WMT Options History — April 2021

In April 2021, WMT traded between $45.25 and $47.08. ATM implied volatility averaged 19.8%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.8% (HV 20d: 15.0%). Max pain ranged from $44.67 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-04-06: Highest Volume — 551,220 contracts
  • 2021-04-19: Largest IV spike — 20.1% change
  • 2021-04-22: Highest IV Rank — 26.7%
  • 2021-04-30: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.52$45.25$47.08$45.25$46.56
Max Pain$44.98$44.67$45.00$44.67$45.00
ATM IV19.8%15.9%22.9%18.2%22.4%
Expected Move6.3%4.9%6.9%4.9%6.9%
HV 20d15.0%12.7%18.8%17.0%13.7%
HV 60d21.2%20.0%22.0%21.1%20.0%
IV Rank12.5%0.0%26.7%0.0%24.8%
IV Percentile15.4%0.0%38.9%0.0%35.3%
Term Structure0.9%-0.9%5.9%1.0%-0.6%
VWIV22.6%17.9%24.7%17.9%24.7%
Skew 25d-0.1%-0.4%0.5%-0.1%-0.4%
Skew 10d-0.8%-3.2%0.5%0.2%-1.0%
Call IV 25d20.2%15.3%23.5%18.7%23.4%
Put IV 25d20.1%15.5%23.1%18.6%23.0%
Bid-Ask Spread %5.942.7313.928.963.94
Gamma HHI0.180.080.330.140.19
Net GEX182.6M62.5M304.7M163.5M189.6M
Net DEX-1.38B-2.07B-542.7M-933.7M-1.11B
Net VEX-13.5M-14.0M-13.1M-13.7M-13.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.190.920.240.33
Total Volume239,760.286115,542551,220215,667129,672
Total OI2,377,0832,092,0232,581,5692,427,9362,429,760

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$45.25$44.6718.2%4.9%17.0%0.0%17.9%-0.1%1.0%163.5M-933.7M-13.7M0.248.96174,25241,4151,619,733808,203
2021-04-05$46.54$45.0019.3%6.4%18.8%4.7%22.9%0.1%-0.4%178.5M-1.78B-14.0M0.2511.85184,55146,0201,570,503771,036
2021-04-06$46.74$45.0019.4%6.6%18.4%5.0%23.6%0.1%-0.3%177.1M-1.86B-13.8M0.199.86463,14388,0771,558,782786,525
2021-04-07$46.69$45.0018.9%6.5%18.5%3.0%23.4%0.1%-0.1%211.5M-1.96B-13.9M0.304.89169,48550,6521,676,898807,291
2021-04-08$46.60$45.0017.9%6.2%16.5%0.0%22.6%-0.4%-0.0%236.1M-1.89B-13.9M0.288.50160,40144,7541,711,890821,511
2021-04-09$46.57$45.0017.6%6.2%16.5%0.0%22.1%-0.1%-0.1%266.6M-1.81B-13.6M0.3710.22152,81757,2101,720,038836,175
2021-04-12$46.65$45.0016.5%6.0%15.9%0.0%21.5%0.2%4.4%208.0M-1.69B-13.1M0.326.05120,13538,9851,634,904808,437
2021-04-13$46.45$45.0016.0%5.9%15.4%0.0%21.5%0.2%4.4%225.5M-1.51B-13.2M0.4113.92120,80149,5121,659,987821,067
2021-04-14$46.39$45.0015.9%5.9%15.4%0.0%21.6%0.5%4.8%202.3M-1.45B-13.2M0.283.32169,11047,7901,658,832832,266
2021-04-15$46.79$45.0017.0%6.0%15.1%4.0%21.8%0.2%5.0%302.2M-1.96B-13.5M0.235.04243,49256,0101,701,141849,546
2021-04-16$46.87$45.0017.3%6.0%13.3%5.3%21.1%0.2%5.9%304.7M-2.07B-13.4M0.276.21193,45252,4821,716,342865,227
2021-04-19$46.58$45.0020.8%6.3%13.1%18.6%22.6%0.2%-0.5%136.2M-1.06B-13.4M0.315.77134,04341,5831,395,315696,708
2021-04-20$46.88$45.0022.3%6.5%13.2%24.5%23.1%-0.3%-0.7%133.0M-1.22B-13.5M0.242.98255,96060,6661,400,907713,205
2021-04-21$47.08$45.0022.1%6.3%12.7%23.8%22.4%-0.4%-0.7%154.3M-1.34B-13.1M0.272.91178,61747,9161,413,594729,762
2021-04-22$46.69$45.0022.9%6.6%13.1%26.7%23.4%-0.4%-0.9%150.2M-1.09B-13.3M0.923.39167,352153,9661,459,785733,806
2021-04-23$46.65$45.0022.1%6.4%13.1%23.7%22.9%-0.4%-0.9%170.8M-988.8M-13.3M0.462.78225,738103,3771,481,241804,432
2021-04-26$46.00$45.0022.4%6.7%14.3%25.0%23.8%-0.4%-0.5%62.5M-542.7M-13.3M0.422.73248,532105,4801,454,286779,949
2021-04-27$46.26$45.0022.4%6.7%13.4%24.7%23.6%-0.4%-0.5%108.2M-810.6M-13.8M0.232.80130,81229,5891,536,321831,402
2021-04-28$46.05$45.0022.3%6.7%13.2%24.5%24.0%-0.3%-0.4%92.7M-684.7M-13.7M0.332.7986,85328,6891,564,197832,281
2021-04-29$46.58$45.0022.2%6.8%13.8%24.1%24.0%-0.4%-0.5%162.1M-1.16B-13.9M0.335.80136,27845,2971,582,236843,222
2021-04-30$46.56$45.0022.4%6.9%13.7%24.8%24.7%-0.4%-0.6%189.6M-1.11B-13.6M0.333.9497,57832,0941,583,055846,705