LOW Options History — March 2007

In March 2007, LOW traded between $30.74 and $32.58. ATM implied volatility averaged 25.5%. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 1.9% (HV 20d: 27.4%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2007-03-13: Highest Volume — 43,096 contracts
  • 2007-03-13: Largest IV spike — 22.7% change
  • 2007-03-15: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.77$30.74$32.58$32.21$31.49
Max Pain$32.16$30.00$32.50$32.50$30.00
ATM IV25.5%21.4%31.1%26.5%22.4%
Expected Move7.2%6.1%8.5%7.6%6.4%
HV 20d27.4%23.3%32.0%24.2%26.4%
HV 60d23.5%21.5%24.4%21.8%23.5%
Term Structure0.6%-2.8%2.0%-2.8%2.0%
VWIV24.9%20.4%28.9%27.2%23.2%
Skew 25d4.5%1.7%7.1%1.7%3.9%
Skew 10d8.6%0.5%16.5%1.2%4.2%
Call IV 25d22.8%18.5%27.3%27.3%20.9%
Put IV 25d27.4%23.0%30.9%29.1%24.8%
Bid-Ask Spread %6.024.1411.126.434.52
Gamma HHI0.280.200.390.380.20
Net GEX2.3M528.0K3.8M3.4M1.7M
Net DEX-59.1M-112.5M7.1M-89.4M-45.5M
Net VEX-2.0M-2.0M-1.9M-2.0M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.151.950.710.31
Total Volume9,9942,39143,0968,6346,929
Total OI286,718.364275,924302,725276,262300,616

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$32.21$32.5026.5%7.6%24.2%0.0%27.2%1.7%-2.8%3.4M-89.4M-2.0M0.716.43N/AN/A5,0523,582154,464121,798
2007-03-02$31.94$32.5025.6%7.3%23.3%0.0%26.2%7.1%-2.1%3.0M-73.3M-2.0M0.267.09N/AN/A6,8261,796153,821122,103
2007-03-05$31.77$32.5027.5%7.3%23.3%0.0%26.7%4.6%0.7%2.8M-61.5M-2.0M0.717.86N/AN/A3,4462,456155,214122,287
2007-03-06$32.52$32.5025.4%7.0%25.2%0.0%22.9%5.0%1.3%3.7M-107.6M-2.0M0.156.48N/AN/A5,922908156,575122,671
2007-03-07$32.58$32.5024.8%6.8%25.2%0.0%24.0%5.0%1.3%3.8M-112.5M-2.0M0.7911.12N/AN/A1,8301,446156,029122,459
2007-03-08$32.53$32.5024.5%6.8%25.2%0.0%23.8%4.6%2.0%3.7M-106.7M-2.0M0.487.13N/AN/A2,033978156,154122,272
2007-03-09$32.34$32.5022.6%6.7%25.1%0.0%22.9%4.7%1.7%3.3M-94.4M-2.0M1.015.94N/AN/A1,1901,201156,212122,516
2007-03-12$32.34$32.5024.4%6.6%25.0%0.0%21.8%4.8%2.0%3.2M-92.1M-2.0M0.177.51N/AN/A2,734472156,730122,693
2007-03-13$30.74$32.5029.9%8.1%30.4%0.0%27.1%5.0%-0.3%1.9M-2.9M-1.9M1.955.11N/AN/A14,61328,483157,156122,781
2007-03-14$31.03$32.5031.1%8.5%30.6%0.0%28.9%5.6%-0.6%736.8K-1.2M-2.0M1.205.71N/AN/A9,49811,383155,781143,436
2007-03-15$31.21$32.5029.6%8.5%30.8%0.0%28.5%5.7%-0.8%1.0M-11.0M-2.0M0.795.44N/AN/A5,4344,303155,324146,089
2007-03-16$30.93$32.5029.1%8.4%30.3%0.0%28.2%5.4%-0.9%528.0K7.1M-2.0M1.534.94N/AN/A3,6315,550155,264147,461
2007-03-19$31.13$32.5029.3%8.4%30.0%0.0%26.5%4.1%-0.7%668.0K-21.1M-2.0M0.205.86N/AN/A10,5352,064138,166138,082
2007-03-20$31.29$32.5025.3%7.2%29.5%0.0%26.0%4.2%0.3%1.5M-33.5M-2.0M0.556.17N/AN/A5,5513,052143,257138,683
2007-03-21$32.26$32.5022.4%6.4%31.9%0.0%23.2%4.3%1.8%3.3M-89.8M-2.0M0.535.55N/AN/A11,3936,045145,679140,037
2007-03-22$32.24$32.5021.7%6.2%32.0%0.0%22.0%3.5%1.4%2.9M-85.6M-2.0M0.404.21N/AN/A10,0853,987145,671140,444
2007-03-23$32.37$32.5021.4%6.1%28.4%0.0%20.4%2.9%1.9%3.1M-96.7M-2.0M0.375.45N/AN/A4,6431,740145,291141,686
2007-03-26$32.14$32.5022.8%6.5%28.0%0.0%23.4%2.7%1.2%2.4M-77.2M-2.0M0.235.38N/AN/A7,7051,804147,325142,503
2007-03-27$31.74$32.5022.6%6.5%26.1%0.0%24.6%7.1%1.2%2.2M-62.2M-2.0M0.654.14N/AN/A2,6971,762153,390143,047
2007-03-28$31.02$30.0026.5%7.6%26.3%0.0%25.4%4.1%1.3%974.1K-19.8M-2.0M0.885.17N/AN/A6,1865,457151,886143,638
2007-03-29$31.14$30.0026.5%7.6%26.2%0.0%25.2%3.7%0.4%1.1M-23.0M-2.0M0.815.26N/AN/A1,9161,550154,472146,641
2007-03-30$31.49$30.0022.4%6.4%26.4%0.0%23.2%3.9%2.0%1.7M-45.5M-2.0M0.314.52N/AN/A5,2711,658154,174146,442