WMT Options History — September 2022

In September 2022, WMT traded between $43.27 and $46.00. ATM implied volatility averaged 24.0%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.1% (HV 20d: 22.9%). Max pain ranged from $43.33 to $45.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2022-09-23: Highest Volume — 336,366 contracts
  • 2022-09-13: Largest IV spike — 10.7% change
  • 2022-09-27: Highest IV Rank — 69.1%
  • 2022-09-27: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.59$43.27$46.00$44.73$43.48
Max Pain$44.84$43.33$45.00$43.33$45.00
ATM IV24.0%20.6%28.6%22.5%27.4%
Expected Move6.9%5.9%8.3%6.4%7.9%
HV 20d22.9%19.3%27.6%25.3%21.9%
HV 60d28.5%27.7%29.0%28.6%29.0%
IV Rank47.9%30.9%69.1%41.8%62.4%
IV Percentile65.5%40.9%97.2%54.0%89.3%
Term Structure-0.1%-0.7%0.4%0.1%0.3%
VWIV25.0%21.2%29.4%22.6%27.7%
Skew 25d4.6%3.5%5.8%3.5%5.4%
Skew 10d9.6%7.4%13.3%7.7%11.7%
Call IV 25d22.1%18.9%26.0%21.1%24.8%
Put IV 25d26.7%22.8%31.7%24.6%30.3%
Bid-Ask Spread %2.331.864.092.192.18
Gamma HHI0.090.060.330.070.09
Net GEX-4.9M-124.1M37.0M33.8M-29.4M
Net DEX-175.4M-871.5M542.4M-395.5M302.1M
Net VEX-9.8M-10.3M-9.3M-10.1M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.502.121.031.33
Total Volume185,659.714109,236336,366204,999162,714
Total OI1,826,464.1431,491,3452,056,4791,957,5811,807,149

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$44.73$43.3322.5%6.4%25.3%41.8%22.6%3.5%0.1%33.8M-395.5M-10.1M1.032.19101,190103,8091,044,705912,876
2022-09-02$44.19$43.3322.4%6.2%25.8%41.3%21.2%3.6%0.4%-8.7M-44.9M-9.8M0.662.35123,21080,7781,056,438926,187
2022-09-06$44.17$45.0023.5%6.6%25.7%46.7%24.3%3.9%0.0%2.0M-51.3M-9.7M1.261.9670,62688,704999,294878,181
2022-09-07$45.23$45.0022.3%6.5%26.8%40.9%28.3%3.9%0.0%37.0M-620.5M-9.9M1.171.9487,537102,2611,012,365912,813
2022-09-08$45.33$45.0021.8%6.4%26.8%38.8%22.4%4.2%0.0%34.0M-672.1M-9.9M1.522.0484,462128,3191,019,649951,732
2022-09-09$45.67$45.0020.6%6.2%26.8%30.9%22.2%3.9%0.3%24.2M-871.5M-9.8M0.831.89111,39992,5411,033,3111,023,168
2022-09-12$46.00$45.0020.9%5.9%26.2%32.6%21.9%3.9%-0.5%30.7M-835.1M-9.6M0.502.1172,74736,489970,719960,630
2022-09-13$44.99$45.0023.2%6.6%27.6%43.7%24.1%4.7%-0.2%-6.1M-325.3M-9.6M1.541.9073,698113,574984,654970,647
2022-09-14$44.85$45.0022.7%6.5%20.6%41.1%23.2%4.5%-0.2%-21.3M-293.9M-9.5M0.873.43108,07594,071990,2191,009,641
2022-09-15$44.47$45.0023.1%6.4%20.7%43.3%22.8%4.3%-0.7%-40.9M130.9M-9.3M0.714.0991,04764,794975,357986,967
2022-09-16$44.60$45.0023.0%6.5%20.8%42.8%23.3%4.5%-0.3%-12.5M50.2M-9.4M1.511.8688,563133,407991,953977,454
2022-09-19$44.76$45.0022.6%6.5%20.4%40.9%23.1%4.8%-0.1%-12.9M-57.0M-9.3M0.562.3987,76549,230737,268754,077
2022-09-20$44.56$45.0023.2%6.6%19.3%43.6%23.8%4.8%0.0%-11.1M-32.0M-9.3M0.512.85100,18251,258773,856771,567
2022-09-21$45.05$45.0023.8%6.8%19.7%46.6%24.1%4.7%-0.0%8.5M-267.2M-9.7M0.892.50124,302110,202812,304775,941
2022-09-22$44.74$45.0024.3%7.0%19.7%49.0%26.5%4.4%-0.0%-7.2M-146.3M-9.8M1.312.25103,395135,855844,290815,757
2022-09-23$43.27$45.0026.8%7.7%22.8%61.2%27.8%4.9%-0.1%-124.1M542.4M-9.8M1.532.68133,182203,184891,123866,685
2022-09-26$43.95$45.0027.7%8.0%20.8%66.0%29.4%5.4%-0.4%-6.2M37.4M-10.2M1.072.1471,28976,572873,561807,411
2022-09-27$43.66$45.0028.6%8.3%20.4%69.1%29.0%5.7%-0.1%-7.7M146.1M-10.2M1.112.1670,83378,534895,644819,984
2022-09-28$44.50$45.0026.5%7.6%21.5%57.5%27.5%5.2%0.1%11.4M-211.0M-10.3M1.101.8768,04374,550909,306839,457
2022-09-29$44.15$45.0028.0%8.1%21.7%65.3%29.0%5.8%-0.2%4.1M-68.4M-10.2M2.122.0746,99599,468922,830848,577
2022-09-30$43.48$45.0027.4%7.9%21.9%62.4%27.7%5.4%0.3%-29.4M302.1M-9.9M1.332.1869,83792,877928,347878,802