LOW Options History — January 2008

In January 2008, LOW traded between $20.31 and $26.43. ATM implied volatility averaged 41.8%, placing in the 89.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 5.1% (HV 20d: 36.7%). Max pain ranged from $20.00 to $27.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2008-01-23: Highest Volume — 50,614 contracts
  • 2008-01-31: Largest IV drop — 10.5% change
  • 2008-01-22: Highest IV Rank — 100.0%
  • 2008-01-22: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.82$20.31$26.43$22.18$26.43
Max Pain$22.62$20.00$27.50$27.50$22.50
ATM IV41.8%36.1%45.4%36.1%38.9%
Expected Move12.0%10.4%13.0%10.4%11.1%
HV 20d36.7%22.1%54.1%27.9%54.1%
HV 60d37.6%33.5%44.3%33.5%44.3%
IV Rank89.1%70.9%100.0%70.9%78.8%
IV Percentile97.2%88.4%100.0%88.4%89.7%
Term Structure-0.5%-1.7%1.0%-0.2%1.0%
VWIV42.1%36.3%48.5%36.3%42.6%
Skew 25d5.8%-6.4%9.9%-2.3%6.9%
Skew 10d12.6%-12.5%27.3%-4.0%12.1%
Call IV 25d39.6%37.7%43.3%38.1%39.4%
Put IV 25d45.4%32.5%52.9%35.9%46.3%
Bid-Ask Spread %8.894.0213.664.0212.88
Gamma HHI0.280.180.400.270.29
Net GEX-178.1K-1.9M2.5M-1.9M2.5M
Net DEX137.6M-113.9M284.4M248.0M-113.9M
Net VEX-1.4M-1.9M-1.1M-1.3M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.231.931.040.83
Total Volume16,365.0484,76850,6145,39417,580
Total OI410,883.619267,054477,433460,133337,292

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$22.18$27.5036.1%10.4%27.9%70.9%36.3%-2.3%-0.2%-1.9M248.0M-1.3M1.044.02N/AN/A2,6382,756248,028212,105
2008-01-03$21.76$27.5036.4%10.5%28.1%71.9%36.8%-6.4%0.5%-1.7M263.3M-1.3M1.335.40N/AN/A3,8105,066248,052212,410
2008-01-04$21.08$22.5039.2%11.9%28.9%81.1%39.0%5.1%-0.2%-1.5M274.9M-1.2M1.938.99N/AN/A7,92915,336249,581211,611
2008-01-07$21.11$22.5041.8%12.0%27.5%89.6%39.3%5.8%-0.4%-1.4M275.5M-1.2M1.348.28N/AN/A2,0372,731254,481215,968
2008-01-08$20.52$22.5041.4%12.3%28.0%88.2%41.6%5.1%-1.4%-1.4M283.7M-1.1M1.5313.02N/AN/A2,7424,190254,962215,575
2008-01-09$20.66$22.5043.5%12.2%28.5%95.1%41.8%7.5%-1.4%-1.5M284.4M-1.1M0.697.24N/AN/A15,13810,438254,329214,959
2008-01-10$20.78$22.5041.9%12.0%22.1%90.0%40.2%5.8%-1.0%-1.3M273.0M-1.1M0.477.63N/AN/A4,7262,229261,343213,054
2008-01-11$20.31$22.5041.9%12.0%22.9%90.0%41.6%6.1%-0.8%-1.5M280.1M-1.1M1.408.83N/AN/A2,8704,026259,999213,361
2008-01-14$20.84$22.5042.0%12.0%25.4%90.2%41.0%7.5%0.1%-1.4M271.4M-1.1M1.667.28N/AN/A3,8226,357261,229212,793
2008-01-15$20.77$22.5041.5%11.9%25.1%88.5%40.7%6.2%0.1%-1.5M273.4M-1.1M0.667.76N/AN/A3,5982,357261,712215,710
2008-01-16$21.62$22.5040.9%11.7%29.7%86.7%43.5%5.8%-0.9%-1.2M246.5M-1.3M0.708.09N/AN/A11,2817,897260,983216,450
2008-01-17$21.79$20.0041.2%11.8%29.4%87.5%41.7%4.3%-0.4%-835.9K209.3M-1.4M1.057.74N/AN/A8,1098,537267,183209,098
2008-01-18$22.19$20.0043.1%12.3%30.3%93.8%43.1%5.2%-1.2%-572.1K189.6M-1.4M1.138.02N/AN/A7,8268,808271,129202,741
2008-01-22$24.54$20.0045.4%13.0%47.2%100.0%48.5%9.6%-1.7%402.4K-3.3M-1.6M0.517.65N/AN/A27,16413,927138,034129,020
2008-01-23$26.04$22.5044.7%12.8%50.9%97.7%45.3%8.4%-1.0%913.3K-64.9M-1.7M0.2313.66N/AN/A41,1059,509148,497136,984
2008-01-24$25.41$22.5043.8%12.5%52.0%94.8%43.2%8.5%-1.6%1.5M-60.1M-1.8M0.257.53N/AN/A28,1146,904164,902139,130
2008-01-25$24.71$22.5042.9%12.3%53.0%92.1%45.8%9.9%0.1%2.0M-37.2M-1.8M0.5212.55N/AN/A6,7223,463181,838142,855
2008-01-28$25.40$22.5043.5%12.5%53.6%93.9%44.6%8.6%0.7%2.2M-64.2M-1.9M1.878.23N/AN/A3,9667,425183,289144,633
2008-01-29$25.79$22.5044.5%12.8%52.8%97.1%44.7%9.6%-0.7%2.4M-83.0M-1.9M0.598.87N/AN/A8,3624,917183,489145,042
2008-01-30$25.34$22.5043.4%12.5%53.4%93.7%43.4%5.1%-0.8%2.2M-57.5M-1.9M0.8613.07N/AN/A3,8933,361185,849148,856
2008-01-31$26.43$22.5038.9%11.1%54.1%78.8%42.6%6.9%1.0%2.5M-113.9M-1.9M0.8312.88N/AN/A9,5937,987186,691150,601