WMT Options History — November 2021

In November 2021, WMT traded between $46.75 and $50.36. ATM implied volatility averaged 20.3%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 7.5% (HV 20d: 12.9%). Max pain ranged from $48.00 to $51.67. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2021-11-16: Highest Volume — 1,116,006 contracts
  • 2021-11-16: Largest IV drop — 15.5% change
  • 2021-11-15: Highest IV Rank — 50.1%
  • 2021-11-03: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.86$46.75$50.36$49.96$46.75
Max Pain$50.43$48.00$51.67$48.00$50.00
ATM IV20.3%17.9%23.5%20.5%20.7%
Expected Move5.9%5.2%6.8%6.6%6.3%
HV 20d12.9%11.4%15.5%11.6%15.5%
HV 60d13.2%12.6%14.5%13.4%14.5%
IV Rank34.7%22.7%50.1%34.0%36.7%
IV Percentile53.0%32.1%84.1%52.0%58.7%
Term Structure-0.5%-2.6%0.1%0.1%-0.1%
VWIV21.5%19.1%23.8%23.5%22.8%
Skew 25d0.7%-1.8%2.4%2.3%1.4%
Skew 10d1.7%-4.1%7.6%6.0%2.2%
Call IV 25d20.8%18.8%23.5%20.4%20.8%
Put IV 25d21.4%18.2%24.0%22.7%22.1%
Bid-Ask Spread %12.132.0228.1510.3918.21
Gamma HHI0.130.070.200.150.08
Net GEX118.9M25.8M202.0M167.0M25.8M
Net DEX-786.8M-1.76B426.9M-1.43B426.9M
Net VEX-11.5M-12.4M-10.3M-12.4M-10.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.190.710.230.46
Total Volume306,299.286117,4381,116,006216,837240,270
Total OI2,455,967.2862,290,8332,978,5712,295,2012,403,144

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$49.96$48.0020.5%6.6%11.6%34.0%23.5%2.3%0.1%167.0M-1.43B-12.4M0.2310.39175,70141,1361,423,407871,794
2021-11-02$49.93$48.0020.3%6.6%11.7%34.7%23.3%1.7%-0.1%171.7M-1.44B-12.2M0.3313.23110,13636,2011,469,727881,727
2021-11-03$50.06$48.0020.4%6.8%11.7%34.8%23.7%1.8%-0.1%182.6M-1.52B-12.2M0.3012.92106,95031,7761,475,181886,482
2021-11-04$50.36$51.6720.9%5.7%11.4%37.3%20.4%2.4%-2.6%202.0M-1.76B-12.0M0.3623.22169,07760,5371,476,795890,700
2021-11-05$50.10$51.6720.3%5.8%11.9%34.7%21.1%1.2%-0.3%179.1M-1.52B-12.0M0.462.99126,42058,1101,470,087891,834
2021-11-08$49.77$51.6721.5%5.9%12.3%40.5%22.0%1.2%-0.8%137.5M-1.20B-11.5M0.472.39140,90766,0031,419,378872,859
2021-11-09$49.84$51.6721.8%6.0%12.1%41.8%21.0%1.4%-0.7%151.8M-1.30B-11.4M0.513.8792,54447,5111,455,525889,212
2021-11-10$49.39$51.6721.6%6.0%12.5%40.8%21.8%1.5%-0.9%114.6M-958.1M-11.3M0.674.3380,47553,7811,451,217902,745
2021-11-11$49.48$51.6721.9%6.0%12.3%42.1%21.7%1.3%-0.9%120.7M-997.2M-11.4M0.7128.1568,52948,9091,464,600908,856
2021-11-12$49.25$51.6722.5%6.2%12.6%45.1%22.2%0.9%-1.2%82.6M-872.6M-11.3M0.603.18138,67883,3491,477,962926,883
2021-11-15$48.89$51.6723.5%6.6%12.6%50.1%23.8%0.3%-1.1%89.1M-660.1M-11.0M0.622.02306,213190,6591,396,275894,558
2021-11-16$47.90$51.6719.9%5.7%13.3%32.4%20.9%-1.4%-0.7%44.0M-34.7M-10.3M0.372.50814,794301,2121,499,559979,686
2021-11-17$47.43$50.0018.0%5.2%13.1%23.4%19.7%-1.4%0.0%38.0M192.9M-11.1M0.2416.96381,85592,4721,767,9301,085,124
2021-11-18$47.75$50.0018.8%5.4%13.2%27.3%20.5%-1.4%-0.6%100.0M-183.0M-11.4M0.3023.84382,728114,8701,797,5191,088,532
2021-11-19$47.44$50.0018.6%5.4%12.7%26.5%21.1%-1.8%-0.3%67.5M70.4M-11.6M0.2811.81276,89176,3021,851,2161,127,355
2021-11-22$48.37$50.0017.9%5.2%13.8%22.7%19.1%-0.5%0.1%136.7M-735.0M-11.4M0.1910.69346,79766,6301,519,299894,195
2021-11-23$48.61$50.0018.9%5.4%13.9%27.7%19.4%0.1%-0.3%155.5M-888.3M-11.8M0.2110.43328,08369,4351,545,555905,604
2021-11-24$48.78$50.0018.6%5.3%13.6%26.3%19.8%0.6%-0.3%170.5M-971.0M-11.7M0.2415.09198,36947,8261,557,519918,858
2021-11-26$48.55$50.0020.9%6.1%13.6%37.7%22.0%1.2%-0.4%107.2M-741.8M-11.8M0.3918.16148,73457,7681,576,023927,663
2021-11-29$47.52$50.0019.8%5.9%14.9%32.3%21.7%0.9%-0.1%53.5M-1.4M-10.7M0.2920.42196,31457,3331,455,735876,993
2021-11-30$46.75$50.0020.7%6.3%15.5%36.7%22.8%1.4%-0.1%25.8M426.9M-10.5M0.4618.21164,22076,0501,507,965895,179