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Actually, if you look at the surveillance video he seems to be wearing a holster.
Open carry is legal in AZ without a permit.
Kind of funny, if you read any of the firearms related forums, you will find that a trip to Wal Mart is considered by many to be a great first place to go when someone first gets their CCW permit. Big crowded, relatively gun friendly environment, good way to build confidence that your concealed weapon really is concealed.
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