WMT Options History — March 2021

In March 2021, WMT traded between $42.49 and $45.56. ATM implied volatility averaged 21.2%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.1% (HV 20d: 23.3%). Max pain ranged from $43.33 to $46.67. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.34.

Notable Days

2021-03-10: Highest Volume — 460,314 contracts
2021-03-30: Largest IV spike — 14.7% change
2021-03-30: Highest IV Rank — 14.5%
2021-03-04: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.07	$42.49	$45.56	$43.82	$45.32
Max Pain	$45.30	$43.33	$46.67	$46.67	$44.67
ATM IV	21.2%	18.3%	25.1%	22.3%	18.6%
Expected Move	6.1%	5.1%	7.1%	6.4%	5.1%
HV 20d	23.3%	17.2%	28.5%	26.0%	17.2%
HV 60d	20.5%	19.2%	21.5%	19.3%	21.1%
IV Rank	5.9%	0.0%	14.5%	7.2%	1.5%
IV Percentile	14.1%	0.0%	34.9%	21.4%	0.8%
Term Structure	0.2%	-1.3%	1.5%	-1.3%	1.0%
VWIV	21.8%	18.9%	26.0%	23.3%	18.9%
Skew 25d	0.3%	-2.1%	2.8%	1.2%	-0.5%
Skew 10d	1.2%	-1.4%	8.0%	0.8%	-0.2%
Call IV 25d	21.6%	18.5%	25.2%	21.9%	19.8%
Put IV 25d	21.9%	19.2%	28.0%	23.2%	19.2%
Bid-Ask Spread %	7.92	3.20	22.31	10.47	3.49
Gamma HHI	0.08	0.05	0.15	0.07	0.09
Net GEX	65.6M	-10.2M	159.6M	8.0M	145.8M
Net DEX	-30.3M	-1.17B	1.11B	618.8M	-966.8M
Net VEX	-13.3M	-14.3M	-11.8M	-12.1M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.16	0.66	0.21	0.23
Total Volume	302,972.348	146,970	460,314	394,827	194,514
Total OI	2,512,354.957	2,234,169	2,777,802	2,329,785	2,396,037

Daily Data (23 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
2021-03-01	$43.82	$46.67	22.3%	6.4%	26.0%	7.2%	23.3%	1.2%	-1.3%	8.0M	618.8M	-12.1M	0.21	10.47	325,008	69,819	1,541,550	788,235
2021-03-02	$43.48	$46.67	22.7%	6.4%	26.0%	7.9%	23.2%	0.7%	-0.2%	9.6M	791.0M	-12.1M	0.28	5.95	203,505	57,822	1,636,503	820,635
2021-03-03	$42.70	$46.67	23.8%	7.1%	25.9%	10.1%	26.0%	1.0%	-0.4%	-10.2M	1.10B	-11.8M	0.33	4.54	222,579	74,241	1,668,531	836,838
2021-03-04	$42.49	$46.67	25.1%	7.1%	25.7%	12.9%	25.5%	2.8%	-0.4%	-4.5M	1.11B	-12.1M	0.30	6.91	340,287	103,383	1,723,632	850,836
2021-03-05	$43.09	$46.67	24.1%	6.8%	26.4%	10.9%	24.6%	0.4%	0.5%	32.5M	696.0M	-12.9M	0.39	6.80	240,912	92,742	1,812,141	878,844
2021-03-08	$42.80	$46.67	24.2%	7.0%	25.3%	11.1%	24.9%	0.4%	0.1%	9.2M	747.0M	-12.7M	0.30	6.76	234,762	70,014	1,658,232	840,393
2021-03-09	$43.01	$45.00	23.0%	6.6%	25.4%	8.7%	23.8%	0.6%	0.2%	23.1M	624.6M	-12.9M	0.30	8.17	143,025	43,629	1,730,199	856,263
2021-03-10	$44.18	$45.00	22.4%	6.5%	27.7%	7.5%	23.4%	0.3%	0.2%	65.1M	-147.6M	-14.0M	0.27	5.12	361,440	98,874	1,766,445	867,642
2021-03-11	$44.13	$45.00	21.8%	6.3%	27.6%	6.2%	22.8%	-2.1%	0.1%	66.6M	-83.0M	-13.8M	0.34	6.55	248,727	85,206	1,786,173	885,909
2021-03-12	$44.79	$45.00	21.7%	6.4%	28.4%	5.9%	22.8%	-1.5%	0.8%	109.7M	-674.9M	-14.3M	0.27	7.49	325,605	88,572	1,836,240	915,828
2021-03-15	$44.34	$45.00	22.1%	6.4%	28.5%	6.8%	23.1%	-0.3%	-0.0%	49.6M	-171.9M	-13.5M	0.31	3.27	187,995	58,614	1,722,690	851,217
2021-03-16	$44.48	$45.00	20.2%	5.8%	28.0%	2.8%	20.8%	0.0%	0.5%	65.9M	-232.6M	-13.2M	0.66	3.40	152,532	101,409	1,763,076	856,788
2021-03-17	$44.11	$45.00	20.7%	5.9%	27.7%	3.9%	21.3%	0.1%	0.0%	51.2M	67.0M	-13.0M	0.16	11.23	330,579	51,903	1,784,526	868,707
2021-03-18	$43.41	$45.00	21.3%	6.2%	18.8%	5.0%	21.9%	-0.1%	-0.0%	7.1M	583.5M	-13.4M	0.52	7.94	226,479	117,426	1,799,784	890,391
2021-03-19	$44.05	$43.33	20.1%	5.8%	19.7%	3.4%	20.3%	0.3%	-0.5%	69.7M	-165.7K	-13.8M	0.61	3.20	180,897	110,616	1,865,124	912,678
2021-03-22	$44.06	$45.00	18.5%	5.2%	19.7%	0.0%	19.0%	0.4%	0.3%	62.2M	-176.9M	-13.5M	0.31	8.34	148,623	46,701	1,471,986	762,183
2021-03-23	$44.62	$45.00	18.3%	5.3%	19.9%	0.0%	19.4%	1.1%	0.6%	107.2M	-600.8M	-13.8M	0.43	16.05	174,390	74,553	1,537,971	783,648
2021-03-24	$44.47	$45.00	18.8%	5.4%	18.8%	1.3%	19.3%	0.7%	0.3%	103.2M	-445.4M	-13.8M	0.44	22.31	101,922	45,048	1,551,231	795,996
2021-03-25	$44.70	$45.00	19.1%	5.4%	18.4%	2.2%	19.2%	0.6%	0.3%	121.4M	-625.4M	-14.0M	0.24	22.05	226,281	53,706	1,573,320	806,634
2021-03-26	$44.85	$44.67	18.9%	5.4%	18.1%	2.3%	19.0%	1.0%	0.7%	159.6M	-797.8M	-13.9M	0.29	4.15	226,593	66,783	1,617,564	813,414
2021-03-29	$45.56	$44.67	18.9%	5.3%	18.8%	2.3%	19.1%	0.3%	1.5%	134.0M	-1.17B	-14.2M	0.29	4.33	300,861	86,142	1,531,206	776,124
2021-03-30	$45.25	$44.67	21.7%	5.4%	18.7%	14.5%	19.5%	-0.0%	0.6%	123.7M	-943.6M	-14.0M	0.30	3.66	210,420	63,225	1,558,371	792,429
2021-03-31	$45.32	$44.67	18.6%	5.1%	17.2%	1.5%	18.9%	-0.5%	1.0%	145.8M	-966.8M	-13.9M	0.23	3.49	158,004	36,510	1,590,507	805,530