LOW Options History — August 2007 In August 2007, LOW traded between $26.33 and $31.06. ATM implied volatility averaged 30.1%, placing in the 67.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 0.5% (HV 20d: 30.6%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.43.
Notable Days 2007-08-20 : Highest Volume — 65,813 contracts2007-08-20 : Largest IV drop — 24.2% change2007-08-03 : Highest IV Rank — 100.0%2007-08-16 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $28.49 $26.33 $31.06 $28.31 $31.06 Max Pain $28.15 $27.50 $30.00 $30.00 $27.50 ATM IV 30.1% 22.3% 38.7% 31.0% 28.6% Expected Move 8.9% 6.4% 11.1% 8.9% 8.2% HV 20d 30.6% 19.8% 40.7% 19.8% 38.6% HV 60d 23.5% 20.7% 27.9% 20.7% 27.9% IV Rank 67.9% 31.6% 100.0% 99.5% 57.9% IV Percentile 86.3% 34.6% 100.0% 99.3% 87.4% Term Structure -0.5% -5.0% 2.6% 1.0% 1.4% VWIV 30.9% 22.4% 40.1% 27.5% 28.9% Skew 25d 5.7% 1.2% 12.2% 7.5% 3.7% Skew 10d 10.8% -6.9% 22.0% 15.8% 14.4% Call IV 25d 28.1% 20.3% 35.2% 26.1% 26.2% Put IV 25d 33.8% 23.4% 43.9% 33.6% 29.9% Bid-Ask Spread % 8.18 5.02 14.60 7.00 5.72 Gamma HHI 0.19 0.16 0.27 0.16 0.18 Net GEX 390.7K -1.5M 3.8M -490.1K 3.8M Net DEX 38.1M -162.3M 173.7M 76.6M -162.3M Net VEX -2.2M -2.6M -1.9M -1.9M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 0.23 3.92 1.45 0.95 Total Volume 22,781.217 5,589 65,813 21,739 30,766 Total OI 399,409.87 320,481 467,650 320,481 467,650
Daily Data (23 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 2007-08-01 $28.31 $30.00 31.0% 8.9% 19.8% 99.5% 27.5% 7.5% 1.0% -490.1K 76.6M -1.9M 1.45 7.00 N/A N/A 8,864 12,875 163,934 156,547 2007-08-02 $28.47 $30.00 28.5% 8.2% 20.1% 84.2% 28.1% 3.2% 2.4% -454.7K 68.1M -2.0M 0.47 6.79 N/A N/A 4,304 2,019 168,972 162,839 2007-08-03 $27.45 $30.00 31.4% 9.0% 22.4% 100.0% 31.5% 12.2% 1.0% -994.2K 110.6M -1.9M 2.04 5.02 N/A N/A 4,887 9,968 170,107 163,181 2007-08-06 $28.04 $27.50 38.7% 10.6% 24.3% 100.0% 35.7% 7.3% -2.8% -553.6K 80.1M -2.0M 1.28 10.86 N/A N/A 14,431 18,507 172,416 168,336 2007-08-07 $27.92 $30.00 32.0% 10.1% 23.1% 72.0% 34.5% 6.0% -2.3% -4.6K 89.7M -2.0M 0.61 14.60 N/A N/A 19,425 11,867 181,776 178,789 2007-08-08 $28.47 $30.00 32.0% 9.9% 24.5% 72.3% 32.5% 6.6% -2.2% -326.0K 54.3M -2.1M 1.06 11.29 N/A N/A 5,874 6,202 184,810 184,577 2007-08-09 $27.43 $30.00 32.5% 10.4% 25.4% 74.1% 37.4% 5.6% -2.6% -1.1M 107.2M -2.0M 1.71 11.63 N/A N/A 6,050 10,363 187,572 186,275 2007-08-10 $27.76 $27.50 32.8% 10.7% 26.1% 75.4% 36.8% 5.6% -1.8% -837.6K 83.0M -2.1M 2.25 11.57 N/A N/A 3,471 7,816 191,659 189,858 2007-08-13 $27.54 $27.50 33.0% 10.6% 25.6% 76.1% 32.5% 7.4% -2.4% -957.2K 102.5M -2.0M 0.23 7.10 N/A N/A 9,565 2,180 193,175 188,959 2007-08-14 $26.75 $27.50 33.4% 10.3% 27.0% 77.9% 36.8% 6.2% -2.1% -1.3M 150.7M -1.9M 0.73 8.59 N/A N/A 16,648 12,195 198,044 189,094 2007-08-15 $26.33 $27.50 35.2% 10.3% 27.2% 85.4% 40.1% 8.0% -3.5% -1.5M 173.7M -1.9M 1.09 7.36 N/A N/A 5,897 6,442 211,136 196,909 2007-08-16 $26.81 $27.50 38.6% 11.1% 28.5% 99.3% 38.5% 8.7% -5.0% -602.6K 141.8M -2.0M 0.45 9.72 N/A N/A 22,485 10,044 214,214 200,098 2007-08-17 $26.87 $27.50 37.3% 10.7% 28.6% 93.9% 36.6% 8.5% -4.3% -854.6K 148.5M -2.0M 1.94 7.48 N/A N/A 6,246 12,122 222,795 202,306 2007-08-20 $28.50 $27.50 28.2% 8.1% 36.4% 56.4% 26.6% 7.3% -1.4% -31.1K 34.6M -2.1M 1.58 8.95 N/A N/A 25,514 40,299 196,589 192,646 2007-08-21 $28.91 $27.50 24.3% 7.0% 36.3% 40.3% 26.7% 9.4% 1.6% 448.5K 5.9M -2.4M 1.12 6.16 N/A N/A 15,108 16,905 209,397 210,244 2007-08-22 $29.82 $27.50 24.7% 7.1% 37.7% 41.7% 25.6% 4.4% 2.0% 2.1M -60.3M -2.4M 0.64 7.22 N/A N/A 16,946 10,785 209,134 208,876 2007-08-23 $29.63 $27.50 23.5% 6.7% 37.6% 36.8% 25.7% 3.0% 2.6% 2.2M -46.1M -2.5M 3.65 5.42 N/A N/A 5,429 19,835 214,774 213,451 2007-08-24 $30.20 $27.50 22.3% 6.4% 37.0% 31.6% 22.4% 1.3% 2.5% 3.1M -96.0M -2.5M 2.54 7.22 N/A N/A 6,838 17,384 216,622 215,818 2007-08-27 $29.62 $27.50 23.6% 6.8% 37.7% 37.4% 24.7% 1.2% 1.3% 1.9M -40.6M -2.5M 1.20 6.36 N/A N/A 8,784 10,567 218,249 220,542 2007-08-28 $28.98 $27.50 26.0% 7.4% 38.5% 47.0% 26.6% 1.6% 1.7% 575.5K 18.9M -2.5M 3.92 5.11 N/A N/A 2,171 8,518 221,635 226,576 2007-08-29 $30.15 $27.50 26.2% 7.5% 40.7% 47.9% 26.5% 3.5% 1.1% 2.3M -77.3M -2.6M 1.15 8.73 N/A N/A 14,769 17,014 221,698 228,184 2007-08-30 $30.27 $27.50 27.9% 8.0% 40.7% 54.8% 27.8% 2.6% 1.4% 2.7M -87.3M -2.6M 0.81 8.26 N/A N/A 3,084 2,505 228,432 237,532 2007-08-31 $31.06 $27.50 28.6% 8.2% 38.6% 57.9% 28.9% 3.7% 1.4% 3.8M -162.3M -2.6M 0.95 5.72 N/A N/A 15,759 15,007 229,001 238,649
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