LOW Options History — December 2008 In December 2008, LOW traded between $19.00 and $22.98. ATM implied volatility averaged 64.4%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 14.0% (HV 20d: 78.5%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.75.
Notable Days 2008-12-04 : Highest Volume — 30,769 contracts2008-12-30 : Largest IV drop — 17.9% change2008-12-01 : Highest IV Rank — 61.4%2008-12-01 : Largest Expected Move — 23.3%Monthly Statistics Metric Avg Min Max Open Close Price $21.68 $19.00 $22.98 $19.00 $21.52 Max Pain $24.09 $20.00 $25.00 $20.00 $25.00 ATM IV 64.4% 47.7% 81.3% 81.3% 47.7% Expected Move 18.4% 13.7% 23.3% 23.3% 13.7% HV 20d 78.5% 48.5% 94.4% 91.8% 48.5% HV 60d 82.2% 79.4% 84.5% 83.7% 79.4% IV Rank 43.2% 25.2% 61.4% 61.4% 25.2% IV Percentile 79.9% 66.7% 90.1% 90.1% 66.7% Term Structure 1.8% -1.8% 7.9% -1.8% 7.9% VWIV 65.8% 53.8% 81.1% 81.1% 54.2% Skew 25d 15.9% 9.9% 21.4% 21.2% 10.8% Skew 10d 33.5% 20.1% 49.9% 44.7% 20.9% Call IV 25d 58.8% 47.5% 78.4% 78.4% 47.5% Put IV 25d 74.7% 58.3% 99.5% 99.5% 58.3% Bid-Ask Spread % 10.86 5.15 13.53 12.24 8.30 Gamma HHI 0.21 0.15 0.44 0.24 0.17 Net GEX 349.6K -721.9K 2.5M -721.9K -36.4K Net DEX 51.6M -17.5M 118.7M 118.7M 89.3M Net VEX -1.2M -1.4M -979.5K -1.1M -990.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.33 2.12 0.59 0.80 Total Volume 9,490.091 1,207 30,769 9,143 9,698 Total OI 410,807.864 378,592 438,750 390,662 389,055
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 2008-12-01 $19.00 $20.00 81.3% 23.3% 91.8% 61.4% 81.1% 21.2% -1.8% -721.9K 118.7M -1.1M 0.59 12.24 N/A N/A 5,744 3,399 184,423 206,239 2008-12-02 $19.75 $20.00 76.5% 21.9% 91.8% 56.2% 77.2% 20.2% 0.7% -476.8K 102.8M -1.1M 0.41 11.52 N/A N/A 4,938 2,017 186,218 205,889 2008-12-03 $21.26 $20.00 70.3% 20.1% 94.4% 49.5% 80.8% 21.4% 1.2% -163.8K 59.1M -1.2M 1.24 13.30 N/A N/A 10,033 12,411 186,967 206,553 2008-12-04 $21.48 $20.00 75.8% 21.7% 92.4% 55.5% 77.3% 18.4% -1.6% -143.5K 49.3M -1.3M 0.33 11.89 N/A N/A 23,190 7,579 190,968 211,917 2008-12-05 $22.34 $25.00 71.6% 20.5% 89.0% 51.0% 77.1% 18.5% -1.4% 340.6K 9.8M -1.4M 0.83 12.53 N/A N/A 9,445 7,886 202,429 216,223 2008-12-08 $22.86 $25.00 75.0% 20.2% 88.8% 54.7% 68.9% 16.6% -0.2% 601.4K -9.5M -1.4M 0.72 10.56 N/A N/A 4,876 3,523 207,272 219,701 2008-12-09 $22.09 $25.00 71.2% 19.4% 89.8% 50.5% 65.4% 17.2% 0.6% 362.4K 27.2M -1.3M 0.80 13.52 N/A N/A 7,719 6,200 208,471 221,472 2008-12-10 $22.79 $25.00 67.3% 19.6% 89.7% 46.3% 66.8% 16.2% -1.0% 714.5K -656.2K -1.4M 0.67 13.53 N/A N/A 3,005 2,001 213,975 222,429 2008-12-11 $21.52 $25.00 67.5% 19.4% 91.3% 46.6% 70.6% 16.2% 0.8% 470.5K 42.7M -1.3M 1.12 12.69 N/A N/A 4,393 4,926 213,861 220,328 2008-12-12 $21.99 $25.00 67.2% 19.3% 88.3% 46.2% 68.5% 17.6% 0.5% 787.6K 23.3M -1.3M 0.34 13.15 N/A N/A 4,166 1,406 214,879 220,869 2008-12-15 $21.94 $25.00 67.8% 19.5% 82.6% 46.9% 65.9% 17.3% 0.8% 678.6K 26.7M -1.2M 0.75 12.40 N/A N/A 2,549 1,916 213,536 220,941 2008-12-16 $22.54 $25.00 63.4% 18.2% 82.0% 42.1% 74.0% 14.7% 3.1% 1.0M 6.1M -1.2M 1.05 10.69 N/A N/A 5,106 5,352 213,685 220,731 2008-12-17 $22.98 $25.00 60.6% 17.4% 82.1% 39.1% 60.5% 11.9% 4.5% 1.5M -17.5M -1.3M 0.36 8.67 N/A N/A 4,391 1,595 216,527 220,634 2008-12-18 $22.70 $25.00 57.9% 16.6% 78.7% 36.2% 57.6% 9.9% 5.2% 1.7M -5.8M -1.2M 0.46 9.43 N/A N/A 3,545 1,634 217,177 220,652 2008-12-19 $22.54 $25.00 54.0% 15.5% 73.1% 32.0% 60.6% 14.0% 7.1% 2.5M 23.4M -1.1M 0.48 7.20 N/A N/A 11,095 5,341 218,095 220,655 2008-12-22 $21.35 $25.00 53.8% 15.4% 77.0% 31.8% 61.5% 15.5% 3.5% -82.4K 89.7M -1.1M 2.12 9.19 N/A N/A 3,384 7,187 191,679 186,913 2008-12-23 $21.11 $25.00 59.7% 17.1% 64.1% 38.1% 57.5% 14.2% 1.3% -288.8K 98.9M -1.0M 0.60 9.53 N/A N/A 3,077 1,836 192,484 190,986 2008-12-24 $21.24 $25.00 59.8% 17.1% 61.5% 38.2% 53.8% 13.6% -0.2% -231.5K 95.3M -1.0M 0.88 11.63 N/A N/A 643 564 193,112 191,591 2008-12-26 $21.13 $25.00 59.1% 17.0% 60.2% 37.5% 55.1% 15.7% 0.3% -337.2K 104.8M -1.0M 0.74 11.00 N/A N/A 803 592 193,230 192,247 2008-12-29 $21.25 $25.00 60.4% 17.3% 59.2% 38.9% 56.0% 15.0% 1.9% -315.7K 104.4M -982.1K 0.62 10.78 N/A N/A 3,068 1,898 193,196 192,502 2008-12-30 $21.52 $25.00 49.6% 14.2% 50.0% 27.2% 58.0% 13.9% 6.6% -154.0K 97.3M -979.5K 0.48 5.15 N/A N/A 3,133 1,518 194,285 192,777 2008-12-31 $21.52 $25.00 47.7% 13.7% 48.5% 25.2% 54.2% 10.8% 7.9% -36.4K 89.3M -990.1K 0.80 8.30 N/A N/A 5,389 4,309 196,110 192,945
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