WMT Options History — August 2021

In August 2021, WMT traded between $47.40 and $50.49. ATM implied volatility averaged 17.6%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 6.6% (HV 20d: 11.0%). Max pain ranged from $45.00 to $48.33. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.40.

Notable Days

2021-08-11: Highest Volume — 1,526,439 contracts
2021-08-17: Largest IV drop — 20.7% change
2021-08-04: Highest IV Rank — 26.8%
2021-08-04: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.27	$47.40	$50.49	$47.40	$49.34
Max Pain	$47.20	$45.00	$48.33	$46.67	$48.33
ATM IV	17.6%	13.8%	20.9%	20.4%	14.2%
Expected Move	5.0%	3.8%	6.8%	6.4%	3.8%
HV 20d	11.0%	6.8%	13.9%	6.8%	13.5%
HV 60d	12.9%	12.3%	13.8%	13.7%	13.0%
IV Rank	15.4%	2.2%	26.8%	25.0%	3.6%
IV Percentile	17.9%	1.6%	33.3%	27.4%	6.7%
Term Structure	-0.2%	-1.0%	0.5%	-0.7%	0.2%
VWIV	18.0%	13.8%	23.8%	22.5%	13.9%
Skew 25d	0.2%	-0.4%	0.7%	0.6%	0.5%
Skew 10d	1.1%	-0.3%	7.1%	1.5%	1.1%
Call IV 25d	18.2%	14.3%	21.8%	20.6%	14.6%
Put IV 25d	18.3%	14.2%	21.7%	21.2%	15.1%
Bid-Ask Spread %	5.81	1.70	25.05	3.04	2.21
Gamma HHI	0.22	0.18	0.41	0.19	0.21
Net GEX	175.3M	92.0M	295.1M	131.1M	135.0M
Net DEX	-1.50B	-2.88B	-350.7M	-875.3M	-741.5M
Net VEX	-13.1M	-13.9M	-12.4M	-13.1M	-12.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.10	0.78	0.37	0.35
Total Volume	312,076.227	119,580	1,526,439	119,580	130,404
Total OI	2,295,239.591	2,082,204	2,544,471	2,225,784	2,285,880

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
2021-08-02	$47.40	$46.67	20.4%	6.4%	6.8%	25.0%	22.5%	0.6%	-0.7%	131.1M	-875.3M	-13.1M	0.37	3.04	87,249	32,331	1,407,729	818,055
2021-08-03	$47.90	$46.67	20.6%	6.6%	7.6%	25.9%	23.3%	0.3%	-1.0%	168.9M	-1.26B	-13.4M	0.30	12.91	149,595	45,231	1,423,554	840,090
2021-08-04	$47.68	$46.67	20.9%	6.8%	7.8%	26.8%	23.8%	0.2%	-0.7%	166.4M	-1.13B	-13.1M	0.29	25.05	105,678	30,807	1,445,616	851,517
2021-08-05	$48.37	$46.67	20.7%	5.6%	9.0%	26.2%	20.2%	0.1%	-0.6%	225.7M	-1.69B	-13.5M	0.31	3.41	209,124	64,503	1,457,802	862,827
2021-08-06	$48.37	$46.67	20.2%	5.5%	8.9%	24.4%	20.5%	-0.3%	-0.8%	295.1M	-1.77B	-13.4M	0.43	3.14	216,441	92,583	1,486,032	875,013
2021-08-09	$48.49	$46.67	20.8%	5.7%	8.7%	26.7%	20.2%	-0.3%	-0.8%	198.0M	-1.70B	-13.0M	0.44	3.16	103,572	45,309	1,443,021	830,610
2021-08-10	$49.45	$45.00	20.5%	5.6%	10.7%	25.5%	20.2%	0.1%	-0.8%	216.9M	-2.47B	-13.2M	0.36	3.22	312,198	113,694	1,468,362	839,526
2021-08-11	$50.03	$45.00	20.6%	5.7%	11.1%	26.0%	20.2%	-0.4%	-0.8%	213.9M	-2.88B	-13.7M	0.10	3.94	1,390,191	136,248	1,484,520	855,471
2021-08-12	$49.69	$46.67	20.4%	5.7%	11.6%	25.2%	20.2%	0.1%	-0.8%	212.6M	-2.51B	-13.9M	0.34	3.94	167,169	56,508	1,473,969	888,453
2021-08-13	$49.81	$46.67	20.1%	5.6%	11.5%	24.1%	20.1%	0.1%	-0.9%	198.6M	-1.62B	-13.6M	0.31	2.83	155,142	48,366	1,388,370	921,966
2021-08-16	$50.23	$46.67	20.1%	5.7%	11.1%	24.0%	20.4%	-0.1%	-0.5%	159.1M	-1.87B	-13.6M	0.40	3.89	383,223	152,109	1,306,086	883,647
2021-08-17	$50.07	$46.67	15.9%	4.6%	11.2%	9.5%	16.6%	0.6%	0.3%	197.5M	-1.85B	-12.9M	0.41	2.98	483,036	198,132	1,331,541	903,822
2021-08-18	$49.79	$46.67	15.6%	4.5%	11.3%	8.4%	15.9%	0.4%	0.2%	201.3M	-1.64B	-12.8M	0.37	3.02	259,557	96,348	1,453,194	972,765
2021-08-19	$50.07	$48.33	16.3%	4.7%	11.3%	11.0%	16.7%	0.7%	-0.0%	187.7M	-1.76B	-13.8M	0.51	2.31	152,745	77,145	1,496,193	1,006,650
2021-08-20	$50.49	$48.33	15.3%	4.4%	11.3%	7.4%	15.5%	0.7%	0.3%	156.2M	-2.09B	-13.3M	0.42	1.70	170,433	70,863	1,521,414	1,023,057
2021-08-23	$50.22	$48.33	14.2%	4.0%	11.7%	3.5%	14.7%	0.0%	0.5%	163.8M	-1.42B	-13.1M	0.55	2.41	91,383	50,409	1,257,936	824,268
2021-08-24	$49.72	$48.33	14.0%	3.9%	12.5%	3.0%	14.2%	-0.1%	0.4%	153.1M	-1.09B	-12.7M	0.37	2.66	128,412	47,457	1,316,238	845,859
2021-08-25	$49.72	$48.33	13.8%	3.9%	12.4%	2.2%	13.8%	0.1%	0.5%	151.5M	-1.05B	-12.4M	0.42	5.38	127,995	54,270	1,344,021	865,227
2021-08-26	$49.11	$48.33	14.5%	4.0%	13.4%	4.6%	14.9%	0.2%	0.3%	108.9M	-579.4M	-12.7M	0.78	15.12	133,551	104,361	1,364,367	887,730
2021-08-27	$48.83	$48.33	13.8%	3.8%	13.7%	2.2%	14.3%	-0.1%	0.4%	92.0M	-350.7M	-12.5M	0.60	9.12	120,402	72,822	1,404,612	911,337
2021-08-30	$49.26	$48.33	14.1%	3.8%	13.9%	3.3%	14.1%	0.6%	0.4%	122.9M	-683.2M	-12.8M	0.31	12.48	151,815	46,866	1,314,003	912,921
2021-08-31	$49.34	$48.33	14.2%	3.8%	13.5%	3.6%	13.9%	0.5%	0.2%	135.0M	-741.5M	-12.7M	0.35	2.21	96,693	33,711	1,341,030	944,850