WMT Options History — July 2021

In July 2021, WMT traded between $46.37 and $47.52. ATM implied volatility averaged 18.3%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.5% (HV 20d: 14.9%). Max pain ranged from $45.00 to $46.67. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2021-07-02: Highest Volume — 534,027 contracts
  • 2021-07-19: Largest IV spike — 24.0% change
  • 2021-07-19: Highest IV Rank — 27.7%
  • 2021-07-26: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.05$46.37$47.52$46.37$47.51
Max Pain$46.03$45.00$46.67$46.67$46.67
ATM IV18.3%15.8%21.1%15.9%20.3%
Expected Move5.8%4.4%6.3%4.4%6.1%
HV 20d14.9%7.3%17.1%16.7%7.3%
HV 60d14.5%13.7%14.8%14.6%13.7%
IV Rank17.9%9.2%27.7%9.6%24.6%
IV Percentile19.6%9.5%32.9%10.3%26.6%
Term Structure0.9%-0.8%4.3%-0.0%-0.2%
VWIV20.5%16.4%22.2%17.3%21.6%
Skew 25d0.3%-0.3%1.0%0.0%0.0%
Skew 10d0.4%-2.1%3.0%-2.1%0.2%
Call IV 25d18.6%15.2%22.2%16.4%20.9%
Put IV 25d18.8%15.8%22.6%16.4%20.9%
Bid-Ask Spread %3.961.7310.652.197.07
Gamma HHI0.140.110.180.110.17
Net GEX182.5M103.6M243.9M135.0M212.1M
Net DEX-982.6M-1.41B-647.7M-647.7M-1.08B
Net VEX-13.5M-13.8M-13.1M-13.1M-13.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.150.480.270.38
Total Volume238,378.571118,236534,027293,556178,284
Total OI2,324,235.8572,105,6342,505,9602,258,4152,345,004

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$46.37$46.6715.9%4.4%16.7%9.6%17.3%0.0%-0.0%135.0M-647.7M-13.1M0.272.19231,18962,3671,433,373825,042
2021-07-02$46.80$46.6715.9%4.4%17.1%9.4%16.4%-0.3%-0.0%242.1M-1.12B-13.2M0.152.23464,69769,3301,488,573845,283
2021-07-06$46.75$45.0016.3%5.6%16.9%10.8%20.1%0.3%0.6%187.0M-961.6M-13.2M0.252.26182,70346,5511,521,432826,245
2021-07-07$46.67$45.0016.4%5.7%16.8%11.1%20.3%0.3%0.6%186.5M-858.5M-13.1M0.261.73228,60359,2441,565,781847,761
2021-07-08$46.50$45.0017.5%5.9%16.7%14.9%21.2%0.5%0.5%164.1M-708.9M-13.3M0.482.51185,82389,1841,587,501860,262
2021-07-09$46.77$45.0015.9%5.7%16.7%9.6%20.3%0.5%1.2%228.1M-934.0M-13.8M0.282.26135,71437,8661,603,158902,802
2021-07-12$46.64$45.0015.9%5.7%16.6%9.6%20.0%0.7%3.5%145.7M-661.7M-13.2M0.261.97147,40237,6471,471,278862,311
2021-07-13$46.85$45.0016.3%5.7%16.6%10.9%20.3%1.0%3.3%175.1M-921.8M-13.6M0.232.56192,05444,6821,498,875871,782
2021-07-14$47.21$45.0015.8%5.8%16.8%9.2%20.4%0.8%4.3%226.7M-1.33B-13.6M0.223.68251,49654,9481,536,831885,231
2021-07-15$47.25$45.0016.5%5.7%15.3%11.7%20.2%0.3%4.3%242.7M-1.41B-13.4M0.272.07254,03469,1591,558,806903,396
2021-07-16$47.21$46.6717.1%5.6%15.3%13.5%19.8%0.6%4.2%243.9M-1.38B-13.8M0.372.42127,92346,7521,570,869927,402
2021-07-19$46.90$46.6721.1%6.3%14.3%27.7%22.2%0.4%-0.4%103.6M-681.4M-13.8M0.309.65234,69070,9411,328,847776,787
2021-07-20$47.26$46.6720.4%6.0%14.4%25.1%21.1%0.4%-0.4%149.8M-936.4M-13.7M0.414.17141,43857,4651,383,876800,709
2021-07-21$47.06$46.6720.5%5.9%14.4%25.5%20.8%0.1%-0.3%147.5M-796.0M-13.7M0.4310.65111,66347,9071,423,647821,493
2021-07-22$47.07$46.6720.3%5.8%14.2%24.7%20.6%-0.1%-0.5%150.9M-826.2M-13.5M0.242.8295,04323,1931,449,000840,990
2021-07-23$47.50$46.6720.1%5.9%14.3%24.2%20.5%-0.3%-0.8%223.7M-1.22B-13.6M0.252.08216,72354,2671,461,267844,620
2021-07-26$47.52$46.6721.1%6.3%14.0%27.6%22.2%0.2%-0.2%149.9M-1.07B-13.2M0.212.13216,52545,0091,369,131788,592
2021-07-27$47.49$46.6720.9%6.2%14.0%26.7%22.0%0.2%-0.2%176.3M-1.11B-13.5M0.377.20130,94448,1111,419,462799,536
2021-07-28$47.38$46.6720.8%6.3%13.9%26.5%22.1%0.2%-0.7%164.9M-994.1M-13.6M0.296.68148,55742,4891,439,046816,090
2021-07-29$47.43$46.6720.0%6.1%9.6%23.7%21.5%-0.1%-0.4%176.3M-993.7M-13.6M0.244.8699,69323,6401,471,608835,254
2021-07-30$47.51$46.6720.3%6.1%7.3%24.6%21.6%0.0%-0.2%212.1M-1.08B-13.2M0.387.07128,74249,5421,496,772848,232