WMT Options History — February 2021

In February 2021, WMT traded between $43.61 and $48.95. ATM implied volatility averaged 27.2%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 5.0% (HV 20d: 22.2%). Max pain ranged from $46.67 to $48.33. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.41.

Notable Days

2021-02-18: Highest Volume — 966,039 contracts
2021-02-10: Largest IV spike — 13.9% change
2021-02-01: Highest IV Rank — 33.9%
2021-02-01: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.86	$43.61	$48.95	$46.51	$43.61
Max Pain	$47.02	$46.67	$48.33	$48.33	$46.67
ATM IV	27.2%	22.0%	33.0%	33.0%	24.2%
Expected Move	7.8%	6.3%	10.1%	10.1%	7.0%
HV 20d	22.2%	18.5%	28.4%	19.2%	26.9%
HV 60d	16.9%	14.8%	19.4%	16.2%	19.3%
IV Rank	21.5%	8.2%	33.9%	33.9%	11.1%
IV Percentile	49.0%	17.9%	80.2%	80.2%	31.7%
Term Structure	-0.2%	-1.1%	1.3%	-0.1%	-0.2%
VWIV	27.7%	22.4%	35.9%	35.9%	25.2%
Skew 25d	-0.0%	-1.8%	1.7%	-1.0%	0.8%
Skew 10d	-1.2%	-7.7%	1.1%	-0.3%	0.4%
Call IV 25d	27.3%	22.2%	33.8%	33.8%	24.1%
Put IV 25d	27.3%	22.3%	32.7%	32.7%	24.9%
Bid-Ask Spread %	9.87	2.34	22.32	19.80	9.24
Gamma HHI	0.09	0.07	0.15	0.07	0.09
Net GEX	64.5M	-57.4M	167.9M	50.7M	-28.3M
Net DEX	-501.6M	-1.79B	951.0M	-243.4M	951.0M
Net VEX	-12.9M	-13.8M	-11.3M	-12.9M	-12.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.25	0.77	0.38	0.43
Total Volume	332,303.211	113,406	966,039	269,772	350,655
Total OI	2,371,806.316	2,068,371	2,719,047	2,203,875	2,492,400

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
2021-02-01	$46.51	$48.33	33.0%	10.1%	19.2%	33.9%	35.9%	-1.0%	-0.1%	50.7M	-243.4M	-12.9M	0.38	19.80	194,805	74,967	1,527,126	676,749
2021-02-02	$47.05	$48.33	30.5%	9.2%	18.5%	29.2%	32.5%	-0.0%	1.3%	74.5M	-572.1M	-13.4M	0.32	19.46	157,044	51,024	1,599,456	702,783
2021-02-03	$47.22	$48.33	30.0%	9.0%	18.6%	28.3%	32.1%	-1.0%	-0.0%	79.6M	-630.4M	-13.5M	0.37	9.57	114,678	41,985	1,632,102	715,881
2021-02-04	$47.42	$46.67	28.5%	7.9%	18.6%	25.4%	27.9%	-1.1%	-0.0%	99.3M	-768.0M	-13.5M	0.36	22.32	197,700	70,374	1,656,747	730,992
2021-02-05	$48.13	$46.67	28.1%	7.7%	19.4%	24.6%	27.3%	-1.1%	-0.0%	127.6M	-1.31B	-13.8M	0.39	8.48	218,262	86,199	1,690,746	747,258
2021-02-08	$48.34	$46.67	27.9%	7.9%	19.5%	24.2%	28.3%	0.6%	-0.1%	143.0M	-1.38B	-13.5M	0.40	3.09	166,821	66,435	1,631,448	702,201
2021-02-09	$48.60	$46.67	27.3%	7.8%	19.5%	23.1%	27.8%	0.2%	0.2%	167.9M	-1.57B	-13.7M	0.25	2.85	147,660	36,435	1,665,189	726,246
2021-02-10	$48.05	$46.67	31.1%	8.3%	19.2%	30.4%	29.5%	-1.8%	-1.1%	125.1M	-1.15B	-13.4M	0.32	20.05	147,960	46,794	1,668,156	732,021
2021-02-11	$48.01	$46.67	29.5%	8.3%	19.1%	27.3%	29.4%	-0.7%	-1.1%	118.2M	-1.13B	-13.5M	0.29	4.37	87,897	25,509	1,697,355	749,295
2021-02-12	$48.03	$46.67	28.5%	8.1%	19.0%	25.4%	28.4%	1.7%	-0.2%	85.2M	-1.13B	-13.2M	0.53	14.53	144,066	75,702	1,699,047	754,065
2021-02-16	$48.62	$46.67	29.5%	8.4%	18.6%	27.3%	29.8%	0.3%	-1.0%	131.7M	-1.45B	-12.9M	0.39	8.61	224,691	87,936	1,558,707	720,564
2021-02-17	$48.95	$46.67	28.1%	8.1%	18.5%	24.7%	28.3%	0.8%	-0.8%	159.9M	-1.79B	-13.1M	0.40	21.03	431,556	170,772	1,632,843	744,726
2021-02-18	$46.05	$48.33	24.2%	7.0%	28.4%	17.2%	24.9%	0.2%	-0.2%	-57.4M	627.4M	-11.3M	0.53	2.34	632,613	333,426	1,663,929	826,989
2021-02-19	$46.11	$46.67	22.0%	6.3%	28.4%	12.9%	22.5%	0.1%	0.2%	-32.5M	484.9M	-12.1M	0.77	2.95	295,821	228,321	1,805,283	913,764
2021-02-22	$45.92	$46.67	22.1%	6.3%	28.0%	11.0%	22.4%	-0.1%	0.1%	14.4M	-52.6M	-12.1M	0.34	6.85	277,404	95,247	1,365,381	702,990
2021-02-23	$45.27	$46.67	22.8%	6.4%	28.2%	8.2%	23.2%	0.5%	0.0%	-1.2M	226.6M	-12.2M	0.42	2.68	196,821	83,427	1,459,365	742,830
2021-02-24	$44.45	$46.67	24.2%	6.9%	28.1%	11.0%	24.8%	0.7%	-0.1%	-20.1M	608.3M	-12.0M	0.33	5.01	329,754	109,827	1,520,568	773,172
2021-02-25	$43.96	$46.67	25.6%	7.3%	27.0%	13.9%	26.3%	0.8%	-0.6%	-12.3M	742.8M	-12.3M	0.51	4.24	207,099	106,074	1,631,889	804,057
2021-02-26	$43.61	$46.67	24.2%	7.0%	26.9%	11.1%	25.2%	0.8%	-0.2%	-28.3M	951.0M	-12.0M	0.43	9.24	245,085	105,570	1,662,228	830,172