WMT Options History — June 2021 In June 2021, WMT traded between $45.20 and $47.29. ATM implied volatility averaged 14.4%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.9% (HV 20d: 12.5%). Max pain ranged from $46.67 to $46.67. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.52.
Notable Days 2021-06-30 : Highest Volume — 686,547 contracts2021-06-30 : Largest IV spike — 18.8% change2021-06-30 : Highest IV Rank — 13.5%2021-06-30 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $46.37 $45.20 $47.29 $47.17 $47.13 Max Pain $46.67 $46.67 $46.67 $46.67 $46.67 ATM IV 14.4% 13.2% 17.1% 15.4% 17.1% Expected Move 4.1% 3.8% 4.9% 4.3% 4.9% HV 20d 12.5% 9.2% 16.1% 16.1% 15.7% HV 60d 14.4% 13.0% 15.6% 15.6% 14.2% IV Rank 3.2% 0.0% 13.5% 3.4% 13.5% IV Percentile 2.5% 0.0% 12.3% 0.8% 12.3% Term Structure 0.4% -0.5% 1.0% 0.5% -0.5% VWIV 14.9% 13.4% 18.4% 15.1% 18.4% Skew 25d 0.9% -0.3% 1.5% 0.7% -0.3% Skew 10d 2.5% 1.1% 4.0% 2.0% 1.4% Call IV 25d 14.5% 13.0% 17.5% 15.6% 17.5% Put IV 25d 15.4% 14.0% 18.0% 16.3% 17.2% Bid-Ask Spread % 11.12 2.15 41.50 4.86 2.55 Gamma HHI 0.15 0.10 0.22 0.15 0.14 Net GEX 64.2M -27.9M 132.0M 90.7M 128.5M Net DEX -411.8M -1.25B 360.5M -728.6M -1.25B Net VEX -11.3M -13.0M -10.5M -11.2M -13.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.22 0.81 0.28 0.22 Total Volume 181,316.318 73,170 686,547 201,459 686,547 Total OI 2,095,992.409 1,732,407 2,321,004 1,989,654 2,076,003
Daily Data (22 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 2021-06-01 $47.17 $46.67 15.4% 4.3% 16.1% 3.4% 15.1% 0.7% 0.5% 90.7M -728.6M -11.2M 0.28 4.86 157,158 44,301 1,273,278 716,376 2021-06-02 $47.11 $46.67 15.0% 4.2% 15.6% 2.0% 15.0% 0.7% 0.6% 94.1M -779.1M -11.6M 0.53 5.19 106,458 56,559 1,366,167 734,436 2021-06-03 $47.17 $46.67 15.1% 4.5% 15.6% 2.0% 15.8% 0.9% 0.1% 107.5M -892.6M -11.8M 0.62 2.41 61,239 38,034 1,399,593 761,427 2021-06-04 $47.29 $46.67 14.1% 4.3% 15.6% 0.0% 15.4% 1.2% 0.5% 132.0M -935.8M -11.8M 0.64 3.52 70,545 45,123 1,405,002 776,529 2021-06-07 $46.92 $46.67 14.0% 4.2% 15.8% 0.0% 14.9% 0.3% 0.7% 81.2M -632.4M -11.5M 0.55 2.18 118,368 64,647 1,355,568 751,992 2021-06-08 $46.67 $46.67 14.0% 4.1% 15.7% 0.1% 14.8% 0.7% 0.4% 65.3M -442.9M -11.4M 0.49 8.10 79,947 39,378 1,395,468 787,974 2021-06-09 $46.40 $46.67 13.8% 4.1% 14.8% 0.0% 15.0% 1.1% 0.9% 39.3M -253.6M -11.2M 0.61 41.50 96,741 58,893 1,405,449 806,259 2021-06-10 $46.58 $46.67 13.6% 4.0% 12.6% 0.0% 14.5% 0.7% 0.6% 56.1M -385.2M -11.5M 0.58 32.49 77,808 45,186 1,434,102 827,631 2021-06-11 $46.92 $46.67 13.2% 3.9% 11.1% 0.0% 14.2% 1.1% 1.0% 85.0M -662.4M -11.1M 0.63 39.09 74,778 47,298 1,439,367 835,398 2021-06-14 $46.83 $46.67 13.8% 4.0% 10.9% 2.1% 14.6% 1.3% 0.2% 76.3M -526.9M -11.2M 0.54 9.05 58,767 31,569 1,396,227 796,242 2021-06-15 $46.69 $46.67 13.9% 4.0% 10.9% 2.4% 14.2% 0.8% 0.6% 69.4M -487.3M -10.8M 0.54 25.64 47,646 25,524 1,413,444 805,374 2021-06-16 $45.84 $46.67 14.6% 4.2% 9.2% 4.9% 15.2% 0.9% 0.3% 13.9M 66.9M -10.5M 0.61 13.89 124,377 75,414 1,421,235 814,197 2021-06-17 $45.92 $46.67 14.1% 4.0% 9.2% 3.1% 14.6% 0.9% 0.7% 26.4M 41.1M -10.9M 0.48 10.68 107,187 51,549 1,455,234 840,441 2021-06-18 $45.20 $46.67 16.4% 4.7% 10.0% 11.0% 17.1% 1.4% -0.5% -27.9M 360.5M -10.7M 0.81 14.54 173,772 140,172 1,471,308 849,696 2021-06-21 $45.46 $46.67 14.9% 4.1% 10.4% 6.0% 14.8% 1.5% 0.3% 26.8M -24.3M -10.6M 0.48 5.36 114,417 55,380 1,041,381 691,026 2021-06-22 $45.75 $46.67 14.4% 4.0% 10.7% 4.3% 14.9% 1.3% 0.5% 45.4M -227.6M -10.6M 0.67 2.15 70,674 47,205 1,078,065 718,953 2021-06-23 $45.46 $46.67 14.1% 4.0% 10.6% 3.3% 14.1% 1.3% 0.4% 30.3M -38.6M -10.6M 0.51 2.24 95,505 49,080 1,095,375 739,713 2021-06-24 $45.69 $46.67 13.8% 3.9% 10.9% 2.2% 14.1% 1.0% 0.6% 56.3M -188.3M -10.9M 0.34 3.05 179,649 60,444 1,132,263 758,151 2021-06-25 $46.14 $46.67 13.4% 3.8% 11.6% 0.9% 13.4% 1.0% 0.5% 90.0M -506.6M -11.3M 0.38 2.45 196,011 74,841 1,215,120 796,575 2021-06-28 $46.06 $46.67 14.4% 3.9% 11.6% 4.4% 14.0% 1.0% -0.3% 65.7M -358.0M -11.8M 0.47 11.23 80,019 37,551 1,230,582 762,285 2021-06-29 $45.81 $46.67 14.4% 3.9% 11.6% 4.1% 14.0% 1.0% 0.3% 59.2M -210.8M -11.8M 0.47 2.48 83,529 39,669 1,262,625 778,302 2021-06-30 $47.13 $46.67 17.1% 4.9% 15.7% 13.5% 18.4% -0.3% -0.5% 128.5M -1.25B -13.0M 0.22 2.55 564,093 122,454 1,285,776 790,227
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