WMT Options History — October 2021

In October 2021, WMT traded between $45.29 and $50.05. ATM implied volatility averaged 18.2%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.5% (HV 20d: 13.6%). Max pain ranged from $46.67 to $48.33. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.34.

Notable Days

2021-10-19: Highest Volume — 486,786 contracts
2021-10-18: Largest IV spike — 14.9% change
2021-10-29: Highest IV Rank — 32.5%
2021-10-04: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.55	$45.29	$50.05	$45.75	$49.83
Max Pain	$47.16	$46.67	$48.33	$48.33	$48.00
ATM IV	18.2%	15.5%	20.2%	18.6%	20.2%
Expected Move	5.8%	5.4%	6.6%	5.5%	6.3%
HV 20d	13.6%	11.7%	15.2%	12.0%	12.7%
HV 60d	12.7%	11.9%	13.6%	11.9%	13.4%
IV Rank	23.2%	10.9%	32.5%	25.0%	32.5%
IV Percentile	33.5%	16.7%	47.6%	32.1%	47.6%
Term Structure	0.6%	-1.0%	4.5%	-0.0%	-0.6%
VWIV	20.7%	19.1%	22.6%	19.8%	22.3%
Skew 25d	2.1%	1.4%	3.1%	2.1%	1.4%
Skew 10d	4.9%	3.1%	8.9%	5.8%	3.1%
Call IV 25d	17.7%	13.9%	20.3%	18.4%	20.3%
Put IV 25d	19.8%	15.5%	22.3%	20.5%	21.7%
Bid-Ask Spread %	7.70	2.34	15.51	3.03	3.58
Gamma HHI	0.11	0.07	0.23	0.08	0.23
Net GEX	96.4M	-15.7M	221.0M	-15.7M	219.4M
Net DEX	-271.6M	-1.82B	1.10B	1.07B	-1.60B
Net VEX	-11.5M	-12.7M	-10.3M	-10.7M	-12.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.15	0.54	0.40	0.18
Total Volume	229,555.714	82,059	486,786	332,862	383,751
Total OI	2,251,429.857	2,032,641	2,380,677	2,194,491	2,371,017

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
2021-10-01	$45.75	$48.33	18.6%	5.5%	12.0%	25.0%	19.8%	2.1%	-0.0%	-15.7M	1.07B	-10.7M	0.40	3.03	237,753	95,109	1,315,290	879,201
2021-10-04	$45.29	$48.33	20.0%	6.6%	11.7%	31.4%	22.6%	3.1%	-0.0%	-11.3M	1.10B	-10.3M	0.30	14.06	166,902	49,881	1,275,603	837,348
2021-10-05	$45.64	$48.33	18.2%	6.3%	11.9%	23.4%	21.8%	2.8%	-0.3%	13.7M	952.4M	-10.5M	0.28	11.49	123,381	34,359	1,348,260	857,898
2021-10-06	$45.84	$46.67	18.0%	6.0%	12.1%	22.5%	21.8%	3.0%	0.2%	39.9M	697.5M	-10.9M	0.54	10.79	53,208	28,851	1,409,499	854,970
2021-10-07	$46.38	$46.67	16.7%	5.7%	13.2%	16.4%	20.8%	2.4%	-0.0%	55.4M	412.1M	-10.9M	0.37	7.53	168,501	62,517	1,412,256	859,278
2021-10-08	$46.59	$46.67	16.0%	5.6%	13.4%	13.1%	20.6%	2.2%	-0.1%	62.9M	248.5M	-11.1M	0.32	11.38	92,721	30,105	1,414,212	857,118
2021-10-11	$46.55	$46.67	16.0%	5.7%	13.3%	13.3%	20.3%	2.3%	3.8%	34.4M	359.8M	-11.1M	0.50	5.10	70,266	35,367	1,349,067	825,324
2021-10-12	$46.38	$46.67	16.4%	5.7%	13.2%	15.0%	20.7%	2.3%	3.7%	32.2M	430.2M	-10.8M	0.35	15.09	77,340	26,973	1,367,466	834,159
2021-10-13	$46.13	$46.67	16.0%	5.6%	13.2%	13.3%	20.0%	1.8%	3.6%	16.9M	553.8M	-10.6M	0.15	2.95	148,851	23,076	1,382,355	848,610
2021-10-14	$46.55	$46.67	15.5%	5.5%	13.6%	10.9%	19.1%	1.8%	4.3%	32.9M	419.1M	-10.8M	0.30	3.04	156,573	46,260	1,396,797	896,868
2021-10-15	$46.79	$46.67	16.0%	5.4%	13.9%	13.3%	19.3%	1.7%	4.5%	121.6M	238.8M	-10.9M	0.48	6.70	92,316	44,295	1,420,107	903,321
2021-10-18	$47.32	$46.67	18.4%	5.6%	13.1%	24.4%	19.9%	1.8%	-0.7%	67.8M	-134.0M	-11.3M	0.21	12.80	269,925	55,788	1,228,197	804,444
2021-10-19	$48.19	$46.67	18.7%	5.5%	14.5%	25.5%	19.4%	1.7%	-0.8%	86.8M	-597.7M	-11.6M	0.22	5.24	400,020	86,766	1,241,118	815,601
2021-10-20	$48.71	$46.67	19.6%	5.6%	14.8%	29.7%	19.9%	1.8%	-0.9%	177.1M	-1.21B	-12.4M	0.25	2.34	287,838	71,700	1,411,743	864,798
2021-10-21	$48.91	$46.67	19.3%	5.6%	14.8%	28.3%	20.1%	1.8%	-1.0%	221.0M	-1.41B	-12.5M	0.41	2.53	147,789	59,901	1,486,329	878,472
2021-10-22	$49.40	$47.00	19.4%	5.6%	15.1%	28.8%	20.5%	1.7%	-0.9%	200.0M	-1.82B	-12.7M	0.35	3.86	266,910	92,514	1,493,421	887,256
2021-10-25	$50.05	$47.33	19.7%	5.9%	15.2%	30.4%	21.3%	2.0%	-0.4%	166.2M	-1.70B	-12.4M	0.29	7.36	233,439	68,190	1,387,629	871,659
2021-10-26	$49.68	$47.33	19.5%	5.9%	14.6%	29.2%	21.1%	2.2%	-0.1%	174.6M	-1.41B	-12.4M	0.53	7.77	128,910	68,088	1,431,144	880,233
2021-10-27	$49.22	$47.67	19.7%	6.0%	15.2%	30.2%	22.0%	1.6%	-0.4%	157.1M	-1.10B	-12.3M	0.40	9.62	111,222	44,514	1,435,977	898,449
2021-10-28	$49.36	$48.00	19.6%	6.0%	14.8%	29.8%	21.4%	1.8%	-0.2%	171.5M	-1.21B	-12.2M	0.38	15.51	129,252	49,548	1,445,409	902,124
2021-10-29	$49.83	$48.00	20.2%	6.3%	12.7%	32.5%	22.3%	1.4%	-0.6%	219.4M	-1.60B	-12.3M	0.18	3.58	325,785	57,966	1,459,803	911,214