WMT Options History — May 2021

In May 2021, WMT traded between $45.43 and $47.54. ATM implied volatility averaged 20.9%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.5% (HV 20d: 15.4%). Max pain ranged from $45.00 to $46.67. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2021-05-18: Highest Volume — 691,551 contracts
  • 2021-05-18: Largest IV drop — 25.4% change
  • 2021-05-12: Highest IV Rank — 47.9%
  • 2021-05-12: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.97$45.43$47.54$47.33$47.41
Max Pain$46.42$45.00$46.67$45.00$46.67
ATM IV20.9%14.5%28.4%22.2%14.5%
Expected Move5.9%4.0%7.7%7.0%4.0%
HV 20d15.4%11.1%18.4%11.1%17.0%
HV 60d18.2%15.8%20.9%20.3%15.8%
IV Rank19.6%0.0%47.9%24.1%0.0%
IV Percentile28.4%0.0%73.4%31.3%0.0%
Term Structure-0.6%-2.7%0.7%-0.8%0.2%
VWIV21.0%14.3%27.4%24.4%14.3%
Skew 25d0.8%-0.3%1.8%-0.1%0.8%
Skew 10d2.7%-0.3%9.1%-0.3%1.7%
Call IV 25d21.0%14.3%28.4%22.5%14.3%
Put IV 25d21.8%15.1%29.7%22.4%15.1%
Bid-Ask Spread %3.731.9810.673.006.35
Gamma HHI0.120.070.200.120.16
Net GEX129.2M49.7M190.6M190.6M152.1M
Net DEX-1.02B-1.61B-150.1M-1.61B-984.7M
Net VEX-12.6M-13.7M-11.4M-13.6M-11.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.151.100.260.53
Total Volume217,382.1115,155691,551284,079133,515
Total OI2,277,057.91,950,4262,451,1562,307,2312,103,939

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$47.33$45.0022.2%7.0%11.1%24.1%24.4%-0.1%-0.8%190.6M-1.61B-13.6M0.263.00224,80559,2741,515,288791,943
2021-05-04$46.80$45.0023.5%7.5%11.8%29.3%26.5%0.1%-0.9%137.4M-1.11B-13.3M0.513.2089,61945,3241,512,282791,187
2021-05-05$46.90$45.0023.3%7.5%11.8%28.2%26.4%0.1%-0.8%154.2M-1.20B-13.2M0.152.89150,41123,1871,524,528809,319
2021-05-06$46.99$46.6723.5%6.3%11.8%29.0%22.3%0.1%-1.0%162.1M-1.20B-13.7M0.393.29111,52542,9631,509,561819,303
2021-05-07$46.80$46.6723.0%6.2%11.9%27.3%22.0%-0.3%-1.0%151.0M-1.04B-13.3M1.1010.67147,372162,2791,517,175819,021
2021-05-10$47.12$46.6723.4%6.4%12.2%28.6%22.9%0.8%-0.7%154.6M-1.28B-13.1M0.335.20140,61647,0581,482,021787,464
2021-05-11$46.39$46.6724.9%6.8%13.3%34.4%24.2%0.6%-1.3%105.6M-723.3M-13.0M0.683.29129,46588,6711,493,670804,954
2021-05-12$45.43$46.6728.4%7.7%15.3%47.9%27.4%1.3%-1.6%49.7M-150.1M-13.2M0.553.29122,55067,5181,542,837850,557
2021-05-13$46.28$46.6726.8%7.2%16.5%41.9%25.6%1.4%-2.7%102.5M-589.1M-13.3M0.505.65116,94958,2481,560,006866,205
2021-05-14$46.55$46.6724.3%6.7%16.6%32.4%24.1%1.1%-1.4%159.4M-846.3M-13.0M0.352.15131,42146,5751,573,077875,769
2021-05-17$46.37$46.6725.0%7.1%16.5%34.8%25.2%0.6%-0.5%85.1M-713.5M-12.8M0.672.13137,84792,8741,479,936815,586
2021-05-18$47.45$46.6718.6%5.4%18.4%10.5%18.8%1.3%-0.5%170.7M-1.44B-12.4M0.542.36449,079242,4721,520,712855,204
2021-05-19$47.19$46.6719.3%5.5%18.4%13.2%19.3%1.5%-0.4%140.7M-1.16B-12.3M0.472.79231,813108,6751,546,713865,119
2021-05-20$47.47$46.6717.9%5.1%18.3%7.8%17.7%1.8%-0.1%134.6M-1.32B-12.1M0.444.16175,47077,7421,563,051872,190
2021-05-21$47.24$46.6716.8%4.8%18.4%3.5%17.0%1.6%-0.1%90.4M-1.15B-12.0M0.351.98125,18443,8721,574,679876,477
2021-05-24$47.35$46.6715.9%4.5%17.5%0.0%16.2%0.9%0.4%98.7M-935.8M-11.4M0.492.1077,07338,0821,244,118706,308
2021-05-25$47.54$46.6715.8%4.3%17.5%0.0%15.7%1.4%0.7%118.2M-1.05B-11.7M0.972.7973,96271,4991,269,411713,220
2021-05-26$47.39$46.6715.5%4.3%17.4%0.0%15.5%1.2%0.5%106.9M-908.1M-11.5M0.474.9985,17639,8941,280,961734,091
2021-05-27$47.37$46.6715.3%4.2%17.0%0.0%15.1%0.7%0.1%119.4M-913.9M-11.7M0.442.3595,58641,9971,314,705758,571
2021-05-28$47.41$46.6714.5%4.0%17.0%0.0%14.3%0.8%0.2%152.1M-984.7M-11.5M0.536.3586,98846,5271,333,905770,034