	7.7%	13.5%	21.3%	27.1%	-0.2%	-0.9%	118.0M	-1.18B	-13.4M	0.36	4.04	304,431	108,702	1,381,638	728,343
2021-01-25	$48.67	$50.00	28.0%	8.3%	13.5%	24.4%	29.4%	-0.6%	-0.1%	96.8M	-1.06B	-13.3M	0.24	9.78	276,105	66,174	1,398,426	699,195
2021-01-26	$49.20	$48.33	27.8%	8.3%	14.0%	24.0%	29.0%	-0.1%	-0.5%	154.1M	-1.66B	-14.0M	0.36	3.07	145,425	52,302	1,495,791	728,994
2021-01-27	$47.89	$48.33	33.0%	10.1%	16.9%	34.0%	35.1%	-0.2%	-1.0%	69.3M	-859.2M	-14.0M	0.36	18.80	166,599	59,208	1,520,091	737,610
2021-01-28	$48.11	$48.33	31.7%	9.4%	16.9%	31.4%	33.0%	-0.3%	-0.6%	82.4M	-1.05B	-14.1M	0.28	14.85	140,040	39,198	1,573,395	746,223
2021-01-29	$46.94	$48.33	33.8%	10.1%	19.0%	35.5%	35.6%	0.6%	-1.1%	62.3M	-315.6M	-13.5M	0.52	20.18	222,297	114,957	1,592,487	755,220