LOW Options History — October 2007 In October 2007, LOW traded between $26.13 and $29.29. ATM implied volatility averaged 30.3%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.7% (HV 20d: 32.0%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.95.
Notable Days 2007-10-19 : Highest Volume — 42,350 contracts2007-10-15 : Largest IV spike — 16.5% change2007-10-19 : Highest IV Rank — 90.2%2007-10-19 : Largest Expected Move — 10.4%Monthly Statistics Metric Avg Min Max Open Close Price $27.89 $26.13 $29.29 $28.70 $26.89 Max Pain $27.93 $27.50 $30.00 $30.00 $27.50 ATM IV 30.3% 24.6% 36.4% 28.7% 31.6% Expected Move 8.8% 7.6% 10.4% 8.2% 9.1% HV 20d 32.0% 25.0% 36.4% 36.4% 25.0% HV 60d 34.0% 33.4% 35.0% 33.8% 33.9% IV Rank 65.1% 41.5% 90.2% 58.3% 70.4% IV Percentile 85.1% 59.2% 98.5% 81.3% 89.5% Term Structure 1.0% -1.1% 3.5% 3.5% 2.2% VWIV 31.2% 26.4% 35.3% 27.5% 33.9% Skew 25d 4.2% 1.8% 7.3% 3.4% 1.9% Skew 10d 9.1% -2.8% 18.4% 17.1% -2.8% Call IV 25d 29.4% 25.5% 35.4% 25.8% 32.9% Put IV 25d 33.5% 29.2% 38.7% 29.2% 34.9% Bid-Ask Spread % 7.78 4.57 14.38 5.23 7.27 Gamma HHI 0.24 0.20 0.41 0.22 0.22 Net GEX -1.2M -4.8M 303.3K -1.8M 153.1K Net DEX 120.2M 45.8M 268.2M 103.4M 124.8M Net VEX -2.4M -2.6M -2.1M -2.5M -2.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.15 2.06 1.26 0.78 Total Volume 13,906 3,241 42,350 9,786 15,740 Total OI 502,236.348 442,908 537,919 514,561 476,291
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 2007-10-01 $28.70 $30.00 28.7% 8.2% 36.4% 58.3% 27.5% 3.4% 3.5% -1.8M 103.4M -2.5M 1.26 5.23 N/A N/A 4,331 5,455 258,335 256,226 2007-10-02 $28.71 $30.00 29.1% 8.3% 36.4% 59.9% 26.4% 3.3% 2.3% -1.6M 97.1M -2.5M 1.05 5.47 N/A N/A 7,251 7,631 258,920 256,794 2007-10-03 $28.93 $30.00 26.6% 7.6% 36.0% 49.6% 27.2% 3.7% 0.8% -835.9K 71.4M -2.5M 0.73 5.54 N/A N/A 5,577 4,053 262,531 256,379 2007-10-04 $28.64 $30.00 29.2% 8.4% 36.0% 60.5% 27.6% 3.1% 2.0% -1.3M 100.0M -2.5M 1.53 5.54 N/A N/A 3,445 5,255 263,276 256,394 2007-10-05 $29.29 $27.50 24.6% 7.8% 36.0% 41.5% 29.0% 4.3% 0.5% -498.4K 45.8M -2.6M 0.34 10.64 N/A N/A 9,704 3,305 263,835 258,776 2007-10-08 $28.76 $27.50 24.8% 7.8% 36.2% 42.2% 30.3% 4.6% 1.2% -1.2M 93.0M -2.5M 0.98 8.60 N/A N/A 2,557 2,511 267,066 259,406 2007-10-09 $29.01 $27.50 25.0% 7.9% 36.2% 42.9% 29.6% 5.8% 1.4% -806.0K 71.5M -2.5M 0.39 7.12 N/A N/A 3,555 1,385 267,159 259,648 2007-10-10 $29.07 $27.50 26.7% 7.8% 36.0% 49.9% 29.6% 6.4% 1.2% -953.4K 63.5M -2.5M 1.27 7.39 N/A N/A 2,826 3,601 266,337 260,197 2007-10-11 $28.97 $27.50 28.7% 8.2% 34.0% 58.2% 29.1% 5.1% 0.5% -1.1M 72.5M -2.5M 0.39 14.38 N/A N/A 9,187 3,548 268,267 261,226 2007-10-12 $28.93 $27.50 27.8% 8.0% 33.9% 54.4% 28.0% 5.3% 1.0% -1.4M 84.2M -2.5M 0.62 6.87 N/A N/A 1,998 1,243 268,502 261,988 2007-10-15 $28.16 $27.50 32.3% 9.3% 35.0% 73.4% 31.0% 4.3% -1.1% -2.8M 152.7M -2.3M 1.37 5.90 N/A N/A 5,421 7,441 269,324 262,636 2007-10-16 $27.75 $27.50 32.7% 9.4% 31.6% 74.8% 32.7% 4.4% -1.0% -3.8M 182.4M -2.3M 0.59 5.74 N/A N/A 6,712 3,988 272,052 265,867 2007-10-17 $27.38 $27.50 31.7% 9.1% 31.6% 70.7% 31.8% 5.3% -0.6% -4.8M 219.7M -2.3M 0.96 6.51 N/A N/A 6,994 6,735 269,680 265,793 2007-10-18 $27.08 $27.50 32.5% 9.3% 30.8% 74.0% 32.2% 1.8% -1.1% -4.3M 216.8M -2.2M 2.06 6.89 N/A N/A 5,534 11,400 273,293 257,004 2007-10-19 $26.13 $27.50 36.4% 10.4% 32.4% 90.2% 35.2% 2.5% 0.2% -1.5M 268.2M -2.1M 1.27 10.31 N/A N/A 18,681 23,669 273,913 261,478 2007-10-22 $26.92 $27.50 31.5% 9.0% 35.0% 69.9% 32.0% 5.0% 2.1% -964.1K 136.9M -2.2M 0.54 12.93 N/A N/A 17,460 9,482 223,369 219,539 2007-10-23 $26.72 $27.50 31.4% 9.0% 26.0% 69.6% 34.3% 4.8% 1.5% -127.5K 130.9M -2.2M 1.16 4.57 N/A N/A 5,771 6,685 231,379 212,932 2007-10-24 $27.18 $27.50 32.8% 9.4% 27.0% 75.3% 34.9% 4.7% 1.5% 180.2K 101.4M -2.3M 1.58 9.33 N/A N/A 6,192 9,757 232,741 216,532 2007-10-25 $26.97 $27.50 34.0% 9.8% 26.9% 80.5% 33.3% 4.0% 1.3% 188.0K 107.9M -2.3M 1.20 9.10 N/A N/A 6,145 7,362 234,834 217,273 2007-10-26 $27.15 $27.50 32.8% 9.4% 26.9% 75.4% 33.3% 1.8% 2.3% 208.2K 105.4M -2.3M 0.63 10.22 N/A N/A 8,095 5,061 236,884 221,687 2007-10-29 $27.20 $27.50 33.3% 9.6% 25.3% 77.6% 35.3% 7.3% 1.1% 188.3K 107.4M -2.3M 0.15 5.26 N/A N/A 14,612 2,143 236,854 224,149 2007-10-30 $26.99 $27.50 33.3% 9.5% 25.3% 77.2% 34.2% 3.5% 1.3% 303.3K 107.9M -2.3M 1.08 8.04 N/A N/A 9,790 10,550 240,547 224,123 2007-10-31 $26.89 $27.50 31.6% 9.1% 25.0% 70.4% 33.9% 1.9% 2.2% 153.1K 124.8M -2.4M 0.78 7.27 N/A N/A 8,858 6,882 246,625 229,666
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