LOW Options History — February 2007 In February 2007, LOW traded between $32.55 and $34.93. ATM implied volatility averaged 22.4%. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.8% (HV 20d: 20.7%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.22.
Notable Days 2007-02-23 : Highest Volume — 36,150 contracts2007-02-27 : Largest IV spike — 37.2% change2007-02-13 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $33.78 $32.55 $34.93 $34.24 $32.55 Max Pain $34.34 $32.50 $35.00 $32.50 $32.50 ATM IV 22.4% 16.9% 26.9% 17.1% 25.7% Expected Move 6.7% 4.9% 7.7% 4.9% 7.4% HV 20d 20.7% 18.5% 27.6% 20.4% 27.6% Term Structure -1.8% -3.8% 3.8% 3.8% -2.8% VWIV 22.9% 17.0% 26.4% 17.0% 25.4% Skew 25d 2.9% 0.9% 5.9% 3.3% 2.6% Skew 10d 5.5% 0.1% 12.2% 5.9% 4.2% Call IV 25d 21.7% 16.2% 24.6% 16.5% 24.6% Put IV 25d 24.6% 19.8% 27.7% 19.8% 27.2% Bid-Ask Spread % 6.99 3.14 12.91 4.62 3.90 Gamma HHI 0.41 0.34 0.48 0.46 0.42 Net GEX 5.1M 3.8M 7.4M 5.8M 3.9M Net DEX -192.0M -261.0M -104.0M -242.2M -104.0M Net VEX -1.8M -1.9M -1.5M -1.5M -1.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 0.14 3.60 0.76 1.02 Total Volume 11,447.684 1,920 36,150 30,813 22,149 Total OI 248,036.737 212,255 267,341 212,255 267,341
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-02-01 $34.24 $32.50 17.1% 4.9% 20.4% 0.0% 17.0% 3.3% 3.8% 5.8M -242.2M -1.5M 0.76 4.62 N/A N/A 17,478 13,335 128,288 83,967 2007-02-02 $34.15 $35.00 16.9% 6.3% 20.5% 0.0% 21.3% 2.6% -1.4% 5.2M -230.3M -1.6M 0.33 7.10 N/A N/A 3,227 1,071 135,107 94,192 2007-02-05 $34.11 $35.00 18.8% 6.3% 19.7% 0.0% 22.6% 2.3% -1.0% 5.2M -224.0M -1.6M 3.60 6.58 N/A N/A 2,157 7,776 136,260 94,738 2007-02-06 $34.12 $35.00 18.4% 6.4% 19.6% 0.0% 23.7% 2.6% -1.0% 4.7M -216.2M -1.7M 2.65 12.91 N/A N/A 1,087 2,877 136,029 104,238 2007-02-07 $34.07 $35.00 19.3% 6.5% 19.7% 0.0% 23.4% 2.6% -1.8% 4.5M -204.8M -1.7M 2.70 11.73 N/A N/A 2,681 7,245 136,405 106,432 2007-02-08 $33.75 $35.00 25.0% 7.2% 19.3% 0.0% 24.4% 3.4% -2.3% 4.4M -191.6M -1.7M 1.50 7.15 N/A N/A 4,867 7,301 137,164 106,673 2007-02-09 $33.42 $35.00 24.7% 7.1% 18.8% 0.0% 23.6% 2.4% -1.4% 4.1M -167.4M -1.8M 1.33 6.94 N/A N/A 2,566 3,404 140,081 112,526 2007-02-12 $33.50 $35.00 26.6% 7.6% 18.8% 0.0% 26.4% 3.3% -3.3% 4.6M -180.7M -1.8M 2.38 6.63 N/A N/A 2,871 6,824 140,930 113,828 2007-02-13 $33.61 $35.00 26.9% 7.7% 18.5% 0.0% 25.9% 3.7% -2.6% 3.8M -171.9M -1.8M 0.21 6.45 N/A N/A 1,590 330 141,425 118,295 2007-02-14 $33.44 $35.00 25.7% 7.4% 18.5% 0.0% 25.4% 4.1% -2.5% 4.2M -175.9M -1.8M 0.73 9.96 N/A N/A 3,238 2,357 141,891 118,054 2007-02-15 $33.88 $35.00 23.4% 6.7% 18.6% 0.0% 23.4% 3.4% -2.6% 4.9M -200.9M -1.8M 0.14 3.93 N/A N/A 4,038 548 143,012 118,334 2007-02-16 $33.27 $35.00 24.6% 7.0% 19.7% 0.0% 24.3% 2.4% -2.2% 4.6M -174.6M -1.8M 0.69 10.40 N/A N/A 3,382 2,332 144,929 118,383 2007-02-20 $33.73 $35.00 24.6% 7.1% 20.1% 0.0% 22.8% 4.0% -3.8% 5.5M -177.8M -1.8M 0.66 5.37 N/A N/A 8,295 5,461 131,760 100,604 2007-02-21 $33.73 $32.50 23.8% 6.8% 20.0% 0.0% 22.6% 3.2% -3.0% 6.3M -182.9M -1.8M 0.42 4.43 N/A N/A 2,643 1,101 137,315 102,766 2007-02-22 $33.63 $32.50 23.5% 6.7% 20.0% 0.0% 22.7% 1.7% -3.5% 6.3M -178.9M -1.8M 1.09 4.70 N/A N/A 7,323 7,975 138,350 103,191 2007-02-23 $34.93 $32.50 18.1% 5.2% 23.2% 0.0% 18.4% 1.3% 0.3% 7.4M -261.0M -1.8M 0.90 3.14 N/A N/A 19,019 17,131 141,999 108,794 2007-02-26 $34.34 $35.00 18.3% 5.2% 23.4% 0.0% 18.6% 5.9% 0.2% 6.6M -216.6M -1.9M 0.83 6.95 N/A N/A 4,166 3,459 146,961 117,110 2007-02-27 $33.26 $35.00 25.1% 7.2% 26.5% 0.0% 24.1% 0.9% -2.6% 4.9M -146.1M -1.9M 1.32 9.89 N/A N/A 6,126 8,076 148,144 117,182 2007-02-28 $32.55 $32.50 25.7% 7.4% 27.6% 0.0% 25.4% 2.6% -2.8% 3.9M -104.0M -1.9M 1.02 3.90 N/A N/A 10,970 11,179 149,344 117,997
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