LOW Options History — October 2008 In October 2008, LOW traded between $16.85 and $23.23. ATM implied volatility averaged 83.8%, placing in the 74.9% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 11.7% (HV 20d: 72.1%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.30.
Notable Days 2008-10-31 : Highest Volume — 29,844 contracts2008-10-06 : Largest IV spike — 25.2% change2008-10-06 : Highest IV Rank — 100.0%2008-10-10 : Largest Expected Move — 26.9%Monthly Statistics Metric Avg Min Max Open Close Price $19.47 $16.85 $23.23 $23.23 $21.70 Max Pain $21.09 $20.00 $25.00 $25.00 $20.00 ATM IV 83.8% 62.1% 117.1% 62.1% 76.7% Expected Move 22.8% 17.8% 26.9% 17.8% 22.0% HV 20d 72.1% 62.1% 93.0% 66.2% 93.0% HV 60d 62.0% 56.3% 72.3% 56.3% 72.3% IV Rank 74.9% 48.8% 100.0% 80.7% 56.5% IV Percentile 97.9% 93.3% 100.0% 99.6% 93.3% Term Structure -7.3% -13.9% -2.1% -2.2% -6.4% VWIV 79.8% 61.8% 95.1% 61.8% 83.3% Skew 25d 16.2% 5.7% 22.9% 5.7% 22.9% Skew 10d 29.5% -1.6% 44.8% -1.6% 44.8% Call IV 25d 72.5% 58.7% 84.8% 58.7% 69.8% Put IV 25d 88.7% 64.4% 103.6% 64.4% 92.8% Bid-Ask Spread % 14.95 8.52 21.71 13.48 20.91 Gamma HHI 0.16 0.13 0.24 0.16 0.13 Net GEX -94.5K -740.7K 981.8K 686.9K 232.7K Net DEX 102.5M 28.8M 152.3M 28.8M 32.6M Net VEX -1.2M -1.6M -967.2K -1.6M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.30 0.04 3.55 0.04 0.87 Total Volume 11,171.13 3,921 29,844 20,579 29,844 Total OI 368,669.217 316,312 413,027 375,542 353,199
Daily Data (23 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 2008-10-01 $23.23 $25.00 62.1% 17.8% 66.2% 80.7% 61.8% 5.7% -2.2% 686.9K 28.8M -1.6M 0.04 13.48 N/A N/A 19,703 876 201,421 174,121 2008-10-02 $22.43 $22.50 67.1% 19.2% 66.2% 91.5% 71.1% 7.0% -2.4% 981.8K 37.9M -1.6M 3.55 14.39 N/A N/A 862 3,059 210,612 174,359 2008-10-03 $21.52 $22.50 66.3% 19.0% 67.3% 89.9% 66.3% 8.8% -2.1% 626.1K 71.4M -1.5M 1.53 11.75 N/A N/A 1,953 2,981 211,796 174,123 2008-10-06 $20.70 $22.50 83.1% 21.4% 62.7% 100.0% 76.1% 13.5% -10.3% 328.7K 92.0M -1.4M 2.43 14.71 N/A N/A 3,382 8,214 211,868 174,921 2008-10-07 $19.53 $22.50 80.7% 21.4% 62.1% 96.0% 74.1% 13.4% -9.8% -93.2K 123.4M -1.2M 1.48 18.83 N/A N/A 2,411 3,572 212,754 176,079 2008-10-08 $19.12 $22.50 86.4% 21.9% 62.1% 100.0% 77.6% 13.2% -9.0% -262.8K 131.7M -1.2M 1.58 19.97 N/A N/A 2,517 3,971 212,789 176,972 2008-10-09 $18.25 $22.50 104.9% 25.3% 62.9% 100.0% 85.9% 15.4% -12.9% -343.3K 135.2M -1.1M 1.65 21.02 N/A N/A 5,813 9,588 213,511 177,659 2008-10-10 $17.90 $22.50 117.1% 26.9% 62.3% 100.0% 95.1% 18.0% -13.9% -351.4K 133.3M -1.2M 1.60 21.71 N/A N/A 5,206 8,322 216,161 183,423 2008-10-13 $20.00 $22.50 88.2% 22.5% 76.7% 68.8% 78.4% 16.1% -10.1% -73.1K 114.7M -1.3M 0.74 14.87 N/A N/A 12,916 9,585 216,279 184,674 2008-10-14 $19.17 $20.00 86.7% 21.7% 77.5% 67.2% 76.6% 16.0% -8.1% -705.5K 141.5M -1.2M 0.70 17.77 N/A N/A 5,308 3,726 221,848 188,084 2008-10-15 $18.14 $20.00 102.8% 25.0% 76.0% 84.6% 86.9% 17.3% -11.1% -740.7K 152.3M -1.1M 1.54 12.95 N/A N/A 4,309 6,656 223,649 188,034 2008-10-16 $18.35 $20.00 90.6% 26.0% 71.9% 71.5% 89.8% 17.6% -12.7% -231.7K 142.1M -1.1M 1.84 11.25 N/A N/A 4,823 8,897 223,904 184,269 2008-10-17 $19.31 $20.00 78.2% 22.4% 70.9% 58.1% 79.5% 15.8% -5.9% -461.1K 130.7M -1.2M 0.86 13.03 N/A N/A 4,460 3,853 225,271 187,756 2008-10-20 $19.75 $20.00 70.3% 20.1% 68.7% 49.5% 71.6% 17.4% -3.4% -244.2K 89.8M -1.2M 0.59 12.45 N/A N/A 6,532 3,881 160,627 155,685 2008-10-21 $19.22 $20.00 69.7% 20.0% 69.0% 48.8% 68.5% 16.4% -3.7% -268.5K 101.7M -1.1M 0.48 17.32 N/A N/A 4,768 2,301 164,930 157,782 2008-10-22 $18.36 $20.00 86.8% 24.9% 69.9% 67.3% 80.7% 19.2% -8.7% -277.2K 108.4M -1.1M 0.68 12.40 N/A N/A 5,638 3,829 165,478 157,823 2008-10-23 $18.11 $20.00 87.1% 25.0% 69.5% 67.6% 84.6% 20.4% -8.4% -216.5K 108.2M -1.1M 1.35 11.48 N/A N/A 3,087 4,159 168,172 158,439 2008-10-24 $17.20 $20.00 88.4% 25.4% 69.2% 69.1% 89.7% 17.8% -6.4% -248.2K 115.8M -1.0M 1.86 8.52 N/A N/A 2,367 4,410 169,626 159,402 2008-10-27 $16.85 $20.00 90.0% 25.8% 67.1% 70.8% 89.8% 18.8% -6.0% -340.1K 121.3M -967.2K 2.68 9.09 N/A N/A 1,862 4,986 170,030 162,611 2008-10-28 $19.63 $20.00 80.1% 23.0% 88.7% 60.1% 83.8% 20.6% -3.4% -134.7K 88.0M -1.2M 0.58 14.62 N/A N/A 8,595 4,951 170,823 165,798 2008-10-29 $19.36 $20.00 81.6% 23.4% 88.6% 61.7% 81.3% 20.6% -5.2% -91.5K 85.3M -1.2M 0.24 15.76 N/A N/A 6,643 1,612 175,730 168,729 2008-10-30 $20.08 $20.00 82.3% 23.6% 89.5% 62.5% 83.2% 20.2% -6.1% 54.6K 71.9M -1.3M 1.11 15.49 N/A N/A 4,977 5,531 178,419 169,752 2008-10-31 $21.70 $20.00 76.7% 22.0% 93.0% 56.5% 83.3% 22.9% -6.4% 232.7K 32.6M -1.4M 0.87 20.91 N/A N/A 15,973 13,871 179,088 174,111
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