LOW Options History — June 2007

In June 2007, LOW traded between $30.69 and $32.99. ATM implied volatility averaged 20.9%. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.9% (HV 20d: 20.0%). Max pain ranged from $32.50 to $32.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2007-06-18: Highest Volume — 30,513 contracts
  • 2007-06-13: Largest IV drop — 45.8% change
  • 2007-06-07: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.65$30.69$32.99$32.66$30.69
Max Pain$32.50$32.50$32.50$32.50$32.50
ATM IV20.9%14.6%27.0%20.6%20.7%
Expected Move6.0%5.2%6.6%5.9%5.9%
HV 20d20.0%14.2%25.6%24.2%16.4%
HV 60d20.1%18.9%22.6%22.2%18.9%
Term Structure2.7%1.0%4.1%1.0%4.0%
VWIV21.2%19.0%23.0%20.7%21.0%
Skew 25d3.8%-1.7%7.2%2.4%-1.7%
Skew 10d6.7%-5.5%16.0%2.5%-5.5%
Call IV 25d18.8%15.1%22.1%15.1%21.2%
Put IV 25d22.6%17.6%25.0%17.6%19.5%
Bid-Ask Spread %5.783.948.005.037.39
Gamma HHI0.270.210.340.290.29
Net GEX-1.6M-7.6M1.4M-7.6M-2.4M
Net DEX-29.5M-133.8M22.0M-73.8M22.0M
Net VEX-2.1M-2.3M-2.0M-2.3M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.293.800.950.33
Total Volume7,934.0952,36030,5135,9938,606
Total OI357,585330,761389,443389,443344,597

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$32.66$32.5020.6%5.9%24.2%0.0%20.7%2.4%1.0%-7.6M-73.8M-2.3M0.955.03N/AN/A3,0792,914163,478225,965
2007-06-04$32.99$32.5022.7%6.4%24.2%0.0%22.5%5.2%2.5%958.4K-133.8M-2.2M1.844.99N/AN/A3,3606,169163,949201,075
2007-06-05$32.42$32.5021.0%6.3%25.3%0.0%23.0%4.0%2.4%-586.7K-95.5M-2.2M1.544.66N/AN/A4,7857,383164,615200,710
2007-06-06$32.14$32.5020.7%6.4%25.6%0.0%22.9%3.2%2.2%-1.7M-61.6M-2.2M0.296.12N/AN/A4,8571,408165,433200,932
2007-06-07$31.72$32.5022.5%6.6%23.4%0.0%23.0%2.9%2.2%-2.4M-25.4M-2.2M1.657.05N/AN/A1,8663,081166,240201,139
2007-06-08$32.05$32.5021.0%6.2%22.4%0.0%21.8%4.2%3.0%-1.8M-51.2M-2.2M0.526.91N/AN/A3,6961,924166,415201,760
2007-06-11$31.80$32.5024.2%6.3%22.4%0.0%22.0%3.6%2.4%-2.5M-25.4M-2.1M0.853.94N/AN/A1,9041,623168,311202,659
2007-06-12$31.36$32.5027.0%6.1%23.0%0.0%22.7%5.5%3.4%-3.4M13.6M-2.1M0.944.26N/AN/A1,3741,289168,568203,482
2007-06-13$31.56$32.5014.6%6.1%23.1%0.0%22.5%6.6%3.3%-1.2M5.0M-2.1M0.904.58N/AN/A3,2532,921168,497203,334
2007-06-14$31.50$32.5019.9%5.7%22.7%0.0%20.3%6.4%4.0%-1.3M7.8M-2.0M0.385.35N/AN/A8,4723,208169,726203,346
2007-06-15$31.55$32.5020.1%5.8%22.7%0.0%21.5%7.2%3.3%-914.5K-1.3M-2.1M0.434.51N/AN/A4,4941,912176,392205,424
2007-06-18$31.65$32.5019.2%5.5%16.6%0.0%21.6%5.2%1.8%-635.0K-37.7M-2.1M2.624.82N/AN/A8,43222,081157,412173,349
2007-06-19$31.58$32.5018.7%5.4%14.3%0.0%19.7%4.9%1.6%-3.4M-22.7M-2.2M0.594.59N/AN/A3,4122,006160,719194,008
2007-06-20$31.65$32.5018.3%5.2%14.2%0.0%19.0%5.0%3.1%-1.8M-41.0M-2.1M0.917.05N/AN/A9,5058,625162,127186,178
2007-06-21$31.90$32.5018.9%5.4%14.5%0.0%19.2%6.5%2.0%1.4M-60.8M-2.2M0.315.88N/AN/A3,5061,084166,342170,944
2007-06-22$31.04$32.5021.3%6.1%17.1%0.0%20.1%1.5%2.8%-482.0K-9.9M-2.1M0.508.00N/AN/A5,2382,628167,269169,291
2007-06-25$31.22$32.5022.8%6.5%17.3%0.0%20.4%3.0%1.5%-213.8K-22.4M-2.1M0.836.92N/AN/A2,3621,966169,026170,198
2007-06-26$31.12$32.5022.1%6.3%17.3%0.0%21.0%1.7%3.3%-674.3K-14.0M-2.1M3.805.82N/AN/A1,0614,028168,669171,024
2007-06-27$31.25$32.5021.9%6.3%17.0%0.0%20.5%2.7%2.4%-1.0M-13.9M-2.1M0.606.57N/AN/A1,476884168,744174,250
2007-06-28$30.74$32.5020.6%5.9%16.4%0.0%20.7%-0.2%4.1%-2.3M21.6M-2.1M0.756.99N/AN/A2,7152,029169,118174,570
2007-06-29$30.69$32.5020.7%5.9%16.4%0.0%21.0%-1.7%4.0%-2.4M22.0M-2.1M0.337.39N/AN/A6,4742,132169,767174,830