LOW Options History — June 2008

In June 2008, LOW traded between $20.75 and $24.62. ATM implied volatility averaged 35.0%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 3.6% (HV 20d: 31.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2008-06-20: Highest Volume — 33,068 contracts
  • 2008-06-06: Largest IV spike — 34.5% change
  • 2008-06-26: Highest IV Rank — 74.3%
  • 2008-06-26: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.99$20.75$24.62$24.06$20.75
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV35.0%24.3%43.2%30.5%40.3%
Expected Move10.1%7.0%12.4%8.7%11.6%
HV 20d31.5%25.9%37.4%27.2%37.2%
HV 60d36.2%32.2%40.1%40.0%33.4%
IV Rank52.8%26.6%74.3%43.5%65.2%
IV Percentile55.7%14.3%87.7%31.3%80.2%
Term Structure1.7%-0.3%4.1%0.5%1.3%
VWIV34.9%24.3%41.4%31.0%41.4%
Skew 25d4.6%0.9%8.7%5.1%1.6%
Skew 10d5.2%-9.0%14.1%7.6%0.8%
Call IV 25d33.4%21.5%42.1%27.8%42.1%
Put IV 25d38.0%30.2%44.5%32.9%43.7%
Bid-Ask Spread %8.816.9111.336.917.65
Gamma HHI0.220.180.300.200.24
Net GEX705.0K-1.1M2.5M1.4M-306.9K
Net DEX67.9M4.0M128.6M30.0M128.6M
Net VEX-1.5M-1.7M-1.4M-1.6M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.131.830.921.76
Total Volume12,108.5241,91833,06819,1629,159
Total OI387,037.524378,704399,477379,816390,539

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$24.06$25.0030.5%8.7%27.2%43.5%31.0%5.1%0.5%1.4M30.0M-1.6M0.926.91N/AN/A10,0029,160211,401168,415
2008-06-03$23.97$25.0029.5%8.5%25.9%40.8%29.6%5.0%2.5%1.2M39.6M-1.6M0.849.71N/AN/A5,9364,978211,508168,457
2008-06-04$24.04$25.0030.3%8.7%25.9%42.9%31.8%5.0%0.3%1.2M38.1M-1.6M0.557.59N/AN/A6,4173,546210,803169,878
2008-06-05$24.62$25.0024.3%7.0%26.8%26.6%24.3%8.7%4.1%2.1M4.0M-1.7M0.777.34N/AN/A13,11910,159210,377170,641
2008-06-06$23.52$25.0032.7%9.8%29.2%49.6%33.1%4.8%2.4%1.1M62.0M-1.6M1.2311.33N/AN/A3,4274,199217,661172,641
2008-06-09$23.23$25.0035.1%10.3%29.4%56.1%33.0%7.0%1.3%534.6K83.3M-1.5M0.517.83N/AN/A3,6961,869217,619172,314
2008-06-10$23.31$25.0034.4%10.1%28.3%54.2%34.9%5.5%2.7%653.2K76.5M-1.5M1.839.56N/AN/A1,7273,163218,563172,047
2008-06-11$22.85$25.0035.5%10.2%28.8%57.1%35.4%4.8%2.4%-52.2K84.8M-1.5M0.649.25N/AN/A5,1163,295219,372167,626
2008-06-12$23.28$25.0035.8%10.3%28.6%58.0%33.0%5.9%2.2%563.1K64.5M-1.5M0.2410.04N/AN/A1,541377219,778167,965
2008-06-13$24.14$25.0031.5%9.0%31.6%40.4%34.2%5.2%3.5%2.5M18.9M-1.6M1.438.16N/AN/A2,3133,310220,200167,255
2008-06-16$24.05$25.0031.0%8.9%31.4%38.8%34.6%4.2%3.9%2.2M25.8M-1.6M0.887.83N/AN/A1,3931,230220,453169,477
2008-06-17$23.44$25.0035.0%10.0%31.4%50.9%31.7%5.7%1.9%369.6K63.4M-1.5M0.7510.19N/AN/A3,4002,553220,185169,365
2008-06-18$23.15$25.0035.2%10.1%30.9%51.5%35.3%7.7%2.6%-1.1M77.9M-1.4M1.198.74N/AN/A1,6221,936221,545170,214
2008-06-19$23.57$25.0036.5%10.5%31.1%55.4%33.7%4.8%1.2%990.0K54.2M-1.5M0.268.60N/AN/A17,7884,565220,803169,227
2008-06-20$22.83$25.0036.9%10.6%33.1%55.9%37.6%2.3%1.5%-933.2K75.0M-1.4M0.848.06N/AN/A17,99515,073228,523170,954
2008-06-23$21.78$25.0037.0%10.6%36.9%54.4%38.5%0.9%0.6%296.7K97.5M-1.5M0.799.88N/AN/A7,8556,216215,629163,075
2008-06-24$21.91$25.0040.1%11.5%36.7%64.5%40.5%1.6%-0.3%417.6K90.0M-1.6M0.1310.83N/AN/A27,7083,640216,364163,510
2008-06-25$22.13$25.0038.7%11.1%35.3%59.9%38.9%2.8%0.5%1.1M79.6M-1.6M0.4910.77N/AN/A3,8741,902224,421163,937
2008-06-26$21.20$25.0043.2%12.4%37.4%74.3%39.4%4.7%-0.3%397.3K110.9M-1.5M0.387.11N/AN/A16,8126,364224,359163,164
2008-06-27$20.87$25.0041.6%11.9%37.4%69.4%41.1%4.2%0.3%175.8K122.1M-1.4M0.307.66N/AN/A4,5051,339224,359163,164
2008-06-30$20.75$25.0040.3%11.6%37.2%65.2%41.4%1.6%1.3%-306.9K128.6M-1.4M1.767.65N/AN/A3,3175,842223,089167,450