LOW Options History — August 2008 In August 2008, LOW traded between $20.30 and $24.90. ATM implied volatility averaged 39.5%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 11.2% (HV 20d: 50.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.65.
Notable Days 2008-08-11 : Highest Volume — 39,483 contracts2008-08-06 : Largest IV spike — 13.9% change2008-08-04 : Highest IV Rank — 72.2%2008-08-04 : Largest Expected Move — 14.2%Monthly Statistics Metric Avg Min Max Open Close Price $23.40 $20.30 $24.90 $20.30 $24.64 Max Pain $21.31 $20.00 $22.50 $20.00 $22.50 ATM IV 39.5% 32.0% 46.9% 43.6% 32.5% Expected Move 11.4% 9.2% 14.2% 12.5% 9.3% HV 20d 50.7% 46.1% 55.7% 49.9% 46.5% HV 60d 43.5% 38.2% 45.6% 38.6% 45.4% IV Rank 49.7% 23.9% 72.2% 62.5% 25.4% IV Percentile 60.9% 19.4% 94.8% 81.3% 23.0% Term Structure 1.4% -2.7% 4.5% 4.1% 3.3% VWIV 40.2% 33.5% 50.0% 40.5% 35.4% Skew 25d 8.4% 5.5% 10.3% 8.3% 5.5% Skew 10d 19.3% 3.7% 26.9% 15.0% 3.7% Call IV 25d 37.2% 30.1% 45.7% 39.4% 31.9% Put IV 25d 45.6% 37.4% 53.5% 47.8% 37.4% Bid-Ask Spread % 8.91 5.38 13.67 5.38 9.32 Gamma HHI 0.29 0.16 0.41 0.16 0.41 Net GEX 3.0M 67.9K 5.1M 67.9K 5.0M Net DEX -35.2M -95.1M 85.8M 85.8M -82.1M Net VEX -1.7M -1.9M -1.4M -1.4M -1.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.17 2.03 0.84 2.03 Total Volume 9,835.667 2,217 39,483 2,217 2,690 Total OI 383,954.429 351,299 408,228 351,299 401,437
Daily Data (21 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 2008-08-01 $20.30 $20.00 43.6% 12.5% 49.9% 62.5% 40.5% 8.3% 4.1% 67.9K 85.8M -1.4M 0.84 5.38 N/A N/A 1,202 1,015 194,727 156,572 2008-08-04 $20.44 $20.00 46.9% 14.2% 49.9% 72.2% 50.0% 7.8% -2.2% 100.0K 81.9M -1.4M 0.74 10.59 N/A N/A 6,112 4,520 194,819 156,831 2008-08-05 $21.45 $20.00 41.1% 13.2% 51.3% 55.4% 47.2% 7.8% -2.7% 862.0K 49.0M -1.5M 0.54 5.82 N/A N/A 3,553 1,901 199,134 160,849 2008-08-06 $21.24 $20.00 46.9% 14.0% 50.2% 72.1% 44.4% 8.0% -1.9% 725.4K 56.0M -1.5M 0.42 7.55 N/A N/A 2,654 1,114 200,441 161,695 2008-08-07 $20.94 $20.00 45.7% 14.1% 48.0% 68.8% 45.4% 7.2% -2.5% 475.4K 65.9M -1.5M 1.28 7.03 N/A N/A 1,071 1,370 201,367 162,086 2008-08-08 $22.78 $20.00 41.4% 12.9% 54.4% 56.0% 45.2% 7.6% -1.2% 1.9M -3.6M -1.6M 0.40 10.02 N/A N/A 7,208 2,876 201,343 162,496 2008-08-11 $23.81 $20.00 44.8% 11.9% 55.7% 66.2% 41.5% 10.3% -0.3% 2.3M -47.1M -1.7M 0.17 8.49 N/A N/A 33,816 5,667 202,310 163,853 2008-08-12 $24.06 $20.00 45.9% 11.2% 52.5% 69.2% 39.6% 8.6% 0.6% 3.2M -67.1M -1.8M 0.20 13.67 N/A N/A 19,255 3,826 216,715 166,443 2008-08-13 $23.08 $20.00 45.3% 13.2% 53.5% 67.5% 44.0% 9.5% -0.5% 3.5M -30.3M -1.7M 0.35 10.69 N/A N/A 8,522 2,965 229,956 168,208 2008-08-14 $23.81 $20.00 41.7% 12.0% 53.0% 57.2% 43.2% 8.6% -0.1% 3.7M -64.9M -1.8M 0.67 10.39 N/A N/A 9,754 6,506 229,827 169,497 2008-08-15 $24.50 $22.50 40.6% 11.7% 53.1% 54.0% 42.3% 10.3% 0.1% 4.2M -94.0M -1.9M 0.42 7.28 N/A N/A 14,644 6,221 234,263 173,965 2008-08-18 $24.54 $22.50 37.5% 10.7% 52.7% 44.6% 38.3% 9.1% 1.7% 3.8M -84.7M -1.9M 0.50 10.26 N/A N/A 13,912 7,013 224,165 163,083 2008-08-19 $23.85 $22.50 36.7% 10.5% 52.9% 42.4% 38.9% 8.0% 3.5% 3.5M -47.9M -1.8M 0.35 10.50 N/A N/A 3,887 1,361 229,594 164,350 2008-08-20 $24.30 $22.50 36.3% 10.4% 52.6% 41.3% 40.8% 7.4% 2.0% 3.9M -68.5M -1.8M 0.79 11.39 N/A N/A 4,898 3,893 227,557 164,662 2008-08-21 $24.57 $22.50 34.8% 10.0% 49.7% 36.8% 35.3% 8.6% 4.4% 4.2M -81.2M -1.9M 0.69 10.81 N/A N/A 2,722 1,866 227,847 165,882 2008-08-22 $24.86 $22.50 33.8% 9.7% 48.5% 34.0% 33.5% 7.5% 4.0% 4.5M -95.1M -1.9M 0.55 7.55 N/A N/A 2,280 1,264 228,921 166,914 2008-08-25 $24.14 $22.50 34.6% 9.9% 49.6% 36.4% 36.2% 7.6% 4.1% 4.0M -60.6M -1.8M 0.42 9.21 N/A N/A 2,290 951 229,868 167,291 2008-08-26 $24.56 $22.50 33.7% 9.7% 47.0% 30.7% 34.9% 10.0% 4.1% 4.4M -76.1M -1.8M 0.52 8.22 N/A N/A 1,839 964 229,776 167,345 2008-08-27 $24.60 $22.50 32.9% 9.4% 46.6% 26.9% 33.7% 8.4% 4.3% 4.5M -79.5M -1.8M 0.34 6.32 N/A N/A 2,586 883 230,166 167,550 2008-08-28 $24.90 $22.50 32.0% 9.2% 46.1% 23.9% 33.5% 9.4% 4.5% 5.1M -94.1M -1.8M 1.32 6.51 N/A N/A 2,358 3,120 231,487 167,751 2008-08-29 $24.64 $22.50 32.5% 9.3% 46.5% 25.4% 35.4% 5.5% 3.3% 5.0M -82.1M -1.8M 2.03 9.32 N/A N/A 888 1,802 231,557 169,880
« Jul 2008 | All History | Sep 2008 » Home LOW History August 2008