LOW Options History — September 2007

In September 2007, LOW traded between $28.02 and $31.92. ATM implied volatility averaged 29.7%, placing in the 62.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 6.6% (HV 20d: 36.3%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.25.

Notable Days

  • 2007-09-19: Highest Volume — 75,564 contracts
  • 2007-09-18: Largest IV drop — 25.0% change
  • 2007-09-17: Highest IV Rank — 74.4%
  • 2007-09-10: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.10$28.02$31.92$30.86$28.02
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV29.7%24.4%32.6%29.8%28.1%
Expected Move8.6%7.0%9.4%8.5%8.0%
HV 20d36.3%32.2%40.2%38.4%36.6%
HV 60d30.1%27.9%33.5%27.9%33.5%
IV Rank62.3%40.6%74.4%62.9%55.7%
IV Percentile86.5%61.2%96.0%90.5%78.0%
Term Structure1.5%-0.5%3.7%0.1%3.7%
VWIV30.2%26.9%32.7%29.1%28.0%
Skew 25d4.1%1.3%6.3%3.9%2.4%
Skew 10d8.4%2.1%13.7%13.7%9.1%
Call IV 25d28.3%22.9%30.9%27.6%27.8%
Put IV 25d32.4%28.1%35.5%31.5%30.2%
Bid-Ask Spread %6.653.7713.075.125.07
Gamma HHI0.190.160.240.170.24
Net GEX1.3M-2.9M5.0M3.0M-2.3M
Net DEX-56.2M-250.8M149.5M-135.9M149.5M
Net VEX-2.6M-2.7M-2.4M-2.6M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.375.101.440.96
Total Volume19,760.8954,33475,5647,2565,385
Total OI501,751.421481,575546,497482,643514,148

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$30.86$30.0029.8%8.5%38.4%62.9%29.1%3.9%0.1%3.0M-135.9M-2.6M1.445.12N/AN/A2,9754,281233,446249,197
2007-09-05$30.18$30.0031.3%9.0%39.5%69.1%31.3%3.7%-0.5%1.4M-65.5M-2.6M1.068.75N/AN/A5,4125,746230,761251,019
2007-09-06$30.21$30.0030.5%8.8%39.1%66.0%31.4%5.9%0.1%1.4M-72.3M-2.6M1.6213.07N/AN/A2,6584,299232,771253,030
2007-09-07$29.43$30.0030.5%8.8%37.8%65.9%32.3%4.6%1.0%126.8K3.2M-2.6M1.117.36N/AN/A6,9227,684233,164253,625
2007-09-10$29.76$30.0030.9%9.4%37.7%67.4%32.7%3.8%0.2%1.1M-28.6M-2.6M1.567.19N/AN/A6,92510,834237,099252,058
2007-09-11$30.08$30.0029.9%9.2%37.6%63.5%31.7%6.3%0.8%1.8M-61.4M-2.6M5.106.43N/AN/A1,4497,397237,650255,710
2007-09-12$29.75$30.0028.1%8.8%35.9%55.8%29.6%4.6%2.3%994.0K-25.7M-2.6M0.557.69N/AN/A2,7921,542237,559260,688
2007-09-13$30.67$30.0031.5%9.0%36.1%70.2%31.6%5.7%0.8%2.8M-116.6M-2.6M1.475.69N/AN/A4,8657,159239,030260,820
2007-09-14$30.80$30.0031.7%9.1%35.9%70.7%32.7%6.0%2.1%2.8M-131.0M-2.6M1.696.42N/AN/A2,5524,304238,168265,426
2007-09-17$30.76$30.0032.6%9.3%36.0%74.4%31.9%5.3%1.3%2.9M-130.9M-2.6M1.475.09N/AN/A1,8642,741238,422264,690
2007-09-18$31.89$30.0024.4%7.0%32.3%40.6%26.9%5.2%3.7%5.0M-243.1M-2.5M1.065.19N/AN/A13,65914,483236,091264,594
2007-09-19$31.92$30.0025.5%7.3%32.2%45.2%27.8%5.2%2.4%4.8M-250.8M-2.5M0.5210.05N/AN/A49,60925,955241,140272,258
2007-09-20$31.07$30.0029.2%8.4%32.5%60.6%28.1%3.5%1.2%1.9M-163.8M-2.7M0.376.51N/AN/A20,1727,414263,459283,038
2007-09-21$30.62$30.0029.5%8.4%32.9%61.5%29.9%2.0%0.0%1.3M-119.0M-2.6M0.475.67N/AN/A21,70910,224262,615280,144
2007-09-24$30.55$30.0029.4%8.4%32.3%61.2%29.6%3.2%1.7%1.4M-50.0M-2.7M0.927.27N/AN/A9,8929,140237,314244,261
2007-09-25$28.51$30.0030.8%8.8%40.2%67.1%30.4%1.6%2.7%-2.9M139.0M-2.5M0.633.77N/AN/A40,91225,869236,416252,109
2007-09-26$28.56$30.0029.8%8.5%39.6%62.8%29.6%1.3%3.7%-1.3M107.4M-2.6M0.915.18N/AN/A7,9257,216256,303253,630
2007-09-27$28.30$30.0030.0%8.6%36.6%63.8%28.4%4.1%2.0%-1.9M128.4M-2.5M0.804.78N/AN/A6,4015,091255,983255,441
2007-09-28$28.02$30.0028.1%8.0%36.6%55.7%28.0%2.4%3.7%-2.3M149.5M-2.4M0.965.07N/AN/A2,7452,640257,943256,205