LOW Options History — April 2008

In April 2008, LOW traded between $23.33 and $26.02. ATM implied volatility averaged 35.8%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 10.3% (HV 20d: 46.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2008-04-18: Highest Volume — 29,224 contracts
  • 2008-04-09: Largest IV spike — 9.1% change
  • 2008-04-09: Highest IV Rank — 67.7%
  • 2008-04-09: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.58$23.33$26.02$24.49$25.19
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV35.8%32.2%39.4%39.2%32.2%
Expected Move10.3%9.2%11.9%11.2%9.2%
HV 20d46.1%30.7%57.6%57.6%31.2%
HV 60d46.3%41.4%50.1%49.7%41.4%
IV Rank58.1%48.1%67.7%67.3%48.1%
IV Percentile63.3%44.8%79.4%77.8%44.8%
Term Structure1.3%-0.6%3.5%-0.2%3.4%
VWIV37.4%30.8%41.9%40.9%31.3%
Skew 25d6.1%4.0%8.3%6.8%4.9%
Skew 10d14.2%3.2%19.9%15.7%8.0%
Call IV 25d34.7%28.4%40.6%38.0%30.8%
Put IV 25d40.8%34.0%46.1%44.8%35.7%
Bid-Ask Spread %9.515.1513.145.155.84
Gamma HHI0.340.260.740.320.28
Net GEX2.9M1.1M12.8M2.4M2.0M
Net DEX-4.5M-94.2M67.0M-6.6M-44.6M
Net VEX-1.7M-1.8M-1.6M-1.8M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.121.790.460.58
Total Volume12,361.3642,75829,22412,4763,246
Total OI360,756.136282,577402,964374,350320,378

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$24.49$25.0039.2%11.2%57.6%67.3%40.9%6.8%-0.2%2.4M-6.6M-1.8M0.465.15N/AN/A8,5633,913207,028167,322
2008-04-02$24.58$25.0038.6%11.1%57.5%65.8%41.9%5.4%-0.4%2.5M-6.1M-1.8M0.128.44N/AN/A15,5371,811208,070169,112
2008-04-03$24.32$25.0038.0%10.9%57.4%64.2%41.4%4.4%0.8%2.8M175.8K-1.7M0.317.30N/AN/A3,6091,129216,791169,258
2008-04-04$24.26$25.0038.0%11.1%54.4%64.0%41.3%6.6%-0.2%2.8M7.8M-1.7M0.9811.37N/AN/A4,5984,485215,563169,233
2008-04-07$24.21$25.0036.8%10.9%54.2%60.7%39.7%6.9%0.1%2.9M12.4M-1.7M0.3411.90N/AN/A13,2964,547217,516171,095
2008-04-08$24.02$25.0036.1%10.6%52.3%58.8%37.6%8.3%0.7%2.4M30.6M-1.7M1.1511.77N/AN/A1,8292,110218,391173,320
2008-04-09$23.33$25.0039.4%11.9%53.0%67.7%40.9%5.9%-0.2%1.5M67.0M-1.6M0.689.54N/AN/A9,7466,626219,342173,296
2008-04-10$24.53$25.0036.4%10.5%55.0%59.8%37.6%5.7%0.8%3.2M2.4M-1.7M0.5910.90N/AN/A10,7766,374218,202176,202
2008-04-11$23.99$25.0038.0%10.9%55.7%64.0%39.2%7.2%-0.6%2.6M32.4M-1.7M0.7911.42N/AN/A2,3611,875221,708178,837
2008-04-14$24.03$25.0038.4%11.0%54.6%65.2%39.7%6.9%0.5%2.2M35.0M-1.7M1.7912.41N/AN/A3,1785,700216,623176,675
2008-04-15$24.20$25.0037.5%10.7%53.0%62.5%37.9%7.7%1.0%2.7M29.9M-1.7M0.8412.01N/AN/A8,1036,845217,309179,596
2008-04-16$24.48$25.0036.8%10.5%44.5%60.7%40.6%7.9%1.4%4.0M28.3M-1.7M0.4512.99N/AN/A19,5928,778211,254185,516
2008-04-17$24.53$25.0036.5%10.5%43.7%59.9%38.3%8.3%1.4%4.4M30.5M-1.8M0.5811.19N/AN/A2,4161,411213,780189,184
2008-04-18$24.85$25.0035.6%10.2%39.8%57.4%34.2%6.8%1.7%12.8M3.8M-1.7M0.528.89N/AN/A19,2569,968213,602176,115
2008-04-21$24.83$25.0033.4%9.6%36.7%51.3%36.0%5.7%2.2%1.4M-26.2M-1.7M0.988.70N/AN/A14,08113,791154,793127,784
2008-04-22$24.32$25.0032.4%9.3%36.3%48.7%34.6%4.7%3.5%1.1M-6.1M-1.6M0.166.52N/AN/A11,8761,953154,828127,778
2008-04-23$24.43$25.0032.8%9.4%35.4%49.9%35.2%5.5%2.6%1.6M-15.5M-1.7M0.875.89N/AN/A2,1191,853174,517135,782
2008-04-24$25.02$25.0032.9%9.4%35.9%50.1%33.8%4.0%2.3%2.0M-44.7M-1.7M0.7913.14N/AN/A7,4775,897175,365136,919
2008-04-25$26.02$25.0032.9%9.4%37.2%50.1%30.8%5.7%2.3%2.6M-94.2M-1.8M1.057.60N/AN/A5,2615,530179,703140,711
2008-04-28$25.64$25.0033.1%9.5%37.9%50.6%32.5%4.0%2.8%2.3M-72.4M-1.8M0.936.97N/AN/A3,9713,705176,760141,039
2008-04-29$25.52$25.0033.2%9.5%30.7%50.8%36.5%4.9%2.6%2.1M-62.1M-1.8M1.629.38N/AN/A1,0531,705177,134143,204
2008-04-30$25.19$25.0032.2%9.2%31.2%48.1%31.3%4.9%3.4%2.0M-44.6M-1.7M0.585.84N/AN/A2,0481,198177,544142,834