LOW Options History — February 2008 In February 2008, LOW traded between $23.14 and $25.55. ATM implied volatility averaged 42.3%, placing in the 78.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 5.7% (HV 20d: 48.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.73.
Notable Days 2008-02-25 : Highest Volume — 66,114 contracts2008-02-25 : Largest IV drop — 25.0% change2008-02-06 : Highest IV Rank — 100.0%2008-02-06 : Largest Expected Move — 14.6%Monthly Statistics Metric Avg Min Max Open Close Price $24.10 $23.14 $25.55 $25.55 $23.97 Max Pain $24.88 $22.50 $25.00 $22.50 $25.00 ATM IV 42.3% 31.3% 51.1% 41.9% 33.4% Expected Move 12.2% 9.0% 14.6% 12.0% 9.6% HV 20d 48.0% 34.7% 56.7% 55.3% 34.8% HV 60d 43.1% 40.4% 45.0% 44.3% 41.0% IV Rank 78.1% 45.8% 100.0% 88.6% 51.4% IV Percentile 89.7% 57.9% 100.0% 94.8% 67.1% Term Structure -1.9% -5.6% 2.2% 2.0% 2.1% VWIV 42.8% 32.5% 48.2% 42.7% 35.0% Skew 25d 7.4% 3.5% 9.7% 8.1% 3.9% Skew 10d 15.7% 8.7% 22.3% 19.6% 8.7% Call IV 25d 39.8% 30.1% 45.1% 37.7% 34.5% Put IV 25d 47.3% 35.4% 53.5% 45.8% 38.4% Bid-Ask Spread % 11.28 6.01 20.02 8.89 6.01 Gamma HHI 0.22 0.18 0.28 0.28 0.21 Net GEX 1.3M 236.6K 2.0M 2.0M 881.6K Net DEX 7.0M -65.0M 53.9M -65.0M 26.6M Net VEX -1.8M -2.0M -1.6M -1.9M -1.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.16 2.35 0.75 1.38 Total Volume 14,279.55 3,952 66,114 9,494 6,421 Total OI 355,904.85 328,453 392,846 342,291 387,431
Daily Data (20 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 2008-02-01 $25.55 $22.50 41.9% 12.0% 55.3% 88.6% 42.7% 8.1% 2.0% 2.0M -65.0M -1.9M 0.75 8.89 N/A N/A 5,415 4,079 186,870 155,421 2008-02-04 $24.78 $25.00 44.2% 12.8% 55.2% 96.1% 45.5% 9.6% -3.1% 1.7M -27.7M -1.8M 0.51 13.23 N/A N/A 4,556 2,326 187,663 156,503 2008-02-05 $24.09 $25.00 43.9% 12.8% 56.7% 95.1% 46.0% 8.3% -1.9% 1.4M 3.5M -1.8M 0.41 10.80 N/A N/A 7,823 3,229 187,778 156,910 2008-02-06 $23.67 $25.00 51.1% 14.6% 55.9% 100.0% 45.1% 8.5% -5.6% 1.3M 25.0M -1.7M 0.16 13.72 N/A N/A 12,693 1,987 190,369 157,295 2008-02-07 $23.98 $25.00 44.7% 13.0% 55.9% 82.3% 47.9% 8.6% -2.9% 1.8M 4.5M -1.8M 0.56 10.50 N/A N/A 8,603 4,842 199,640 157,635 2008-02-08 $23.61 $25.00 45.9% 14.1% 56.5% 85.7% 45.1% 7.2% -4.0% 1.3M 31.3M -1.7M 0.65 16.71 N/A N/A 4,525 2,952 192,202 158,473 2008-02-11 $24.27 $25.00 44.0% 13.1% 55.9% 80.4% 47.4% 8.6% -4.2% 1.7M -952.8K -1.7M 0.35 18.67 N/A N/A 5,293 1,831 191,997 157,927 2008-02-12 $24.19 $25.00 42.4% 12.9% 55.7% 76.0% 47.3% 8.7% -3.5% 1.7M 1.1M -1.7M 0.96 20.02 N/A N/A 2,019 1,933 192,701 158,508 2008-02-13 $24.17 $25.00 46.1% 12.5% 55.6% 86.2% 45.4% 8.6% -2.5% 1.6M 4.8M -1.7M 0.49 13.64 N/A N/A 2,651 1,311 192,433 159,192 2008-02-14 $23.55 $25.00 47.3% 13.5% 55.4% 89.4% 47.7% 6.8% -3.1% 565.0K 33.6M -1.6M 0.54 6.58 N/A N/A 6,323 3,433 194,222 159,775 2008-02-15 $23.33 $25.00 48.0% 13.8% 55.6% 91.4% 48.2% 9.7% -4.0% 590.7K 38.9M -1.6M 1.41 8.66 N/A N/A 4,706 6,627 198,551 160,507 2008-02-19 $23.14 $25.00 47.1% 13.5% 55.5% 89.0% 44.2% 7.5% -4.5% 236.6K 53.9M -1.6M 0.51 9.32 N/A N/A 6,835 3,466 176,794 151,659 2008-02-20 $23.31 $25.00 45.5% 13.1% 41.7% 84.7% 44.4% 7.2% -3.5% 362.7K 49.6M -1.6M 0.73 9.25 N/A N/A 7,734 5,620 179,684 152,687 2008-02-21 $23.23 $25.00 44.7% 12.8% 34.7% 82.4% 44.0% 7.1% -2.2% 410.9K 49.7M -1.6M 0.48 10.18 N/A N/A 9,175 4,411 188,348 156,799 2008-02-22 $23.59 $25.00 45.1% 12.9% 34.7% 83.6% 44.9% 9.5% -2.9% 1.0M 22.2M -1.7M 0.93 13.51 N/A N/A 15,345 14,296 191,420 153,131 2008-02-25 $24.50 $25.00 33.8% 9.7% 36.4% 52.6% 36.0% 4.8% 1.0% 1.5M -4.3M -1.8M 0.58 9.23 N/A N/A 41,821 24,293 194,009 161,547 2008-02-26 $24.99 $25.00 33.6% 9.6% 35.7% 51.9% 34.8% 7.4% 0.6% 1.7M -31.4M -1.9M 0.40 7.78 N/A N/A 19,524 7,786 212,076 180,060 2008-02-27 $25.49 $25.00 31.3% 9.0% 36.1% 45.8% 32.5% 5.3% 2.2% 2.0M -59.6M -2.0M 0.54 8.64 N/A N/A 6,391 3,430 210,247 182,599 2008-02-28 $24.68 $25.00 32.3% 9.3% 37.3% 48.4% 33.0% 3.5% 1.2% 1.6M -16.1M -1.9M 2.35 10.33 N/A N/A 2,952 6,934 209,114 177,920 2008-02-29 $23.97 $25.00 33.4% 9.6% 34.8% 51.4% 35.0% 3.9% 2.1% 881.6K 26.6M -1.8M 1.38 6.01 N/A N/A 2,693 3,728 209,977 177,454
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