LOW Options History — February 2009

In February 2009, LOW traded between $15.09 and $19.24. ATM implied volatility averaged 62.9%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 14.4% (HV 20d: 48.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.87.

Notable Days

  • 2009-02-06: Highest Volume — 38,625 contracts
  • 2009-02-10: Largest IV spike — 13.4% change
  • 2009-02-10: Highest IV Rank — 52.8%
  • 2009-02-02: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.38$15.09$19.24$18.41$15.84
Max Pain$18.82$17.50$20.00$20.00$17.50
ATM IV62.9%58.0%73.3%68.6%58.7%
Expected Move17.5%15.7%19.7%19.7%16.8%
HV 20d48.4%42.2%51.4%48.1%51.0%
HV 60d59.7%50.4%65.9%65.9%50.4%
IV Rank41.5%36.2%52.8%47.7%37.0%
IV Percentile73.8%63.9%85.3%81.7%64.3%
Term Structure-3.6%-6.9%-1.3%-6.9%-3.0%
VWIV60.1%50.3%70.7%67.2%53.9%
Skew 25d10.1%6.0%14.1%10.5%10.0%
Skew 10d21.3%13.0%40.7%21.8%29.0%
Call IV 25d56.5%50.5%63.2%63.2%50.8%
Put IV 25d66.5%60.4%73.9%73.7%60.8%
Bid-Ask Spread %9.175.7015.5412.138.32
Gamma HHI0.280.210.400.220.31
Net GEX-422.4K-1.1M-5.6K-572.0K-142.4K
Net DEX63.3M43.1M104.1M54.4M59.9M
Net VEX-694.4K-841.1K-531.5K-750.4K-591.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.193.080.700.33
Total Volume11,446.0532,29138,6253,8833,492
Total OI252,614.105229,657284,908236,000248,137

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$18.41$20.0068.6%19.7%48.1%47.7%67.2%10.5%-6.9%-572.0K54.4M-750.4K0.7012.13N/AN/A2,2781,605118,735117,265
2009-02-03$18.94$20.0059.5%17.1%49.3%37.9%61.8%9.4%-4.8%-443.4K46.3M-788.4K3.0810.46N/AN/A1,4944,605116,231117,138
2009-02-04$18.41$20.0066.1%18.9%49.6%45.0%61.6%8.5%-4.8%-672.7K56.9M-746.3K0.548.90N/AN/A1,850993116,340118,303
2009-02-05$18.83$20.0059.2%17.0%50.0%37.6%65.4%11.6%-4.6%-566.4K51.1M-774.6K1.359.25N/AN/A9731,318117,052118,923
2009-02-06$19.24$20.0060.7%15.7%51.1%39.2%54.7%12.4%-2.1%-414.5K43.1M-785.7K0.847.46N/AN/A21,03517,590117,176119,573
2009-02-09$19.01$17.5064.6%16.1%50.0%43.4%56.8%10.3%-4.9%-252.9K47.3M-841.1K0.687.43N/AN/A12,5458,511131,639129,857
2009-02-10$18.19$17.5073.3%17.8%49.7%52.8%59.7%11.2%-3.8%-70.1K49.8M-801.1K0.378.68N/AN/A6,5772,446143,919124,503
2009-02-11$18.27$20.0069.3%17.3%49.8%48.4%58.2%10.3%-1.9%-252.4K55.1M-782.6K0.4410.23N/AN/A4,9142,140140,954125,164
2009-02-12$18.53$20.0060.6%17.4%48.7%39.1%57.7%10.7%-2.2%-5.6K47.2M-796.8K0.7412.23N/AN/A3,4322,554142,296124,091
2009-02-13$17.80$20.0058.6%16.8%46.4%36.9%59.3%9.1%-2.3%-495.8K63.6M-737.9K1.249.47N/AN/A1,7162,130143,742125,095
2009-02-17$17.07$20.0063.2%18.1%46.4%41.9%64.2%8.3%-5.3%-775.4K77.7M-692.3K0.708.42N/AN/A2,7151,901144,326126,655
2009-02-18$16.89$20.0061.4%17.6%43.0%40.0%61.5%8.1%-3.3%-1.1M86.0M-670.4K0.287.92N/AN/A7,1311,970144,604127,298
2009-02-19$16.98$17.5060.0%17.2%42.2%38.5%61.2%6.0%-3.3%-920.0K82.7M-654.7K0.358.86N/AN/A11,9454,240149,873127,705
2009-02-20$15.86$17.5066.0%18.9%46.9%44.9%63.1%11.1%-4.1%-302.6K104.1M-580.6K1.1415.54N/AN/A10,10011,523155,506129,402
2009-02-23$15.09$17.5066.3%19.0%48.7%45.2%70.7%11.7%-3.1%-264.1K73.0M-531.5K0.975.75N/AN/A3,8783,767122,625107,032
2009-02-24$15.61$17.5062.1%17.8%49.3%40.7%59.9%14.1%-3.9%-261.0K68.4M-567.3K0.747.70N/AN/A17,56512,968124,273108,465
2009-02-25$15.37$17.5058.0%16.6%48.7%36.2%55.4%8.2%-1.3%-321.1K70.8M-535.0K1.769.70N/AN/A3,6696,444124,390111,206
2009-02-26$15.92$17.5058.4%16.7%51.4%36.7%50.3%9.9%-2.4%-205.5K64.8M-565.7K0.195.70N/AN/A11,3332,128125,394114,781
2009-02-27$15.84$17.5058.7%16.8%51.0%37.0%53.9%10.0%-3.0%-142.4K59.9M-591.4K0.338.32N/AN/A2,629863132,324115,813