LOW Options History — September 2008 In September 2008, LOW traded between $22.69 and $27.36. ATM implied volatility averaged 49.0%, placing in the 70.9% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 7.7% (HV 20d: 56.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.93.
Notable Days 2008-09-02 : Highest Volume — 22,818 contracts2008-09-29 : Largest IV spike — 41.8% change2008-09-17 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 20.4%Monthly Statistics Metric Avg Min Max Open Close Price $24.80 $22.69 $27.36 $26.33 $23.69 Max Pain $23.21 $22.50 $25.00 $22.50 $25.00 ATM IV 49.0% 32.1% 71.1% 32.5% 60.7% Expected Move 14.1% 9.2% 20.4% 9.3% 17.4% HV 20d 56.7% 46.5% 70.1% 50.6% 66.5% HV 60d 51.2% 46.4% 56.5% 46.4% 56.5% IV Rank 70.9% 24.2% 100.0% 25.5% 77.9% IV Percentile 83.7% 19.0% 100.0% 23.4% 99.6% Term Structure -1.9% -8.7% 3.2% 3.2% -3.2% VWIV 49.2% 34.1% 70.9% 37.3% 56.7% Skew 25d 8.7% 5.6% 12.0% 8.6% 6.3% Skew 10d 18.5% 6.8% 31.0% 22.7% 6.8% Call IV 25d 45.4% 27.3% 64.4% 31.0% 56.0% Put IV 25d 54.1% 38.9% 76.4% 39.6% 62.3% Bid-Ask Spread % 12.67 5.80 21.42 5.80 14.35 Gamma HHI 0.27 0.17 0.36 0.33 0.18 Net GEX 3.5M 642.9K 5.9M 5.6M 1.0M Net DEX -78.0M -248.1M 44.7M -188.2M 4.4M Net VEX -1.8M -2.0M -1.6M -1.9M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.32 3.44 0.77 1.18 Total Volume 11,951.857 2,542 22,818 22,818 2,542 Total OI 408,744.333 368,909 439,184 402,471 374,812
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 2008-09-02 $26.33 $22.50 32.5% 9.3% 50.6% 25.5% 37.3% 8.6% 3.2% 5.6M -188.2M -1.9M 0.77 5.80 N/A N/A 12,888 9,930 231,607 170,864 2008-09-03 $26.71 $22.50 32.1% 9.2% 48.9% 24.2% 34.1% 11.6% 3.2% 5.3M -211.5M -1.9M 0.33 5.92 N/A N/A 10,010 3,282 234,374 176,944 2008-09-04 $25.77 $22.50 39.6% 11.3% 51.2% 47.6% 37.9% 7.3% 0.7% 5.3M -152.5M -1.9M 0.67 17.01 N/A N/A 2,928 1,953 238,008 178,357 2008-09-05 $25.75 $22.50 38.7% 11.6% 50.6% 44.9% 40.1% 7.5% 1.1% 5.3M -146.1M -1.9M 3.44 10.95 N/A N/A 4,425 15,236 238,172 178,321 2008-09-08 $27.36 $22.50 39.6% 11.2% 46.5% 47.6% 39.2% 9.6% 0.7% 5.1M -248.1M -2.0M 0.63 12.95 N/A N/A 12,390 7,841 239,121 187,212 2008-09-09 $25.65 $22.50 46.2% 13.0% 51.4% 68.4% 44.7% 7.8% -2.0% 5.2M -145.6M -1.9M 0.61 7.16 N/A N/A 8,921 5,410 244,022 187,258 2008-09-10 $25.23 $22.50 44.9% 12.8% 51.8% 64.2% 44.2% 8.2% -0.9% 5.3M -113.2M -1.9M 0.94 12.13 N/A N/A 3,426 3,226 247,667 186,900 2008-09-11 $25.28 $22.50 43.6% 12.5% 49.2% 60.1% 42.9% 8.9% -0.6% 5.8M -113.1M -1.9M 1.02 14.16 N/A N/A 3,842 3,919 246,674 186,820 2008-09-12 $25.42 $22.50 44.8% 12.9% 48.2% 64.0% 43.3% 9.3% -1.1% 5.9M -121.5M -1.9M 0.32 9.60 N/A N/A 6,587 2,096 247,105 187,830 2008-09-15 $24.52 $22.50 50.4% 14.5% 49.1% 81.5% 50.7% 10.3% -4.2% 4.6M -68.2M -1.8M 0.56 7.83 N/A N/A 13,241 7,481 246,093 187,950 2008-09-16 $24.40 $22.50 50.7% 14.5% 49.1% 82.3% 51.2% 10.3% -3.3% 4.1M -53.6M -1.8M 0.39 18.65 N/A N/A 14,804 5,770 248,008 191,176 2008-09-17 $22.69 $22.50 57.9% 16.6% 54.7% 100.0% 59.2% 7.7% -7.5% 918.8K 44.7M -1.6M 0.85 10.00 N/A N/A 9,951 8,465 246,006 189,479 2008-09-18 $24.07 $22.50 52.1% 14.9% 58.5% 82.7% 54.0% 8.4% -5.8% 3.4M -28.0M -1.8M 0.53 17.60 N/A N/A 8,024 4,253 242,088 189,020 2008-09-19 $25.53 $22.50 54.1% 15.5% 62.1% 88.5% 53.7% 10.6% -7.3% 3.9M -135.2M -1.8M 0.56 11.58 N/A N/A 12,137 6,809 237,019 187,499 2008-09-22 $23.79 $22.50 55.0% 15.8% 67.1% 91.2% 56.6% 8.6% -2.3% 1.2M -297.4K -1.7M 0.85 19.24 N/A N/A 8,723 7,446 201,235 167,674 2008-09-23 $23.62 $25.00 59.1% 16.9% 66.3% 100.0% 56.6% 9.4% -3.2% 1.1M 10.3M -1.7M 1.01 13.86 N/A N/A 2,354 2,384 204,875 170,616 2008-09-24 $23.67 $25.00 57.2% 16.4% 66.0% 94.5% 51.9% 9.6% -2.1% 954.2K 12.1M -1.7M 0.37 16.19 N/A N/A 3,243 1,200 200,041 171,801 2008-09-25 $23.88 $25.00 48.8% 14.0% 66.1% 70.4% 56.9% 6.1% 1.7% 1.1M 3.2M -1.7M 2.43 8.05 N/A N/A 1,672 4,071 200,493 171,838 2008-09-26 $24.46 $25.00 50.1% 14.4% 66.5% 74.3% 51.5% 5.6% 0.9% 1.4M -17.5M -1.7M 0.87 11.66 N/A N/A 2,312 2,022 200,369 173,477 2008-09-29 $22.96 $25.00 71.1% 20.4% 70.1% 100.0% 70.9% 12.0% -8.7% 642.9K 30.1M -1.6M 1.27 21.42 N/A N/A 1,666 2,109 201,181 173,625 2008-09-30 $23.69 $25.00 60.7% 17.4% 66.5% 77.9% 56.7% 6.3% -3.2% 1.0M 4.4M -1.6M 1.18 14.35 N/A N/A 1,168 1,374 201,422 173,390
« Aug 2008 | All History | Oct 2008 » Home LOW History September 2008