LOW Options History — April 2007

In April 2007, LOW traded between $30.56 and $32.02. ATM implied volatility averaged 23.1%. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.1% (HV 20d: 21.0%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2007-04-24: Highest Volume — 38,247 contracts
  • 2007-04-24: Largest IV spike — 17.4% change
  • 2007-04-11: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.33$30.56$32.02$31.08$30.56
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV23.1%20.6%25.8%25.3%23.5%
Expected Move6.7%5.9%7.5%7.3%6.7%
HV 20d21.0%16.6%26.8%26.8%16.6%
HV 60d23.5%22.2%24.0%23.6%22.2%
Term Structure1.9%0.6%3.4%1.6%3.4%
VWIV23.4%21.4%25.5%24.9%23.4%
Skew 25d3.2%-1.3%7.5%0.7%-1.3%
Skew 10d4.1%-4.6%13.8%-0.1%-4.6%
Call IV 25d21.4%16.2%24.3%24.3%22.3%
Put IV 25d24.6%21.0%27.0%24.9%21.0%
Bid-Ask Spread %7.254.4914.854.689.98
Gamma HHI0.220.200.240.200.23
Net GEX382.1K-3.1M2.4M1.4M-3.1M
Net DEX-18.8M-65.6M61.5M-27.6M61.5M
Net VEX-2.0M-2.1M-1.9M-2.0M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.123.520.221.10
Total Volume7,397.82,14238,2474,5777,487
Total OI305,014.4257,200325,797304,341301,145

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$31.08$30.0025.3%7.3%26.8%0.0%24.9%0.7%1.6%1.4M-27.6M-2.0M0.224.68N/AN/A3,737840157,318147,023
2007-04-03$31.70$30.0022.3%6.4%26.4%0.0%22.7%3.3%1.9%2.4M-65.6M-2.0M1.315.95N/AN/A1,8372,401157,629147,488
2007-04-04$31.37$30.0022.5%6.5%26.5%0.0%23.4%2.9%1.5%1.8M-44.3M-2.0M1.946.58N/AN/A1,4772,868157,981147,665
2007-04-05$31.39$30.0022.1%6.3%26.5%0.0%22.1%3.0%1.5%1.8M-42.8M-2.0M0.317.44N/AN/A2,089650158,192150,192
2007-04-09$31.50$30.0022.8%6.9%26.6%0.0%24.4%3.8%1.5%2.0M-48.0M-2.0M0.6114.76N/AN/A1,333809158,654150,292
2007-04-10$31.61$30.0022.4%6.6%26.6%0.0%23.4%4.0%2.1%1.8M-53.9M-1.9M1.0014.85N/AN/A2,2172,220157,125150,607
2007-04-11$31.22$30.0025.8%7.5%19.7%0.0%25.5%3.3%0.6%1.1M-27.4M-1.9M3.527.04N/AN/A2,6289,238157,975151,476
2007-04-12$31.29$30.0023.2%6.6%19.5%0.0%25.1%3.5%1.2%745.7K-20.0M-2.0M0.9710.40N/AN/A1,6411,598159,042159,422
2007-04-13$31.14$30.0025.4%7.3%19.4%0.0%24.8%5.1%1.5%199.3K-9.1M-2.0M1.739.73N/AN/A1,5492,685158,842160,414
2007-04-16$31.31$30.0023.2%6.6%19.2%0.0%24.3%5.6%1.1%140.5K-19.7M-2.0M0.255.69N/AN/A6,1321,556159,170162,287
2007-04-17$31.84$30.0022.7%6.5%20.0%0.0%23.9%2.9%1.6%2.0M-58.1M-2.0M0.504.49N/AN/A4,1532,081163,298162,499
2007-04-18$31.52$30.0022.4%6.4%20.3%0.0%24.3%5.4%1.3%417.1K-11.1M-2.0M0.635.33N/AN/A2,7371,720157,674162,962
2007-04-19$31.51$30.0022.1%6.3%16.9%0.0%22.5%5.1%1.8%591.0K-18.6M-2.0M0.754.90N/AN/A2,9192,201158,494162,235
2007-04-20$32.02$30.0021.2%6.1%18.0%0.0%21.4%7.5%2.6%2.4M-50.4M-2.0M1.635.06N/AN/A1,9463,170159,306160,865
2007-04-23$31.55$30.0020.6%5.9%18.6%0.0%21.5%5.7%2.4%426.3K-34.8M-2.0M0.124.74N/AN/A5,746675123,278133,922
2007-04-24$31.10$30.0024.2%6.9%19.1%0.0%23.3%1.8%1.9%148.5K-13.8M-1.9M3.246.24N/AN/A9,02629,221126,746133,987
2007-04-25$31.15$30.0023.5%6.8%18.7%0.0%22.0%1.9%2.5%-2.8M27.1M-2.1M0.575.51N/AN/A4,6082,633130,907159,958
2007-04-26$30.97$30.0023.4%6.7%16.9%0.0%22.2%1.3%2.1%-2.9M38.2M-2.1M0.686.53N/AN/A8,4975,778132,630161,113
2007-04-27$30.85$30.0023.1%6.6%16.9%0.0%22.5%-0.4%2.9%-2.8M43.3M-2.1M0.285.17N/AN/A3,001852136,849163,626
2007-04-30$30.56$30.0023.5%6.7%16.6%0.0%23.4%-1.3%3.4%-3.1M61.5M-2.0M1.109.98N/AN/A3,5663,921137,020164,125