LOW Options History — November 2008 In November 2008, LOW traded between $16.82 and $21.62. ATM implied volatility averaged 82.8%, placing in the 63.0% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded below realized volatility by 9.9% (HV 20d: 92.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 2.17.
Notable Days 2008-11-14 : Highest Volume — 51,519 contracts2008-11-13 : Largest IV drop — 26.3% change2008-11-12 : Highest IV Rank — 81.9%2008-11-20 : Largest Expected Move — 27.9%Monthly Statistics Metric Avg Min Max Open Close Price $19.39 $16.82 $21.62 $20.69 $20.66 Max Pain $20.00 $20.00 $20.00 $20.00 $20.00 ATM IV 82.8% 63.1% 100.3% 85.2% 72.5% Expected Move 23.0% 18.1% 27.9% 24.4% 20.8% HV 20d 92.7% 85.4% 104.5% 93.6% 91.7% HV 60d 75.6% 70.8% 82.3% 70.8% 82.0% IV Rank 63.0% 41.8% 81.9% 65.6% 51.9% IV Percentile 93.3% 84.1% 98.8% 95.6% 86.5% Term Structure -2.6% -12.2% 5.2% -10.0% 0.5% VWIV 82.9% 64.6% 105.4% 83.7% 73.5% Skew 25d 21.0% 16.8% 27.2% 20.6% 22.0% Skew 10d 41.5% 33.5% 52.0% 43.9% 41.1% Call IV 25d 71.8% 60.8% 88.4% 71.9% 61.5% Put IV 25d 92.8% 77.5% 113.4% 92.5% 83.4% Bid-Ask Spread % 13.53 9.67 21.77 9.77 16.09 Gamma HHI 0.20 0.13 0.35 0.14 0.19 Net GEX -502.9K -1.4M 212.4K 124.3K -389.2K Net DEX 101.7M 44.2M 161.9M 59.2M 83.6M Net VEX -1.2M -1.4M -1.0M -1.3M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.17 0.53 10.02 1.32 1.70 Total Volume 13,509.632 1,188 51,519 6,385 1,188 Total OI 381,154.474 363,313 410,247 364,154 390,937
Daily Data (19 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 2008-11-03 $20.69 $20.00 85.2% 24.4% 93.6% 65.6% 83.7% 20.6% -10.0% 124.3K 59.2M -1.3M 1.32 9.77 N/A N/A 2,755 3,630 186,426 177,728 2008-11-04 $21.62 $20.00 72.1% 20.7% 92.2% 51.5% 80.8% 18.6% -8.2% 212.4K 44.2M -1.4M 4.21 11.09 N/A N/A 1,084 4,565 185,294 178,019 2008-11-05 $20.51 $20.00 80.9% 23.2% 94.0% 61.0% 86.7% 18.6% -8.4% -62.2K 72.7M -1.3M 0.83 14.29 N/A N/A 2,115 1,747 185,501 178,552 2008-11-06 $19.10 $20.00 87.6% 25.1% 96.1% 68.2% 89.4% 19.0% -12.2% -252.4K 102.0M -1.2M 0.55 14.72 N/A N/A 2,117 1,170 186,605 178,684 2008-11-07 $19.66 $20.00 82.2% 20.8% 96.2% 62.4% 69.0% 18.3% -1.7% -168.6K 90.0M -1.2M 0.64 14.43 N/A N/A 1,995 1,278 186,805 178,551 2008-11-10 $19.42 $20.00 83.6% 21.2% 87.7% 63.8% 70.4% 21.5% -1.1% -227.8K 98.7M -1.1M 1.06 15.11 N/A N/A 1,407 1,491 186,939 178,698 2008-11-11 $19.05 $20.00 86.1% 21.3% 86.7% 66.6% 74.0% 20.3% -2.8% -292.5K 107.3M -1.1M 0.56 10.78 N/A N/A 3,102 1,740 187,653 179,248 2008-11-12 $18.35 $20.00 100.3% 24.5% 85.4% 81.9% 79.7% 21.8% -2.5% -393.1K 118.4M -1.0M 3.29 13.09 N/A N/A 2,452 8,062 187,265 179,394 2008-11-13 $19.73 $20.00 73.9% 21.2% 89.1% 53.4% 77.3% 19.4% -0.7% -86.8K 89.6M -1.1M 0.73 21.77 N/A N/A 7,844 5,694 187,621 178,403 2008-11-14 $18.23 $20.00 89.8% 25.7% 91.9% 70.5% 88.0% 20.2% -5.2% -347.6K 115.6M -1.1M 5.65 11.86 N/A N/A 7,746 43,773 189,815 181,697 2008-11-17 $18.99 $20.00 83.5% 23.9% 92.8% 63.8% 88.5% 24.3% -4.3% -1.1M 117.1M -1.2M 1.21 10.38 N/A N/A 12,803 15,477 192,063 208,542 2008-11-18 $19.10 $20.00 80.4% 23.1% 92.3% 60.5% 89.4% 22.1% -0.9% -1.3M 120.3M -1.2M 1.65 9.67 N/A N/A 4,990 8,254 193,872 214,688 2008-11-19 $18.04 $20.00 94.0% 26.9% 93.1% 75.1% 96.8% 23.0% -0.3% -1.4M 139.8M -1.1M 10.02 16.69 N/A N/A 3,008 30,144 191,528 215,965 2008-11-20 $16.82 $20.00 97.3% 27.9% 96.3% 78.6% 103.9% 25.0% -1.2% -1.1M 158.8M -1.0M 2.81 14.01 N/A N/A 2,875 8,082 192,035 217,423 2008-11-21 $17.15 $20.00 93.0% 26.7% 94.9% 74.0% 105.4% 27.2% -0.8% -1.2M 161.9M -1.0M 2.77 17.07 N/A N/A 3,467 9,600 191,230 219,017 2008-11-24 $19.46 $20.00 74.4% 21.3% 104.5% 54.0% 78.3% 21.0% 3.5% -781.9K 106.2M -1.2M 0.53 13.57 N/A N/A 12,324 6,534 175,094 205,130 2008-11-25 $20.51 $20.00 72.8% 20.9% 91.2% 52.2% 75.2% 19.0% 1.5% -500.6K 83.1M -1.2M 0.88 11.75 N/A N/A 8,069 7,129 179,624 206,381 2008-11-26 $21.26 $20.00 63.1% 18.1% 91.8% 41.8% 64.6% 16.8% 5.2% -323.2K 62.8M -1.3M 0.86 10.87 N/A N/A 9,149 7,823 181,854 207,654 2008-11-28 $20.66 $20.00 72.5% 20.8% 91.7% 51.9% 73.5% 22.0% 0.5% -389.2K 83.6M -1.2M 1.70 16.09 N/A N/A 440 748 184,761 206,176
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