WMT Options History — September 2023

In September 2023, WMT traded between $53.29 and $55.15. ATM implied volatility averaged 13.3%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.7% (HV 20d: 11.7%). Max pain ranged from $51.67 to $53.33. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.48.

Notable Days

  • 2023-09-07: Highest Volume — 204,885 contracts
  • 2023-09-21: Largest IV spike — 13.1% change
  • 2023-09-27: Highest IV Rank — 25.8%
  • 2023-09-26: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.32$53.29$55.15$53.86$53.29
Max Pain$53.25$51.67$53.33$51.67$53.33
ATM IV13.3%11.6%16.3%12.7%15.5%
Expected Move3.8%3.1%4.5%3.1%4.4%
HV 20d11.7%9.3%14.2%14.0%10.7%
HV 60d12.3%11.5%12.9%12.9%12.0%
IV Rank11.0%2.5%25.8%7.8%21.7%
IV Percentile10.7%0.8%24.6%6.3%22.2%
Term Structure0.1%-0.8%0.9%0.3%-0.2%
VWIV14.2%11.7%16.9%11.7%15.5%
Skew 25d3.0%2.5%3.9%2.7%3.8%
Skew 10d6.2%4.7%8.0%5.6%7.7%
Call IV 25d12.1%10.6%14.2%11.0%13.9%
Put IV 25d15.1%13.1%18.0%13.7%17.8%
Bid-Ask Spread %1.801.352.251.351.56
Gamma HHI0.250.140.590.220.26
Net GEX84.6M-46.9M244.1M90.9M-46.9M
Net DEX-1.39B-2.12B-587.1M-1.51B-587.1M
Net VEX-9.4M-10.1M-8.7M-8.9M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.933.191.330.93
Total Volume111,651.4564,311204,885115,794148,524
Total OI1,497,346.951,263,7711,677,2641,564,0291,470,147

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$53.86$51.6712.7%3.1%14.0%7.8%11.7%2.7%0.3%90.9M-1.51B-8.9M1.331.3549,66866,126811,695752,334
2023-09-05$53.49$53.3313.0%3.8%13.7%9.5%13.6%2.9%0.1%77.6M-1.23B-9.0M1.061.7334,32636,558794,490733,017
2023-09-06$53.88$53.3313.6%4.0%13.9%12.4%13.9%3.0%0.1%100.5M-1.44B-9.2M1.071.7057,48361,347801,606742,611
2023-09-07$54.39$53.3312.7%3.7%14.2%7.7%14.6%2.7%0.2%128.8M-1.78B-8.9M1.101.7397,617107,268819,054764,589
2023-09-08$54.60$53.3312.3%3.7%14.1%5.9%14.1%2.5%0.3%129.4M-1.96B-8.9M1.222.1145,42655,356844,203793,758
2023-09-11$54.73$53.3312.2%3.6%14.0%5.3%13.6%2.6%0.4%137.3M-1.92B-8.7M1.071.4339,63642,330815,493769,284
2023-09-12$54.91$53.3312.2%3.6%13.5%5.6%14.2%2.6%0.3%139.9M-2.02B-8.7M1.131.4650,23256,982819,606779,520
2023-09-13$54.83$53.3312.2%3.6%13.4%5.4%13.4%2.6%0.3%137.8M-1.95B-9.0M1.771.4946,29981,888825,114795,327
2023-09-14$55.15$53.3311.6%3.4%13.4%2.5%12.7%2.5%0.3%142.0M-2.12B-8.8M1.711.7744,33175,879828,366816,654
2023-09-15$54.94$53.3311.8%3.4%10.4%3.6%12.6%2.5%0.2%244.1M-1.86B-9.3M1.291.7357,30373,704832,485844,779
2023-09-18$54.52$53.3312.8%3.7%9.9%8.5%13.5%3.0%-0.8%47.5M-1.08B-9.3M1.691.8554,15091,485626,988636,783
2023-09-19$54.47$53.3312.9%3.7%9.8%8.7%13.6%3.0%-0.6%50.0M-1.06B-9.5M3.191.5629,39193,762658,257652,494
2023-09-20$54.63$53.3312.4%3.6%9.3%6.4%13.4%2.9%0.1%63.3M-1.21B-9.6M1.221.9954,18365,856679,332665,910
2023-09-21$54.02$53.3314.0%4.0%10.1%14.5%16.9%3.3%0.9%27.0M-859.2M-10.0M1.961.9348,79295,541708,825691,494
2023-09-22$54.24$53.3313.7%4.0%9.8%12.7%13.9%3.2%-0.8%27.3M-1.16B-9.9M1.372.2527,14737,164735,267704,184
2023-09-25$54.24$53.3313.9%4.2%9.8%14.0%14.8%3.4%0.2%62.1M-1.11B-9.9M1.581.9124,96039,354719,574685,236
2023-09-26$54.21$53.3314.9%4.5%9.8%18.6%15.9%3.9%0.0%59.3M-1.10B-9.9M2.141.9823,10649,533728,367694,896
2023-09-27$53.79$53.3316.3%4.4%9.7%25.8%16.6%3.8%-0.1%30.5M-847.4M-10.1M1.732.1836,25262,670733,203712,863
2023-09-28$54.16$53.3316.1%4.3%9.8%24.4%15.6%3.7%0.0%44.2M-1.07B-10.0M0.982.2235,98835,412740,649718,485
2023-09-29$53.29$53.3315.5%4.4%10.7%21.7%15.5%3.8%-0.2%-46.9M-587.1M-9.9M0.931.5676,97171,553747,279722,868