LOW Options History — July 2008 In July 2008, LOW traded between $18.28 and $21.20. ATM implied volatility averaged 46.6%, placing in the 77.1% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 4.8% (HV 20d: 41.8%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.78.
Notable Days 2008-07-23 : Highest Volume — 26,303 contracts2008-07-15 : Largest IV spike — 14.4% change2008-07-15 : Highest IV Rank — 100.0%2008-07-15 : Largest Expected Move — 16.2%Monthly Statistics Metric Avg Min Max Open Close Price $20.01 $18.28 $21.20 $20.61 $20.32 Max Pain $20.68 $20.00 $25.00 $25.00 $20.00 ATM IV 46.6% 42.9% 56.4% 43.2% 44.6% Expected Move 13.3% 12.3% 16.2% 12.4% 12.8% HV 20d 41.8% 32.7% 50.3% 37.2% 49.9% HV 60d 35.5% 31.2% 39.0% 33.4% 38.7% IV Rank 77.1% 65.5% 100.0% 74.3% 65.5% IV Percentile 93.8% 85.7% 100.0% 87.7% 86.1% Term Structure 0.1% -5.0% 4.1% 1.4% 4.1% VWIV 46.0% 41.2% 53.6% 42.9% 44.5% Skew 25d 5.6% 1.3% 10.5% 4.4% 4.3% Skew 10d 14.0% -3.4% 26.3% 16.3% 10.6% Call IV 25d 44.3% 36.1% 52.9% 41.5% 43.4% Put IV 25d 49.9% 45.4% 59.2% 45.9% 47.7% Bid-Ask Spread % 9.47 5.32 16.10 7.61 8.50 Gamma HHI 0.24 0.15 0.70 0.26 0.16 Net GEX -296.2K -4.2M 1.0M -392.7K 101.6K Net DEX 116.7M 47.7M 172.5M 133.1M 83.2M Net VEX -1.4M -1.5M -1.1M -1.4M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.15 5.42 0.38 0.47 Total Volume 10,227.045 3,750 26,303 20,844 3,750 Total OI 384,774.5 339,783 427,583 394,246 350,500
Daily Data (22 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 2008-07-01 $20.61 $25.00 43.2% 12.4% 37.2% 74.3% 42.9% 4.4% 1.4% -392.7K 133.1M -1.4M 0.38 7.61 N/A N/A 15,124 5,720 224,032 170,214 2008-07-02 $20.23 $25.00 42.9% 12.3% 37.2% 73.6% 41.2% 2.3% 0.4% -191.2K 134.3M -1.4M 0.38 9.06 N/A N/A 3,090 1,175 233,206 170,267 2008-07-03 $20.22 $25.00 42.9% 12.3% 35.3% 73.5% 43.2% 1.3% 0.9% -194.8K 138.0M -1.4M 0.80 9.33 N/A N/A 3,047 2,445 234,292 170,294 2008-07-07 $20.09 $20.00 45.6% 12.7% 32.7% 82.2% 46.3% 4.5% -0.7% -286.6K 142.0M -1.3M 1.22 16.10 N/A N/A 4,113 5,015 236,098 171,260 2008-07-08 $20.82 $20.00 44.5% 12.8% 36.1% 78.7% 44.2% 7.8% -1.4% -34.4K 128.7M -1.4M 0.56 7.87 N/A N/A 2,405 1,354 238,188 174,270 2008-07-09 $20.22 $20.00 45.7% 12.7% 36.9% 82.5% 42.0% 6.8% -0.6% -348.9K 140.6M -1.4M 0.31 13.57 N/A N/A 4,098 1,260 236,355 173,203 2008-07-10 $19.42 $20.00 46.5% 13.3% 38.5% 85.0% 45.8% 4.4% -0.8% -544.8K 153.8M -1.3M 0.65 9.62 N/A N/A 12,088 7,862 237,202 172,968 2008-07-11 $18.90 $20.00 48.8% 14.0% 37.7% 92.0% 51.2% 5.0% -2.9% -634.1K 162.0M -1.2M 0.88 10.75 N/A N/A 5,934 5,232 237,405 174,837 2008-07-14 $19.00 $20.00 49.2% 14.1% 34.0% 93.5% 50.1% 6.8% -1.7% -765.0K 162.5M -1.2M 0.27 10.83 N/A N/A 15,186 4,043 233,400 175,311 2008-07-15 $18.28 $20.00 56.4% 16.2% 35.2% 100.0% 53.6% 6.3% -5.0% -602.8K 172.5M -1.1M 0.26 9.33 N/A N/A 19,451 5,072 238,065 177,133 2008-07-16 $19.33 $20.00 48.9% 14.0% 42.6% 78.1% 47.1% 6.1% -1.4% -304.7K 147.7M -1.3M 0.35 10.68 N/A N/A 5,663 1,956 249,158 178,425 2008-07-17 $20.10 $20.00 49.5% 14.2% 45.9% 80.0% 49.9% 8.5% -2.1% -634.4K 107.6M -1.4M 0.59 10.14 N/A N/A 6,127 3,588 251,374 172,228 2008-07-18 $19.93 $20.00 49.0% 14.0% 45.0% 78.4% 47.1% 9.8% -2.6% -4.2M 116.8M -1.4M 5.42 8.11 N/A N/A 1,729 9,369 252,114 173,174 2008-07-21 $19.75 $20.00 47.1% 13.5% 44.1% 72.8% 45.8% 5.6% 0.7% 351.0K 91.3M -1.3M 0.33 6.98 N/A N/A 4,968 1,626 190,484 149,299 2008-07-22 $20.64 $20.00 46.7% 13.4% 45.1% 71.8% 44.4% 8.4% 1.2% 697.2K 67.1M -1.5M 0.25 8.78 N/A N/A 7,174 1,774 193,197 149,761 2008-07-23 $21.20 $20.00 45.9% 13.1% 46.2% 69.2% 45.0% 10.5% 2.1% 1.0M 47.7M -1.5M 0.29 5.32 N/A N/A 20,351 5,952 195,018 149,388 2008-07-24 $20.39 $20.00 46.8% 13.4% 47.8% 72.1% 44.8% 5.3% 0.7% 195.5K 82.5M -1.4M 0.15 9.24 N/A N/A 6,158 926 190,612 153,028 2008-07-25 $19.98 $20.00 44.7% 12.8% 46.0% 65.8% 44.6% 5.0% 2.4% -6.1K 92.6M -1.4M 1.19 11.87 N/A N/A 2,318 2,766 191,579 153,306 2008-07-28 $19.64 $20.00 46.5% 13.3% 46.0% 71.0% 49.3% 1.7% 1.7% -151.5K 104.6M -1.3M 1.86 11.41 N/A N/A 1,740 3,231 192,213 153,912 2008-07-29 $20.72 $20.00 45.9% 13.1% 50.2% 69.3% 45.4% 4.5% 2.2% 279.8K 76.6M -1.4M 0.32 5.97 N/A N/A 4,483 1,447 192,677 155,843 2008-07-30 $20.51 $20.00 45.0% 12.9% 50.3% 66.8% 44.2% 3.8% 2.6% 149.4K 82.9M -1.4M 0.23 7.27 N/A N/A 3,401 784 193,291 156,458 2008-07-31 $20.32 $20.00 44.6% 12.8% 49.9% 65.5% 44.5% 4.3% 4.1% 101.6K 83.2M -1.4M 0.47 8.50 N/A N/A 2,545 1,205 193,893 156,607
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