LOW Options History — December 2007

In December 2007, LOW traded between $22.62 and $25.08. ATM implied volatility averaged 35.6%, placing in the 69.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 5.1% (HV 20d: 40.7%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2007-12-13: Highest Volume — 19,486 contracts
  • 2007-12-11: Largest IV spike — 24.6% change
  • 2007-12-11: Highest IV Rank — 87.2%
  • 2007-12-12: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.54$22.62$25.08$24.13$22.62
Max Pain$27.00$25.00$27.50$25.00$27.50
ATM IV35.6%32.0%41.1%35.0%33.9%
Expected Move10.2%9.6%10.8%10.0%9.7%
HV 20d40.7%27.5%48.2%45.9%27.5%
HV 60d35.3%33.7%37.3%36.1%33.8%
IV Rank69.2%57.2%87.2%67.3%63.6%
IV Percentile89.2%80.9%99.6%89.6%84.0%
Term Structure1.5%0.4%2.2%0.9%2.2%
VWIV35.3%29.4%39.9%37.4%35.2%
Skew 25d3.6%-0.2%11.6%1.6%-0.0%
Skew 10d6.0%-6.8%17.2%-6.8%3.2%
Call IV 25d34.6%28.0%39.5%36.1%36.6%
Put IV 25d38.2%35.4%40.6%37.7%36.6%
Bid-Ask Spread %8.765.8315.116.497.60
Gamma HHI0.290.210.370.240.26
Net GEX-2.1M-3.4M-527.6K-1.7M-2.0M
Net DEX189.1M103.0M233.1M164.2M233.1M
Net VEX-1.7M-2.0M-1.4M-1.8M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.062.130.060.71
Total Volume6,416.82,55919,48615,2985,352
Total OI482,915.9455,394495,720479,333459,689

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$24.13$25.0035.0%10.0%45.9%67.3%37.4%1.6%0.9%-1.7M164.2M-1.8M0.066.49N/AN/A14,372926253,818225,515
2007-12-04$24.28$25.0035.0%10.0%44.6%67.1%35.8%11.6%0.4%-1.3M147.5M-1.9M0.565.83N/AN/A1,733975262,948225,439
2007-12-05$24.54$25.0033.6%9.6%44.5%62.4%35.3%4.0%1.7%-1.2M138.6M-1.9M0.576.27N/AN/A2,0951,203263,084225,382
2007-12-06$24.99$25.0033.4%9.6%44.6%62.0%33.8%6.1%0.9%-747.5K108.6M-2.0M0.377.16N/AN/A7,0032,611264,044225,025
2007-12-07$25.08$27.5032.0%9.7%44.6%57.2%33.6%5.8%2.0%-527.6K103.0M-2.0M0.4513.58N/AN/A3,0431,356266,394225,856
2007-12-10$25.04$27.5033.0%9.8%43.5%60.4%34.1%6.5%1.5%-553.3K105.1M-1.9M0.3911.21N/AN/A2,236873266,528225,618
2007-12-11$23.60$27.5041.1%10.5%48.2%87.2%37.0%3.5%1.6%-2.0M189.7M-1.7M1.4912.03N/AN/A3,5955,365267,143225,442
2007-12-12$23.43$27.5039.6%10.8%47.0%82.4%37.9%3.6%0.9%-2.2M198.4M-1.7M0.969.10N/AN/A2,5122,415267,470224,263
2007-12-13$23.08$27.5037.5%10.7%47.1%75.4%36.3%4.4%1.6%-2.7M217.1M-1.6M0.908.70N/AN/A10,2719,215267,931223,787
2007-12-14$22.72$27.5036.6%10.5%47.1%72.6%37.1%1.8%1.0%-3.0M225.5M-1.6M2.1313.36N/AN/A2,2104,705269,608226,112
2007-12-17$22.74$27.5037.5%10.7%47.1%75.3%39.9%-0.2%1.4%-2.8M226.3M-1.6M0.5615.11N/AN/A2,9401,644267,481225,228
2007-12-18$23.02$27.5037.2%10.7%38.5%74.3%37.4%2.6%1.6%-3.0M217.2M-1.6M1.457.58N/AN/A4,6146,675268,593225,238
2007-12-19$22.83$27.5037.1%10.6%37.3%74.0%29.4%1.9%2.0%-3.3M227.7M-1.6M1.257.21N/AN/A1,4121,759269,364226,097
2007-12-20$22.86$27.5036.0%10.3%36.7%70.4%36.5%3.3%2.2%-3.4M223.1M-1.6M1.927.24N/AN/A1,4082,705268,868225,517
2007-12-21$23.35$27.5036.2%10.4%37.3%71.0%35.5%3.5%1.2%-2.4M204.8M-1.6M1.199.06N/AN/A2,3512,801268,879225,835
2007-12-24$23.47$27.5035.0%10.0%36.4%67.3%33.0%3.6%1.9%-2.5M200.2M-1.6M0.687.36N/AN/A2,0691,401244,420211,383
2007-12-26$23.19$27.5035.0%10.0%36.7%67.3%33.5%3.3%0.7%-2.3M207.9M-1.5M0.216.52N/AN/A3,784788245,102210,292
2007-12-27$23.16$27.5034.2%9.8%29.5%64.4%33.4%4.0%1.5%-2.2M214.8M-1.5M0.276.43N/AN/A2,015544246,706210,611
2007-12-28$22.66$27.5033.5%9.6%30.3%62.2%33.8%1.5%1.8%-2.1M229.0M-1.4M0.727.36N/AN/A3,1222,238246,974210,634
2007-12-31$22.62$27.5033.9%9.7%27.5%63.6%35.2%-0.0%2.2%-2.0M233.1M-1.4M0.717.60N/AN/A3,1312,221248,188211,501