LOW Options History — January 2007

In January 2007, LOW traded between $31.70 and $33.71. ATM implied volatility averaged 20.6%. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.4% (HV 20d: 17.2%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2007-01-23: Highest Volume — 30,246 contracts
  • 2007-01-23: Largest IV drop — 22.3% change
  • 2007-01-19: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.86$31.70$33.71$32.04$33.71
Max Pain$31.00$30.00$32.50$30.00$32.50
ATM IV20.6%17.7%23.6%19.5%18.5%
Expected Move6.0%5.1%6.8%5.6%5.3%
HV 20d17.2%16.1%20.4%16.1%20.4%
Term Structure2.3%-0.3%5.1%2.0%4.4%
VWIV20.8%15.9%24.5%20.4%18.1%
Skew 25d2.0%-4.7%4.9%2.5%1.0%
Skew 10d4.8%-8.0%13.7%4.8%1.5%
Call IV 25d19.3%14.0%22.0%19.5%17.6%
Put IV 25d21.3%14.8%25.4%22.0%18.7%
Bid-Ask Spread %6.833.7511.695.688.72
Gamma HHI0.420.290.750.290.50
Net GEX10.7M4.0M37.9M9.7M5.2M
Net DEX-243.7M-391.3M-142.9M-254.0M-211.2M
Net VEX-1.4M-1.6M-1.2M-1.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.121.230.450.37
Total Volume10,571.62,03130,24611,8286,368
Total OI318,425.65177,185423,634393,126210,670

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$32.04$30.0019.5%5.6%0.0%0.0%20.4%2.5%2.0%9.7M-254.0M-1.3M0.455.68N/AN/A8,1833,645192,609200,517
2007-01-04$32.18$30.0019.7%5.7%0.0%0.0%20.1%1.8%2.5%10.7M-267.3M-1.3M0.647.97N/AN/A2,2401,423192,965200,589
2007-01-05$31.79$30.0021.4%6.4%0.0%0.0%22.6%3.1%1.4%8.7M-229.4M-1.3M0.806.55N/AN/A2,2831,815193,509200,629
2007-01-08$31.70$30.0022.0%6.5%0.0%0.0%24.5%3.5%1.0%8.6M-220.7M-1.3M0.5510.53N/AN/A4,3212,392193,717200,724
2007-01-09$31.87$30.0023.3%6.5%0.0%0.0%23.4%3.2%1.3%9.7M-238.1M-1.3M0.1211.69N/AN/A6,199739195,540201,582
2007-01-10$32.47$30.0018.5%6.5%0.0%0.0%23.0%3.4%1.2%15.3M-307.9M-1.2M0.336.70N/AN/A6,6492,180196,687201,357
2007-01-11$33.05$30.0021.9%6.3%0.0%0.0%22.8%3.2%1.1%15.5M-356.8M-1.2M0.286.91N/AN/A18,8525,270196,662201,522
2007-01-12$33.06$30.0022.4%6.4%0.0%0.0%22.2%3.2%1.7%14.9M-359.6M-1.3M0.768.40N/AN/A15,57111,822201,912201,770
2007-01-16$33.40$30.0022.5%6.5%0.0%0.0%22.6%2.1%1.3%16.1M-391.3M-1.4M0.435.18N/AN/A11,4084,888211,241212,393
2007-01-17$33.20$30.0022.8%6.5%0.0%0.0%22.1%1.8%0.4%15.5M-257.5M-1.4M0.304.86N/AN/A8,0202,446175,285218,979
2007-01-18$33.59$30.0023.6%6.8%0.0%0.0%23.1%4.1%-0.1%13.8M-284.1M-1.4M0.264.62N/AN/A7,4051,905174,853214,542
2007-01-19$33.71$30.0023.6%6.8%0.0%0.0%23.2%4.9%-0.3%37.9M-290.1M-1.4M0.255.45N/AN/A12,4603,100175,479215,287
2007-01-22$33.43$32.5022.9%6.6%0.0%0.0%23.2%3.2%1.3%4.7M-181.1M-1.4M0.496.02N/AN/A4,5012,219108,29568,890
2007-01-23$33.64$32.5017.8%5.1%0.0%0.0%17.7%0.7%4.4%5.0M-192.7M-1.4M0.847.06N/AN/A16,44313,803109,87470,553
2007-01-24$33.59$32.5019.4%5.6%0.0%0.0%19.2%1.6%2.9%4.9M-202.7M-1.5M0.876.23N/AN/A3,9663,457121,89680,105
2007-01-25$33.08$32.5018.3%5.2%16.1%0.0%15.9%-1.3%4.2%4.6M-180.7M-1.6M0.9111.45N/AN/A1,8431,677124,39480,408
2007-01-26$32.58$32.5017.7%5.1%17.0%0.0%16.3%-4.7%5.1%4.1M-153.0M-1.6M1.233.75N/AN/A2,3702,911124,73581,025
2007-01-29$32.67$32.5018.5%5.3%16.4%0.0%18.2%1.6%4.3%4.2M-153.8M-1.6M0.644.57N/AN/A1,238793125,61982,940
2007-01-30$32.50$32.5017.7%5.1%16.1%0.0%17.6%0.9%5.1%4.0M-142.9M-1.6M0.904.35N/AN/A2,4402,187126,04182,718
2007-01-31$33.71$32.5018.5%5.3%20.4%0.0%18.1%1.0%4.4%5.2M-211.2M-1.5M0.378.72N/AN/A4,6321,736126,67983,991