WMT Earnings Preview: Options Price a ±5.0% Move
· The NYC Memo · WMT reports 2026-08-20
Walmart Inc. reports August 20, 2026. The August 21, 2026 straddle implies ±5.03% against a 4.94% average reaction, with dealers short gamma and max pain at $117.
Live updates
Aug 20 — ATM implied vol 78.5% to 186.8%; net dealer gamma $-17mn to $-81mn. The straddle now prices ±5.03% with WMT at $114.30 and dealers short gamma.
Aug 19 — WMT's implied move for August 20, 2026 earnings rose from 4.88% to 5.14%, with ATM implied volatility increasing from 60.7% to 78.5%, indicating a significantly larger expected price swing.
Aug 18 — Ahead of August 20, 2026 WMT earnings, ATM implied volatility rose from 55.6% to 60.7%, and net dealer gamma improved from negative $16 million to negative $1 million, now implying a 4.88% move.
Aug 17 — ATM implied vol 48.2% to 55.6%; net dealer gamma $-8mn to $-16mn. The straddle now prices ±4.95% with WMT at $115.27 and dealers short gamma.
Walmart Inc. reports Q2 2027 results on August 20, 2026, before open. The August 21, 2026 straddle is priced at $5.75, an implied move of ±5.03% against an average realised reaction of 4.94% over the last 6 prints. The stock trades at $114.30, -15.4% from its 52-week high, with dealers short gamma and max pain at $117.
What the market will be watching
| Line | Street expectation |
|---|---|
| US comparable sales | 4.5% |
US comparable sales. Management guidance for Q2 CY2026 year-on-year sales increase.
Those are the lines the desk marks against. A beat that clears them without a guidance cut is what the short gamma dealer book is set up for, and a miss on any single one is usually enough to send WMT to the edge of the $108.55 to $120.05 band.
What the options market is pricing
| Measure | Level |
|---|---|
| August 20, 2026, Before Open | |
| Expiry used | August 21, 2026 (1 days out) |
| Spot | $114.30 |
| ATM straddle | $5.75 |
| Implied move | ±5.03% ($108.55 to $120.05) |
| ATM implied vol | 186.8% |
| Put/call open interest | 1.57 |
| Max pain | $117 |
| Net dealer gamma | -$81mn per 1% move, SHORT GAMMA |
| Heaviest call strike above spot | $120 (16,645 contracts) |
| Heaviest put strike below spot | $105 (38,759 contracts) |
| Street EPS estimate | $0.75 |
| Street revenue estimate | $188.79bn |
Dealers sit short gamma into the print, so their hedging chases direction. A surprise in either tail gets amplified rather than absorbed.
How the stock has reacted before
| Report | Next-day move |
|---|---|
| Q1 2026, May 21 | -8.09% |
| Q4 2025, Feb 19 | -2.87% |
| Q3 2025, Nov 20 | +4.68% |
| Q2 2025, May 15 | +1.46% |
| Q1 2025, Feb 20 | -8.87% |
| Q4 2024, Nov 19 | +3.69% |
Across the last 6 prints the average absolute reaction is 4.94%, with 3 higher and 3 lower. The best was +4.68% and the worst -8.87%. Options are asking ±5.03%, which is 0.09 points richer than the realised average, the premium seller's case.
Where the stock is trading
| Measure | Level |
|---|---|
| Spot | $114.30 |
| 52-week range | $95.42 to $135.16 |
| Position in that range | 48% |
| From the 52-week high | -15.4% |
| From the 52-week low | +19.8% |
| Past week | -1.5% |
| Past month | +3.5% |
| Past three months | -14.8% |
| 50-day average | $114.24 |
| 200-day average | $118.50 |
Unusual open interest
| Contract | Open interest | Signal |
|---|---|---|
| $102 put, Aug 21 | 2,068 contracts | oi zscore, 36.2 sigma |
| $106 put, Aug 21 | 3,407 contracts | oi zscore, 26.8 sigma |
| $125 call, Sep 25 | 1,433 contracts | oi zscore, 24.0 sigma |
| $119 call, Aug 21 | 3,929 contracts | oi zscore, 21.3 sigma |
Those are the strikes where positioning built fastest relative to their own history. They mark the levels the tape is most likely to defend or chase after the print.
The trade framing
Buying the straddle needs WMT to clear $120.05 or break $108.55 to pay. Selling it collects $5.75 and keeps most of it if the reaction stays inside that band and vol drains, which is what the 187% ATM implied vol is set up to do the morning after. Defined-risk versions, an iron condor outside $108.55 and $120.05 or a debit spread pointed at $120, cap the crush risk that naked premium carries.
Read the mechanics behind the crush in our earnings volatility guide, and pull the live memo for WMT before the print.
Data as of August 20, 2026 from the live option chain, exchange price history and SEC-dated earnings reactions. This is research, not investment advice.
Related: WMT options memo