WMT Options History — November 2022

In November 2022, WMT traded between $46.55 and $51.21. ATM implied volatility averaged 23.3%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.5% (HV 20d: 22.8%). Max pain ranged from $45.00 to $48.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2022-11-14: Highest Volume — 1,301,862 contracts
  • 2022-11-15: Largest IV drop — 33.9% change
  • 2022-11-14: Highest IV Rank — 80.5%
  • 2022-11-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.83$46.55$51.21$47.28$50.81
Max Pain$46.10$45.00$48.33$45.00$48.33
ATM IV23.3%17.4%30.9%27.2%17.8%
Expected Move6.7%4.9%9.0%9.0%5.2%
HV 20d22.8%14.9%27.9%20.3%26.9%
HV 60d22.9%20.7%24.4%22.7%23.2%
IV Rank40.8%10.5%80.5%61.1%12.2%
IV Percentile48.8%7.1%98.8%81.3%9.1%
Term Structure-0.3%-1.7%0.5%-0.5%0.4%
VWIV24.3%17.9%31.8%31.3%19.1%
Skew 25d4.1%3.0%5.2%4.5%3.0%
Skew 10d8.0%5.4%11.4%8.4%5.4%
Call IV 25d21.7%16.2%28.2%24.9%16.8%
Put IV 25d25.8%19.8%33.3%29.3%19.9%
Bid-Ask Spread %2.091.622.631.992.26
Gamma HHI0.180.090.680.110.22
Net GEX92.6M25.0M434.3M59.4M69.0M
Net DEX-1.55B-2.53B-639.0M-1.14B-1.79B
Net VEX-9.3M-9.9M-8.8M-9.5M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.472.121.011.06
Total Volume304,523.42981,9061,301,862109,377203,628
Total OI1,964,132.5711,723,4582,558,0221,723,4581,997,301

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$47.28$45.0027.2%9.0%20.3%61.1%31.3%4.5%-0.5%59.4M-1.14B-9.5M1.011.9954,53454,843915,561807,897
2022-11-02$47.04$45.0026.8%9.0%20.2%59.4%31.8%4.1%-0.3%55.9M-1.01B-9.5M1.252.6363,75379,956932,676827,826
2022-11-03$46.98$45.0027.4%7.7%19.8%62.4%28.4%4.4%-0.4%44.8M-934.7M-9.7M1.342.0754,15072,507939,039856,539
2022-11-04$46.97$45.0027.5%7.7%16.5%62.6%27.4%4.0%-0.7%47.5M-943.8M-9.6M1.132.1975,42085,395952,719875,559
2022-11-07$47.49$45.0027.6%7.8%16.6%63.3%27.3%4.6%0.0%59.4M-1.16B-9.3M1.211.8844,24153,457911,580813,201
2022-11-08$47.68$45.0027.7%7.5%14.9%64.0%27.2%4.7%-1.5%61.6M-1.23B-9.4M0.992.1468,51467,890924,069837,378
2022-11-09$46.56$45.0029.2%8.1%17.0%71.8%30.4%5.2%-0.8%30.0M-658.0M-9.5M1.602.1247,90776,731942,105854,481
2022-11-10$47.43$45.0027.7%7.9%17.8%63.8%27.5%4.7%-0.2%57.9M-1.10B-9.4M1.002.0968,37968,553956,127881,913
2022-11-11$47.70$45.0027.3%7.5%16.6%61.9%27.3%4.8%-1.7%80.9M-1.25B-9.2M0.962.13129,402124,641965,841895,413
2022-11-14$46.55$45.0030.9%8.7%19.4%80.5%30.9%5.1%-1.7%25.0M-639.0M-9.2M2.122.43417,783884,079935,337866,931
2022-11-15$49.44$45.0020.4%5.8%27.9%26.1%22.2%3.9%0.4%135.7M-2.26B-8.8M0.822.46595,062490,7821,083,3211,205,718
2022-11-16$49.50$46.6720.6%5.9%27.8%27.2%22.4%4.0%0.5%117.2M-2.15B-8.9M0.831.79239,010198,2161,119,6571,307,526
2022-11-17$49.35$46.6720.4%5.8%27.9%26.1%22.5%3.8%0.5%105.5M-1.98B-9.2M0.741.62208,149154,2121,136,7121,342,809
2022-11-18$49.95$46.6719.5%5.6%27.4%21.1%20.1%3.5%-0.0%434.3M-2.53B-9.1M0.472.02273,759127,5391,184,7481,373,274
2022-11-21$50.34$46.6719.6%5.6%26.8%21.7%19.8%3.5%-0.1%78.6M-1.82B-9.3M0.641.85212,043136,623934,743919,752
2022-11-22$50.56$46.6717.8%5.1%26.8%12.5%18.2%3.4%0.1%79.6M-1.94B-8.8M0.861.97105,42390,651958,548962,049
2022-11-23$50.86$46.6717.4%4.9%26.9%10.5%17.9%3.6%0.0%113.9M-2.09B-8.9M0.642.30198,504126,483981,765991,122
2022-11-25$50.77$48.0017.9%5.1%26.9%12.8%18.9%3.8%0.1%132.5M-1.96B-9.7M0.921.8442,73239,1741,028,4721,029,297
2022-11-28$51.21$48.3319.1%5.6%26.9%19.1%19.9%3.7%0.2%82.9M-2.02B-9.3M1.021.9886,25688,368958,200912,969
2022-11-29$50.92$48.3318.7%5.5%27.1%16.9%20.0%3.2%0.3%74.0M-1.87B-9.6M1.432.0876,629109,614981,105945,504
2022-11-30$50.81$48.3317.8%5.2%26.9%12.2%19.1%3.0%0.4%69.0M-1.79B-9.9M1.062.2698,631104,9971,004,247993,054