WMT Options History — September 2024

In September 2024, WMT traded between $76.57 and $81.40. ATM implied volatility averaged 16.6%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 2.3% (HV 20d: 18.9%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2024-09-17: Highest Volume — 195,186 contracts
  • 2024-09-17: Largest IV spike — 7.3% change
  • 2024-09-30: Highest IV Rank — 30.1%
  • 2024-09-30: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.04$76.57$81.40$76.94$80.81
Max Pain$73.33$65.00$75.00$66.67$75.00
ATM IV16.6%15.6%18.3%16.2%18.3%
Expected Move4.8%4.4%5.3%4.7%5.3%
HV 20d18.9%10.2%25.7%25.7%17.7%
HV 60d20.3%19.8%20.9%20.5%20.2%
IV Rank23.1%17.2%30.1%23.6%30.1%
IV Percentile59.4%52.4%63.9%59.1%63.9%
Term Structure0.2%-1.2%1.7%0.4%1.7%
VWIV17.4%16.3%19.3%17.3%19.3%
Skew 25d1.6%0.8%2.1%1.4%2.0%
Skew 10d3.9%-0.2%5.5%3.4%5.5%
Call IV 25d16.4%15.4%17.9%16.0%17.9%
Put IV 25d17.9%16.8%19.9%17.4%19.9%
Bid-Ask Spread %10.462.3243.4124.214.66
Gamma HHI0.120.090.190.100.11
Net GEX89.2M46.2M133.4M84.2M133.4M
Net DEX-3.25B-4.01B-2.71B-3.15B-3.14B
Net VEX-9.4M-11.0M-8.3M-8.6M-10.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.362.500.980.87
Total Volume121,577.6571,071195,18687,348106,808
Total OI1,326,732.31,221,0711,496,7971,221,0711,422,900

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$76.94$66.6716.2%4.7%25.7%23.6%17.3%1.4%0.4%84.2M-3.15B-8.6M0.9824.2144,01943,329685,702535,369
2024-09-04$77.31$65.0016.0%4.6%25.4%20.8%16.6%1.5%-1.0%86.3M-3.26B-8.3M1.3617.4830,29741,279693,930545,996
2024-09-05$76.98$72.5016.0%4.6%24.3%20.7%16.8%1.5%0.3%81.1M-3.08B-9.0M1.043.3534,79636,275697,592557,357
2024-09-06$76.57$72.5016.0%4.6%24.7%21.0%17.1%2.1%0.5%82.1M-3.02B-8.6M1.559.7228,57644,424700,581560,907
2024-09-09$77.09$72.5016.2%4.6%24.7%22.0%17.1%1.7%-0.1%87.0M-3.10B-8.5M1.6616.9629,50549,111681,030540,503
2024-09-10$78.72$72.5016.3%4.9%25.1%22.1%17.1%1.3%0.8%91.7M-3.50B-8.5M1.472.5643,75264,149684,951563,598
2024-09-11$78.75$72.5016.0%4.8%24.3%20.9%16.3%1.5%0.5%82.5M-3.51B-8.4M0.5410.2986,82946,622691,039588,482
2024-09-12$79.81$72.5015.6%4.5%24.4%19.1%17.0%1.5%0.0%91.7M-3.82B-8.4M0.823.9283,79468,521702,363592,822
2024-09-13$80.48$75.0016.1%4.6%10.3%21.5%17.0%1.2%0.0%95.2M-4.01B-8.9M1.132.8264,25672,569733,928622,217
2024-09-16$80.50$75.0016.8%4.8%10.2%24.6%18.4%1.2%0.5%88.8M-3.85B-8.9M1.352.3251,04469,091728,469603,641
2024-09-17$78.65$75.0018.0%5.2%14.2%29.7%18.2%1.9%-1.2%63.1M-3.20B-9.6M2.5010.3655,706139,480744,749641,718
2024-09-18$78.98$75.0016.9%4.8%14.0%23.0%17.4%0.8%0.2%63.5M-3.30B-9.8M0.8643.4170,70160,624761,288661,228
2024-09-19$78.06$75.0016.7%4.8%14.7%22.4%17.2%1.2%0.3%46.2M-2.94B-9.7M0.7611.14109,05282,740778,575670,003
2024-09-20$79.16$75.0015.7%4.4%15.3%17.2%16.6%1.4%0.7%93.9M-3.46B-9.8M0.5811.1465,44138,133818,595678,202
2024-09-23$80.19$75.0016.5%4.7%15.7%21.5%16.6%1.6%-0.2%101.1M-2.91B-10.2M0.977.2361,31659,439686,250552,624
2024-09-24$80.66$75.0016.5%4.5%15.7%21.2%17.0%1.7%-0.1%107.7M-3.04B-10.3M0.7810.8847,44636,950700,146571,607
2024-09-25$81.40$75.0017.2%4.8%15.9%24.7%17.5%1.6%0.3%123.6M-3.30B-10.2M0.367.67131,00147,664710,485579,754
2024-09-26$79.91$75.0017.9%5.1%17.6%28.0%18.1%2.1%-0.0%81.3M-2.76B-10.8M0.654.4599,78665,237803,269600,395
2024-09-27$79.85$75.0017.8%5.0%17.7%27.6%18.4%2.1%0.3%100.0M-2.71B-11.0M0.474.5782,57639,215836,450605,931
2024-09-30$80.81$75.0018.3%5.3%17.7%30.1%19.3%2.0%1.7%133.4M-3.14B-10.9M0.874.6657,23649,572845,443577,457