WMT Options History — November 2024

In November 2024, WMT traded between $82.23 and $92.53. ATM implied volatility averaged 25.0%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 10.2% (HV 20d: 14.8%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2024-11-19: Highest Volume — 405,516 contracts
  • 2024-11-19: Largest IV drop — 36.5% change
  • 2024-11-04: Highest IV Rank — 93.4%
  • 2024-11-18: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.30$82.23$92.53$82.23$92.53
Max Pain$75.92$75.00$80.00$80.00$76.67
ATM IV25.0%17.8%31.2%30.5%17.8%
Expected Move6.8%5.2%8.7%7.0%5.2%
HV 20d14.8%12.2%18.8%14.5%18.4%
HV 60d16.6%14.2%19.6%19.6%17.2%
IV Rank63.1%26.6%93.4%89.7%26.6%
IV Percentile81.6%55.2%99.2%99.2%55.2%
Term Structure-1.1%-2.2%0.1%-1.7%0.1%
VWIV24.3%18.6%30.5%24.3%18.6%
Skew 25d0.7%-0.3%2.2%2.2%-0.3%
Skew 10d2.3%-0.3%15.4%4.1%-0.1%
Call IV 25d24.9%18.2%30.0%30.0%18.2%
Put IV 25d25.6%17.9%32.2%32.2%17.9%
Bid-Ask Spread %14.701.6641.2121.731.79
Gamma HHI0.170.100.340.100.17
Net GEX152.0M76.0M213.9M76.0M163.8M
Net DEX-3.96B-5.23B-2.98B-2.98B-5.16B
Net VEX-10.3M-11.0M-9.7M-10.7M-11.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.231.070.960.52
Total Volume151,529.6552,153405,51661,96894,306
Total OI1,513,338.21,394,2211,613,3181,474,1051,601,885

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-11-01$82.23$80.0030.5%7.0%14.5%89.7%24.3%2.2%-1.7%76.0M-2.98B-10.7M0.9621.7331,63030,338850,556623,549
2024-11-04$82.50$75.0031.2%8.3%12.2%93.4%29.3%1.9%-1.1%96.4M-3.04B-10.4M0.9925.1746,80646,402819,865605,169
2024-11-05$83.63$75.0030.6%8.0%12.8%90.6%28.8%1.7%-1.3%119.6M-3.40B-10.4M1.0734.2833,64336,030829,961621,823
2024-11-06$83.33$75.0027.9%7.4%12.7%77.0%26.7%1.6%-1.1%132.1M-3.26B-10.2M0.3835.52135,95551,544832,428633,592
2024-11-07$84.23$75.0028.0%7.5%12.4%77.5%26.9%1.1%-1.4%158.4M-3.66B-10.4M0.5240.9538,17219,894827,135649,839
2024-11-08$84.80$75.0027.5%7.4%12.4%74.9%26.1%0.9%-2.0%175.0M-3.90B-10.0M0.6819.1558,49339,963830,758655,589
2024-11-11$84.31$75.0028.2%7.6%12.8%78.5%27.1%0.7%-1.5%159.2M-3.59B-10.1M0.6318.9032,04020,113821,920653,703
2024-11-12$85.16$75.0029.6%8.0%12.6%85.7%28.2%-0.3%-1.5%170.2M-3.96B-10.1M0.3741.2165,04223,848830,266660,788
2024-11-13$85.76$75.0029.3%7.9%12.6%84.1%27.9%0.1%-2.0%182.1M-4.16B-10.0M0.302.5571,54421,132846,285667,598
2024-11-14$84.72$75.0028.9%7.9%13.4%81.9%27.6%0.4%-1.6%213.9M-3.75B-10.0M0.232.29143,43932,507863,015676,653
2024-11-15$84.18$75.0029.4%8.1%13.7%84.6%28.4%0.5%-1.9%127.1M-3.50B-10.5M0.6013.0553,28032,110893,540685,196
2024-11-18$83.97$75.0031.0%8.7%13.6%92.2%30.5%0.5%-2.2%87.8M-3.16B-10.4M0.4121.51265,179109,802812,253581,968
2024-11-19$86.66$76.6719.7%5.6%16.6%36.8%20.3%0.7%-0.8%172.7M-4.08B-9.7M0.702.83238,879166,637892,178646,973
2024-11-20$86.91$76.6718.7%5.4%16.1%32.2%19.0%0.7%-0.4%158.0M-4.04B-9.7M0.472.3893,30943,957896,829664,546
2024-11-21$88.19$76.6718.5%5.3%16.6%30.9%19.0%0.5%-0.5%182.4M-4.51B-10.3M0.431.9899,25242,307924,619675,069
2024-11-22$90.28$76.6718.9%5.5%17.8%32.8%19.9%0.6%-0.9%210.9M-5.23B-9.9M0.632.95174,406109,265923,709689,609
2024-11-25$89.41$76.6718.7%5.4%18.5%32.0%19.5%0.0%-0.0%118.7M-4.12B-10.2M0.262.10174,17244,530837,153644,885
2024-11-26$91.53$76.6718.4%5.4%18.8%30.6%19.3%-0.0%0.1%169.3M-4.91B-10.1M0.481.93128,55461,237876,183651,663
2024-11-27$91.66$76.6718.2%5.4%18.4%29.6%19.3%-0.3%-0.0%167.0M-4.84B-10.8M0.531.6679,22641,650895,046672,968
2024-11-29$92.53$76.6717.8%5.2%18.4%26.6%18.6%-0.3%0.1%163.8M-5.16B-11.0M0.521.7961,87932,427912,562689,323