WMT Options History — September 2021

In September 2021, WMT traded between $46.58 and $49.77. ATM implied volatility averaged 15.6%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.1% (HV 20d: 11.6%). Max pain ranged from $48.33 to $48.33. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.48.

Notable Days

2021-09-17: Highest Volume — 219,162 contracts
2021-09-20: Largest IV spike — 24.9% change
2021-09-20: Highest IV Rank — 29.3%
2021-09-20: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.17	$46.58	$49.77	$49.22	$46.58
Max Pain	$48.33	$48.33	$48.33	$48.33	$48.33
ATM IV	15.6%	13.7%	19.5%	14.0%	17.9%
Expected Move	4.5%	3.7%	5.6%	3.7%	5.1%
HV 20d	11.6%	10.5%	13.9%	13.4%	11.3%
HV 60d	12.5%	11.1%	13.3%	13.0%	11.3%
IV Rank	11.3%	2.2%	29.3%	2.7%	22.0%
IV Percentile	15.4%	1.2%	32.9%	3.6%	29.8%
Term Structure	0.3%	-0.3%	2.3%	0.3%	-0.1%
VWIV	16.2%	13.4%	19.4%	13.4%	18.5%
Skew 25d	1.7%	0.3%	3.9%	0.3%	2.2%
Skew 10d	4.5%	0.8%	10.0%	0.9%	4.7%
Call IV 25d	15.7%	13.9%	18.4%	14.5%	17.8%
Put IV 25d	17.3%	14.5%	22.4%	14.8%	20.0%
Bid-Ask Spread %	6.10	2.28	28.16	2.64	4.10
Gamma HHI	0.16	0.06	0.61	0.22	0.08
Net GEX	72.4M	-4.2M	341.8M	127.9M	7.1M
Net DEX	26.3M	-1.17B	708.5M	-628.6M	708.5M
Net VEX	-11.9M	-13.1M	-11.3M	-12.6M	-11.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.21	0.89	0.21	0.50
Total Volume	156,484.714	104,718	219,162	133,776	154,173
Total OI	2,255,587.143	1,907,682	2,554,929	2,331,492	2,166,879

Daily Data (21 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
2021-09-01	$49.22	$48.33	14.0%	3.7%	13.4%	2.7%	13.4%	0.3%	0.3%	127.9M	-628.6M	-12.6M	0.21	2.64	110,634	23,142	1,363,209	968,283
2021-09-02	$49.54	$48.33	13.9%	4.2%	12.6%	2.5%	14.8%	0.5%	0.3%	161.7M	-926.3M	-12.7M	0.32	28.16	94,977	30,396	1,376,904	980,256
2021-09-03	$49.77	$48.33	13.7%	4.1%	12.7%	2.2%	15.0%	0.5%	0.4%	187.5M	-1.17B	-13.1M	0.45	2.86	117,405	53,211	1,398,648	989,232
2021-09-07	$49.06	$48.33	14.8%	4.4%	13.9%	6.3%	15.7%	0.5%	0.5%	115.8M	-529.2M	-12.4M	0.38	3.39	148,737	56,232	1,351,749	949,737
2021-09-08	$49.17	$48.33	13.7%	4.3%	11.9%	2.4%	15.6%	0.8%	2.3%	119.1M	-572.9M	-12.3M	0.44	13.69	89,415	39,165	1,367,787	973,968
2021-09-09	$48.89	$48.33	14.7%	4.4%	11.2%	7.3%	15.3%	0.7%	0.7%	99.9M	-367.3M	-12.3M	0.45	3.10	121,158	54,144	1,407,822	998,385
2021-09-10	$48.67	$48.33	15.6%	4.5%	11.1%	11.1%	16.0%	1.7%	0.3%	35.9M	-134.6M	-12.2M	0.48	2.98	99,213	47,823	1,418,754	1,009,338
2021-09-13	$48.31	$48.33	15.9%	4.5%	11.2%	12.5%	16.4%	2.4%	0.1%	49.9M	93.1M	-11.7M	0.40	3.40	147,861	59,457	1,395,693	994,767
2021-09-14	$48.07	$48.33	15.6%	4.5%	10.6%	11.5%	16.6%	2.1%	0.2%	30.8M	305.0M	-11.8M	0.85	2.28	90,501	77,244	1,410,792	1,006,899
2021-09-15	$48.22	$48.33	14.7%	4.2%	10.8%	7.3%	15.4%	1.4%	-0.1%	65.4M	158.6M	-11.4M	0.57	2.35	85,023	48,093	1,446,114	1,026,873
2021-09-16	$48.35	$48.33	14.7%	4.2%	10.8%	6.9%	15.2%	1.7%	0.6%	101.5M	84.7M	-11.7M	0.41	2.53	105,507	43,764	1,459,197	1,048,818
2021-09-17	$48.28	$48.33	15.6%	4.5%	10.5%	11.3%	16.2%	1.8%	0.3%	341.8M	129.6M	-11.6M	0.37	13.30	160,122	59,040	1,490,973	1,063,956
2021-09-20	$47.41	$48.33	19.5%	5.6%	11.3%	29.3%	19.4%	3.9%	-0.1%	-4.2M	447.5M	-11.5M	0.73	5.11	125,355	90,924	1,095,966	811,716
2021-09-21	$47.76	$48.33	17.7%	5.1%	11.8%	21.1%	18.3%	3.8%	0.0%	12.3M	301.6M	-11.8M	0.89	5.67	58,485	51,936	1,134,474	821,130
2021-09-22	$47.57	$48.33	16.3%	4.6%	11.5%	14.5%	16.7%	3.0%	0.4%	3.1M	394.5M	-11.7M	0.43	9.77	84,024	35,748	1,184,430	844,059
2021-09-23	$47.64	$48.33	15.2%	4.3%	11.6%	9.5%	15.4%	2.1%	0.2%	961.4K	429.9M	-11.7M	0.38	4.75	104,592	39,882	1,206,012	873,324
2021-09-24	$47.83	$48.33	14.3%	4.1%	11.1%	5.2%	14.5%	1.7%	0.4%	20.2M	309.4M	-11.6M	0.58	5.56	73,359	42,270	1,223,325	886,065
2021-09-27	$47.48	$48.33	15.2%	4.3%	11.2%	9.2%	15.5%	0.7%	0.3%	23.1M	369.6M	-11.5M	0.36	2.92	141,696	51,201	1,184,172	838,182
2021-09-28	$46.87	$48.33	18.0%	5.3%	11.2%	22.6%	18.8%	2.1%	-0.3%	4.7M	622.2M	-11.3M	0.50	5.52	110,406	55,146	1,204,653	848,703
2021-09-29	$46.93	$48.33	17.5%	5.0%	11.2%	20.1%	18.3%	1.6%	-0.2%	16.4M	530.3M	-11.7M	0.36	4.01	77,154	27,564	1,276,806	869,280
2021-09-30	$46.58	$48.33	17.9%	5.1%	11.3%	22.0%	18.5%	2.2%	-0.1%	7.1M	708.5M	-11.3M	0.50	4.10	102,750	51,423	1,294,614	872,265