LOW Options History — January 2009

In January 2009, LOW traded between $18.27 and $22.96. ATM implied volatility averaged 57.6%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 12.3% (HV 20d: 45.4%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2009-01-13: Highest Volume — 42,506 contracts
  • 2009-01-09: Largest IV spike — 31.7% change
  • 2009-01-12: Highest IV Rank — 46.2%
  • 2009-01-30: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.71$18.27$22.96$22.64$18.27
Max Pain$22.25$20.00$25.00$25.00$20.00
ATM IV57.6%45.1%67.2%48.4%64.8%
Expected Move16.8%13.9%18.6%13.9%18.6%
HV 20d45.4%39.7%52.4%44.7%52.4%
HV 60d73.9%66.2%79.1%79.1%66.5%
IV Rank35.9%22.4%46.2%26.0%43.6%
IV Percentile72.8%55.2%80.6%67.1%79.0%
Term Structure-0.6%-3.1%7.1%7.1%-2.8%
VWIV58.8%49.8%64.5%54.7%62.3%
Skew 25d11.5%8.0%15.0%11.4%10.7%
Skew 10d23.5%13.0%33.5%26.9%13.0%
Call IV 25d53.8%45.1%60.2%45.1%59.3%
Put IV 25d65.3%56.5%70.7%56.5%70.0%
Bid-Ask Spread %10.826.5819.756.589.37
Gamma HHI0.200.150.330.180.21
Net GEX-175.9K-1.7M813.1K508.1K-532.2K
Net DEX69.6M7.0M221.1M52.3M54.9M
Net VEX-909.0K-1.0M-750.0K-1.0M-750.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.194.630.891.02
Total Volume11,961.953,10542,5065,7778,813
Total OI328,429.65198,876447,163394,657232,628

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$22.64$25.0048.4%13.9%44.7%26.0%54.7%11.4%7.1%508.1K52.3M-1.0M0.896.58N/AN/A3,0502,727199,854194,803
2009-01-05$22.96$22.5052.4%16.4%44.8%30.3%55.1%13.2%-1.1%632.4K42.2M-1.0M1.2313.18N/AN/A2,0902,568200,926196,073
2009-01-06$22.96$22.5047.6%14.9%42.8%25.0%51.1%13.8%0.8%813.1K42.4M-1.0M0.789.74N/AN/A15,84612,292201,457197,106
2009-01-07$22.13$22.5048.1%15.3%44.0%25.7%49.8%15.0%1.0%621.0K76.6M-1.0M0.628.84N/AN/A1,9151,190213,235206,775
2009-01-08$21.95$22.5045.1%15.1%42.4%22.4%53.4%14.1%1.2%488.0K90.7M-999.7K0.2910.82N/AN/A6,2681,834213,455206,570
2009-01-09$21.19$22.5059.4%17.2%42.4%37.8%52.7%12.3%-1.3%-90.1K109.8M-964.5K0.1913.62N/AN/A9,7171,889212,919207,109
2009-01-12$20.23$22.5067.2%17.3%40.7%46.2%60.5%8.0%-3.1%-926.5K142.2M-880.5K0.8119.75N/AN/A9,0557,321216,781207,273
2009-01-13$20.30$22.5060.5%17.7%39.7%39.0%61.3%10.1%-1.9%-1.3M144.1M-870.2K4.6311.07N/AN/A7,55434,952209,750210,884
2009-01-14$19.56$22.5061.1%18.2%41.4%39.6%63.2%10.7%-2.6%-1.7M221.1M-849.1K0.8710.73N/AN/A3,2052,790207,368239,795
2009-01-15$20.54$22.5061.5%17.6%44.4%40.1%62.1%12.0%-1.2%-1.3M132.9M-887.4K0.8310.23N/AN/A6,0464,991208,306214,347
2009-01-16$21.04$22.5060.7%17.4%44.7%39.2%63.9%11.1%-1.3%-14.1K117.2M-895.3K0.2711.92N/AN/A9,7592,592207,130215,338
2009-01-20$19.87$22.5063.7%18.3%48.5%42.4%64.5%10.6%-1.7%-90.8K20.0M-838.9K1.328.09N/AN/A3,9035,169100,60298,274
2009-01-21$20.25$22.5060.8%17.4%49.3%39.3%61.8%12.2%0.4%-33.2K15.3M-853.3K0.5711.90N/AN/A10,8136,195102,388101,465
2009-01-22$20.29$22.5060.6%17.4%45.8%39.1%61.5%11.3%0.1%45.9K12.4M-880.1K0.589.21N/AN/A3,3581,958108,000105,151
2009-01-23$20.05$22.5058.9%16.9%45.8%37.2%60.5%10.7%1.0%-12.1K17.6M-875.6K0.799.02N/AN/A2,9332,320110,175106,046
2009-01-26$20.65$22.5060.1%17.2%47.2%38.5%61.0%11.3%-1.8%183.0K7.0M-895.0K1.0511.44N/AN/A8,2248,621111,914107,626
2009-01-27$19.94$22.5058.8%16.8%48.6%37.1%60.3%10.9%-2.0%-78.8K22.1M-924.5K0.917.97N/AN/A4,2033,828119,393115,599
2009-01-28$19.94$20.0056.3%16.1%48.6%34.4%57.9%11.1%-1.3%-246.3K31.8M-862.9K2.549.62N/AN/A9072,304113,747117,631
2009-01-29$19.37$20.0056.8%16.3%49.0%35.0%57.8%9.7%-2.2%-371.3K40.3M-834.5K0.7113.35N/AN/A9,3676,672113,930116,770
2009-01-30$18.27$20.0064.8%18.6%52.4%43.6%62.3%10.7%-2.8%-532.2K54.9M-750.0K1.029.37N/AN/A4,3594,454117,978114,650