WMT Options History — December 2021

In December 2021, WMT traded between $45.35 and $48.45. ATM implied volatility averaged 19.4%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.2% (HV 20d: 19.2%). Max pain ranged from $46.67 to $50.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.31.

Notable Days

2021-12-13: Highest Volume — 617,220 contracts
2021-12-06: Largest IV drop — 14.7% change
2021-12-03: Highest IV Rank — 55.1%
2021-12-03: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.92	$45.35	$48.45	$46.02	$48.32
Max Pain	$47.06	$46.67	$50.00	$50.00	$46.67
ATM IV	19.4%	16.4%	24.5%	22.4%	16.8%
Expected Move	5.6%	4.4%	7.5%	6.9%	4.4%
HV 20d	19.2%	16.1%	21.9%	16.1%	17.0%
HV 60d	16.0%	14.6%	16.9%	14.6%	16.4%
IV Rank	30.1%	15.5%	55.1%	44.6%	17.4%
IV Percentile	47.2%	26.6%	88.9%	76.2%	29.4%
Term Structure	-0.0%	-0.8%	0.6%	-0.3%	0.1%
VWIV	19.7%	15.8%	25.7%	24.6%	15.8%
Skew 25d	1.9%	0.6%	4.6%	2.6%	1.3%
Skew 10d	4.3%	1.1%	10.5%	4.2%	2.5%
Call IV 25d	19.0%	15.7%	23.4%	21.9%	15.7%
Put IV 25d	20.9%	17.0%	28.0%	24.5%	17.0%
Bid-Ask Spread %	5.73	1.93	19.96	19.96	3.63
Gamma HHI	0.13	0.07	0.45	0.07	0.45
Net GEX	94.4M	-16.2M	295.6M	3.5M	295.6M
Net DEX	-163.6M	-1.44B	1.13B	809.8M	-1.44B
Net VEX	-10.4M	-11.2M	-9.8M	-10.1M	-10.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.17	0.65	0.49	0.23
Total Volume	311,446.773	169,440	617,220	272,727	267,309
Total OI	2,396,985	2,034,534	2,690,235	2,449,896	2,199,858

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
2021-12-01	$46.02	$50.00	22.4%	6.9%	16.1%	44.6%	24.6%	2.6%	-0.3%	3.5M	809.8M	-10.1M	0.49	19.96	182,784	89,943	1,535,277	914,619
2021-12-02	$45.35	$50.00	22.6%	7.0%	16.3%	45.6%	24.3%	3.4%	-0.6%	-16.2M	1.13B	-9.8M	0.38	9.69	175,293	65,925	1,582,365	942,123
2021-12-03	$45.80	$48.67	24.5%	7.5%	16.8%	55.1%	25.7%	4.6%	-0.2%	28.5M	816.6M	-10.7M	0.31	14.50	224,538	69,471	1,648,704	955,092
2021-12-06	$46.29	$46.67	20.9%	6.1%	17.6%	37.6%	21.6%	3.1%	0.6%	23.8M	498.8M	-10.4M	0.26	8.79	212,466	54,573	1,517,469	914,820
2021-12-07	$46.30	$46.67	19.4%	5.5%	17.6%	30.0%	19.9%	1.4%	-0.1%	31.6M	461.4M	-10.0M	0.24	15.84	232,197	55,638	1,550,343	930,930
2021-12-08	$45.77	$46.67	20.1%	5.9%	17.8%	33.8%	20.3%	0.6%	-0.1%	17.8M	693.8M	-10.1M	0.17	1.93	465,726	77,505	1,621,002	949,185
2021-12-09	$46.09	$46.67	20.3%	5.7%	18.1%	34.7%	20.2%	1.0%	0.5%	71.8M	451.5M	-10.9M	0.25	1.99	321,177	80,532	1,691,364	978,726
2021-12-10	$46.99	$46.67	18.4%	5.4%	19.8%	25.4%	18.7%	1.4%	0.5%	92.8M	-274.0M	-11.0M	0.25	3.10	394,062	97,194	1,699,203	991,032
2021-12-13	$47.87	$46.67	19.7%	5.5%	21.1%	31.6%	20.0%	1.7%	-0.4%	130.5M	-634.2M	-10.9M	0.17	3.70	528,237	88,983	1,599,675	941,430
2021-12-14	$48.33	$46.67	19.8%	5.6%	21.3%	32.0%	19.6%	2.3%	-0.3%	164.4M	-970.5M	-11.1M	0.27	2.92	377,844	101,070	1,638,090	962,469
2021-12-15	$48.45	$46.67	19.5%	5.4%	20.0%	30.5%	19.1%	1.6%	-0.4%	168.3M	-1.04B	-11.2M	0.29	2.45	303,525	88,290	1,632,873	991,380
2021-12-16	$47.77	$46.67	20.1%	5.6%	20.4%	33.6%	19.9%	1.4%	-0.8%	118.2M	-482.1M	-10.8M	0.40	5.92	207,744	82,557	1,644,744	997,281
2021-12-17	$46.67	$46.67	20.3%	5.7%	21.9%	34.4%	20.1%	1.7%	-0.7%	21.1M	362.6M	-10.3M	0.65	4.60	182,436	118,845	1,644,393	1,003,827
2021-12-20	$46.38	$46.67	20.8%	5.9%	21.8%	37.2%	21.0%	2.1%	0.1%	38.1M	-66.5M	-10.4M	0.37	4.25	125,481	46,743	1,263,552	770,982
2021-12-21	$46.53	$46.67	18.5%	5.3%	20.6%	25.7%	18.7%	1.8%	0.1%	51.9M	-134.9M	-10.1M	0.42	2.66	119,004	50,436	1,297,710	785,154
2021-12-22	$46.64	$46.67	17.7%	5.1%	20.5%	22.1%	17.7%	1.9%	0.1%	67.9M	-194.4M	-10.0M	0.30	2.34	161,220	47,994	1,323,417	798,030
2021-12-23	$46.68	$46.67	17.5%	5.0%	20.4%	20.9%	17.7%	1.3%	0.1%	226.0M	-295.2M	-10.3M	0.33	2.36	181,041	59,418	1,383,912	810,111
2021-12-27	$46.91	$46.67	17.3%	4.9%	20.5%	19.9%	17.8%	2.0%	0.3%	97.3M	-415.2M	-10.2M	0.30	2.37	143,541	42,426	1,314,297	788,007
2021-12-28	$47.63	$46.67	17.0%	4.9%	19.9%	18.8%	17.4%	1.7%	0.2%	130.3M	-919.8M	-10.4M	0.20	5.28	251,229	50,667	1,349,373	806,649
2021-12-29	$47.61	$46.67	16.4%	4.8%	19.0%	15.5%	16.9%	1.5%	0.4%	143.4M	-884.7M	-10.3M	0.31	4.81	150,582	46,071	1,352,472	821,043
2021-12-30	$47.84	$46.67	16.6%	4.7%	18.0%	16.5%	16.5%	1.5%	0.2%	169.7M	-1.07B	-10.3M	0.25	2.94	184,083	46,029	1,361,220	829,467
2021-12-31	$48.32	$46.67	16.8%	4.4%	17.0%	17.4%	15.8%	1.3%	0.1%	295.6M	-1.44B	-10.3M	0.23	3.63	216,741	50,568	1,366,122	833,736