LOW Options History — November 2007

In November 2007, LOW traded between $21.84 and $26.15. ATM implied volatility averaged 37.7%, placing in the 82.2% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 5.5% (HV 20d: 32.2%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2007-11-19: Highest Volume — 63,698 contracts
  • 2007-11-12: Largest IV spike — 22.0% change
  • 2007-11-07: Highest IV Rank — 100.0%
  • 2007-11-12: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.03$21.84$26.15$26.15$24.41
Max Pain$25.48$25.00$30.00$27.50$25.00
ATM IV37.7%32.8%45.0%38.0%32.8%
Expected Move10.9%9.4%11.9%10.9%9.4%
HV 20d32.2%24.3%45.9%26.3%45.9%
HV 60d33.6%31.1%36.3%34.1%36.3%
IV Rank82.2%59.9%100.0%96.8%59.9%
IV Percentile96.1%86.1%100.0%99.0%86.1%
Term Structure0.4%-1.1%2.8%0.1%2.8%
VWIV38.7%34.3%42.6%35.4%34.3%
Skew 25d4.4%1.8%6.8%3.2%4.1%
Skew 10d8.2%3.9%12.2%5.0%11.6%
Call IV 25d37.1%33.1%41.0%36.1%33.1%
Put IV 25d41.4%37.2%45.4%39.3%37.2%
Bid-Ask Spread %9.915.3314.668.256.22
Gamma HHI0.260.170.410.280.23
Net GEX-1.6M-2.9M-689.6K-810.2K-1.5M
Net DEX199.2M149.6M254.6M164.6M150.7M
Net VEX-2.0M-2.3M-1.5M-2.3M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.251.931.151.25
Total Volume24,430.819,76463,69812,87721,013
Total OI486,323.333470,710505,235477,153474,771

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$26.15$27.5038.0%10.9%26.3%96.8%35.4%3.2%0.1%-810.2K164.6M-2.3M1.158.25N/AN/A5,9856,892245,159231,994
2007-11-02$26.00$27.5036.5%10.5%24.3%90.8%35.4%4.2%2.1%-1.2M179.7M-2.3M0.707.30N/AN/A12,6768,838247,457236,119
2007-11-05$25.13$30.0038.2%10.8%26.0%97.9%38.0%6.2%-0.7%-2.2M222.4M-2.1M0.6810.95N/AN/A20,59813,981248,570238,811
2007-11-06$24.73$25.0035.8%10.9%25.5%87.7%40.3%6.8%0.9%-2.0M222.3M-2.1M1.6113.47N/AN/A23,64438,084254,300237,059
2007-11-07$24.38$25.0039.5%11.2%25.3%100.0%38.7%3.6%0.1%-2.2M212.9M-2.1M0.488.74N/AN/A31,53815,237250,785236,355
2007-11-08$24.53$25.0038.5%11.4%25.8%95.8%41.2%5.2%-0.8%-825.0K179.5M-2.2M0.5011.12N/AN/A8,3404,197262,204228,136
2007-11-09$23.92$25.0036.9%11.3%26.3%89.2%39.9%6.8%0.0%-858.2K203.6M-2.1M0.399.41N/AN/A9,8863,820264,307228,102
2007-11-12$24.37$25.0045.0%11.9%27.3%100.0%41.7%4.4%-0.9%-689.6K172.6M-2.1M0.6113.88N/AN/A8,5785,224263,147225,840
2007-11-13$25.05$25.0039.3%11.3%29.8%81.4%42.6%5.5%-0.7%-775.1K149.6M-2.2M1.449.30N/AN/A5,1997,503263,442228,178
2007-11-14$24.84$25.0035.3%11.4%29.6%68.2%42.2%3.7%-0.8%-1.2M159.5M-2.2M1.4010.10N/AN/A4,3646,123263,502233,399
2007-11-15$25.05$25.0039.3%11.3%29.9%81.4%38.4%5.2%0.5%-1.4M154.0M-2.2M0.2514.66N/AN/A11,3982,808264,439235,840
2007-11-16$25.01$25.0039.2%11.2%27.4%80.9%39.9%5.3%0.2%-2.9M152.2M-2.2M1.7613.60N/AN/A9,21116,168269,546235,689
2007-11-19$23.12$25.0038.2%11.0%36.2%77.8%38.0%3.8%0.3%-1.8M238.2M-1.8M0.8113.66N/AN/A35,27728,421249,732230,880
2007-11-20$22.51$25.0037.5%10.8%36.9%75.6%38.3%4.5%0.5%-2.0M253.3M-1.8M0.946.83N/AN/A19,38818,287261,672237,778
2007-11-21$22.11$25.0037.7%10.8%35.7%76.1%40.0%4.9%1.0%-2.1M247.5M-1.6M0.478.47N/AN/A7,0633,319247,994223,009
2007-11-23$22.27$25.0037.1%10.6%36.2%74.1%39.8%4.2%0.8%-2.1M241.3M-1.6M1.308.62N/AN/A5,8217,540250,887219,823
2007-11-26$21.84$25.0039.3%11.3%35.9%81.5%40.9%1.8%-1.1%-2.0M248.4M-1.6M1.0111.66N/AN/A9,2069,281254,519220,167
2007-11-27$22.09$25.0034.9%10.0%36.5%66.7%35.5%2.6%2.0%-2.4M254.6M-1.5M0.7110.39N/AN/A5,7254,039255,146220,641
2007-11-28$23.47$25.0036.5%10.5%44.4%72.0%35.6%2.9%0.4%-1.8M193.6M-1.8M0.315.33N/AN/A32,95410,346258,547222,168
2007-11-29$23.64$25.0036.6%10.5%44.6%72.3%36.5%3.0%1.5%-1.4M183.1M-1.8M1.936.23N/AN/A5,1539,922266,721225,955
2007-11-30$24.41$25.0032.8%9.4%45.9%59.9%34.3%4.1%2.8%-1.5M150.7M-1.9M1.256.22N/AN/A9,33211,681252,099222,672