LOW Options History — May 2007

In May 2007, LOW traded between $30.45 and $32.82. ATM implied volatility averaged 24.4%. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.6% (HV 20d: 19.8%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2007-05-18: Highest Volume — 41,891 contracts
  • 2007-05-10: Largest IV spike — 32.0% change
  • 2007-05-15: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.42$30.45$32.82$30.70$32.82
Max Pain$32.16$30.00$32.50$30.00$32.50
ATM IV24.4%20.9%30.1%24.6%21.7%
Expected Move7.2%6.0%8.6%7.1%6.2%
HV 20d19.8%13.9%24.6%16.1%24.2%
HV 60d22.9%22.2%24.8%22.2%22.2%
Term Structure-0.7%-3.7%3.7%2.6%0.4%
VWIV25.4%21.6%29.5%23.9%21.6%
Skew 25d4.0%-1.8%11.1%-0.6%11.1%
Skew 10d5.7%-5.2%18.2%-3.8%18.2%
Call IV 25d22.8%14.4%27.7%23.5%14.4%
Put IV 25d26.8%21.3%30.6%22.9%25.5%
Bid-Ask Spread %6.563.6813.476.933.68
Gamma HHI0.250.230.310.230.28
Net GEX-3.5M-6.5M7.4M-3.2M-6.5M
Net DEX8.1M-118.0M69.5M59.3M-89.1M
Net VEX-2.1M-2.3M-1.2M-2.0M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.214.081.360.50
Total Volume13,293.2273,18341,8917,5106,784
Total OI335,328.182222,280387,416304,402387,416

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$30.70$30.0024.6%7.1%16.1%0.0%23.9%-0.6%2.6%-3.2M59.3M-2.0M1.366.93N/AN/A3,1764,334138,032166,370
2007-05-02$30.68$30.0024.4%7.0%14.2%0.0%22.3%1.5%2.9%-3.3M57.1M-2.0M1.514.11N/AN/A3,7485,660139,055168,171
2007-05-03$30.52$30.0023.4%6.7%13.9%0.0%23.2%-1.8%3.7%-3.5M67.3M-2.1M1.344.34N/AN/A3,7264,988141,438171,198
2007-05-04$30.45$32.5022.7%7.8%13.9%0.0%27.4%3.9%-1.0%-3.4M69.5M-2.1M1.794.75N/AN/A5,4009,642143,229171,214
2007-05-07$30.69$32.5023.4%8.0%14.2%0.0%27.5%2.6%-2.2%-3.9M57.7M-2.1M0.315.62N/AN/A2,611806145,906177,461
2007-05-08$30.68$32.5024.1%8.1%14.1%0.0%28.1%2.6%-2.4%-4.0M59.3M-2.1M0.285.44N/AN/A5,9941,697144,599176,979
2007-05-09$31.72$32.5021.8%7.5%18.1%0.0%27.0%3.6%-2.6%-2.1M-14.5M-2.1M0.4313.47N/AN/A14,4886,214146,078177,825
2007-05-10$31.08$32.5028.8%8.2%19.6%0.0%28.2%1.7%-2.5%-2.7M27.6M-2.1M0.907.78N/AN/A3,5063,146152,025178,368
2007-05-11$30.87$32.5028.7%8.2%19.7%0.0%28.7%2.9%-2.2%-3.4M44.3M-2.1M3.717.42N/AN/A1,9157,098152,167178,579
2007-05-14$30.99$32.5029.9%8.6%19.6%0.0%29.3%3.0%-3.6%-3.7M41.7M-1.2M0.495.92N/AN/A12,4566,079100,206122,074
2007-05-15$30.89$32.5030.1%8.6%18.5%0.0%29.5%3.0%-3.7%-4.3M43.2M-2.1M0.966.23N/AN/A4,9294,750157,689185,588
2007-05-16$31.28$32.5027.0%7.7%18.9%0.0%27.3%3.9%-2.7%-2.5M8.2M-2.1M0.9310.95N/AN/A3,4123,173160,279186,276
2007-05-17$31.33$32.5026.8%7.7%18.9%0.0%27.4%3.6%-3.1%-3.6M6.4M-2.1M0.3510.54N/AN/A5,4071,908158,489187,695
2007-05-18$32.67$32.5027.9%8.0%23.5%0.0%28.6%3.7%-3.6%7.4M-118.0M-2.2M1.215.49N/AN/A18,97222,919159,113187,112
2007-05-21$31.88$32.5021.6%6.2%24.6%0.0%22.4%7.5%0.3%-4.7M-6.7M-2.1M2.446.90N/AN/A7,02417,172149,807191,707
2007-05-22$31.73$32.5021.9%6.3%24.1%0.0%23.1%6.2%-0.5%-5.1M2.6M-2.1M1.967.23N/AN/A5,24010,281151,023195,487
2007-05-23$31.79$32.5020.9%6.0%24.1%0.0%22.3%6.3%1.0%-5.1M-2.0M-2.2M3.105.40N/AN/A4,72614,638152,520201,369
2007-05-24$32.06$32.5021.5%6.2%24.1%0.0%21.9%5.9%1.4%-4.9M-24.2M-2.3M0.696.32N/AN/A6,3954,418154,227211,841
2007-05-25$32.13$32.5021.3%6.1%24.0%0.0%21.6%1.6%0.9%-4.9M-32.6M-2.3M0.216.01N/AN/A5,6611,194155,770213,877
2007-05-29$32.02$32.5022.4%6.4%23.7%0.0%24.7%7.9%-0.0%-4.9M-29.3M-2.2M0.835.90N/AN/A1,7431,440157,477211,871
2007-05-30$32.30$32.5021.8%6.2%23.8%0.0%21.8%7.4%0.8%-4.5M-49.5M-2.2M4.083.81N/AN/A6,61026,971158,247211,366
2007-05-31$32.82$32.5021.7%6.2%24.2%0.0%21.6%11.1%0.4%-6.5M-89.1M-2.3M0.503.68N/AN/A4,5112,273161,617225,799