LOW Options History — May 2008

In May 2008, LOW traded between $23.30 and $26.27. ATM implied volatility averaged 32.3%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 0.2% (HV 20d: 32.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2008-05-01: Highest Volume — 36,321 contracts
  • 2008-05-19: Largest IV drop — 20.1% change
  • 2008-05-16: Highest IV Rank — 58.4%
  • 2008-05-05: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.51$23.30$26.27$26.27$24.00
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV32.3%28.7%35.9%30.8%29.5%
Expected Move9.6%8.2%10.7%8.8%8.5%
HV 20d32.5%27.0%35.7%34.0%27.0%
HV 60d41.9%40.9%42.6%41.8%41.2%
IV Rank48.3%38.6%58.4%44.4%40.9%
IV Percentile44.5%27.8%61.5%38.9%29.8%
Term Structure0.1%-2.3%3.2%2.5%0.8%
VWIV33.5%28.9%39.0%34.4%29.4%
Skew 25d4.1%-0.8%6.2%3.7%3.1%
Skew 10d7.2%-5.2%17.8%3.9%5.7%
Call IV 25d32.2%26.9%36.0%31.6%26.9%
Put IV 25d36.3%30.1%41.0%35.3%30.1%
Bid-Ask Spread %8.964.8217.167.237.56
Gamma HHI0.230.200.390.310.20
Net GEX1.8M517.6K5.6M2.5M1.3M
Net DEX2.3M-100.7M70.6M-100.7M38.5M
Net VEX-1.7M-1.9M-928.3K-1.8M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.121.530.760.16
Total Volume11,220.7141,31236,32136,3211,312
Total OI357,847.762222,614379,583321,351379,583

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$26.27$25.0030.8%8.8%34.0%44.4%34.4%3.7%2.5%2.5M-100.7M-1.8M0.767.23N/AN/A20,61115,710177,892143,459
2008-05-02$26.13$25.0033.7%9.7%34.1%52.3%32.0%3.3%3.2%2.4M-90.6M-1.9M0.737.38N/AN/A17,24112,530185,721150,312
2008-05-05$25.45$25.0034.7%10.7%35.7%55.1%39.0%5.0%-1.5%1.9M-54.0M-1.9M0.6713.37N/AN/A2,3191,553194,428157,736
2008-05-06$25.41$25.0034.6%10.5%35.5%54.6%36.3%5.3%-1.8%1.6M-41.4M-1.9M0.2217.16N/AN/A9,7732,124193,206161,267
2008-05-07$24.93$25.0033.2%10.6%34.5%50.9%36.6%5.1%-1.4%1.7M-21.7M-1.9M1.018.37N/AN/A2,3442,379200,666160,951
2008-05-08$24.13$25.0033.5%10.6%32.0%51.6%37.2%5.0%-1.4%1.4M17.8M-1.8M0.178.22N/AN/A4,776803201,303159,904
2008-05-09$24.20$25.0032.2%10.5%31.0%48.1%35.6%5.7%-1.1%1.6M13.4M-1.8M0.307.68N/AN/A2,810844203,182159,708
2008-05-12$24.69$25.0034.1%10.2%31.8%53.3%36.0%5.9%-0.5%2.3M-40.9M-928.3K1.348.56N/AN/A1,8752,517132,84589,769
2008-05-13$24.39$25.0032.2%10.1%32.0%48.1%36.0%4.5%-1.7%1.8M8.6M-1.8M1.077.79N/AN/A9,1379,735204,794161,188
2008-05-14$24.90$25.0032.9%10.0%32.6%50.0%33.9%6.1%-1.4%2.4M-20.8M-1.9M0.1212.02N/AN/A13,9391,605208,759165,143
2008-05-15$25.14$25.0035.3%10.1%32.8%56.7%35.3%5.8%-2.3%3.8M-41.6M-1.8M0.636.87N/AN/A1,7221,088216,459161,713
2008-05-16$24.89$25.0035.9%10.3%32.7%58.4%38.2%6.2%-1.9%5.6M-20.1M-1.8M1.3112.69N/AN/A8,97211,719216,942162,055
2008-05-19$24.25$25.0028.7%8.2%34.0%38.6%31.0%2.1%1.0%1.4M32.7M-1.7M1.029.36N/AN/A16,99717,296202,187157,565
2008-05-20$23.76$25.0028.7%8.2%34.0%38.6%28.9%2.9%1.4%737.7K56.3M-1.6M0.724.82N/AN/A4,2203,042203,913166,963
2008-05-21$23.38$25.0032.3%9.3%34.3%48.4%31.3%3.1%2.0%583.8K69.2M-1.6M0.4413.35N/AN/A6,5802,863204,668165,731
2008-05-22$23.46$25.0032.1%9.2%33.0%47.9%31.7%3.7%1.4%635.6K64.3M-1.6M1.155.11N/AN/A1,6391,887204,755165,003
2008-05-23$23.30$25.0031.3%9.0%28.9%45.6%30.9%3.5%2.1%517.6K70.6M-1.6M0.406.46N/AN/A2,107839205,517165,322
2008-05-27$23.51$25.0033.4%9.6%29.1%51.4%30.9%4.4%1.2%660.6K61.6M-1.6M0.667.83N/AN/A3,1392,059205,700165,660
2008-05-28$24.16$25.0029.0%8.3%31.2%39.3%29.5%2.3%1.7%1.3M30.2M-1.7M0.507.38N/AN/A5,8832,945207,099166,767
2008-05-29$24.39$25.0029.5%8.5%31.3%40.7%30.1%-0.8%0.9%1.8M16.8M-1.7M1.538.96N/AN/A1,8562,845210,800168,168
2008-05-30$24.00$25.0029.5%8.5%27.0%40.9%29.4%3.1%0.8%1.3M38.5M-1.7M0.167.56N/AN/A1,135177211,187168,396