LOW Options History — March 2009 In March 2009, LOW traded between $13.39 and $19.12. ATM implied volatility averaged 55.6%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 4.0% (HV 20d: 59.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.80.
Notable Days 2009-03-19 : Highest Volume — 30,621 contracts2009-03-10 : Largest IV drop — 15.8% change2009-03-09 : Highest IV Rank — 47.7%2009-03-09 : Largest Expected Move — 19.6%Monthly Statistics Metric Avg Min Max Open Close Price $16.25 $13.39 $19.12 $14.70 $18.25 Max Pain $17.95 $17.50 $20.00 $17.50 $17.50 ATM IV 55.6% 46.3% 68.6% 61.4% 55.9% Expected Move 16.0% 13.3% 19.6% 17.6% 16.0% HV 20d 59.6% 51.8% 67.3% 53.3% 53.9% HV 60d 52.1% 48.9% 55.5% 51.7% 54.4% IV Rank 33.7% 23.6% 47.7% 39.9% 34.0% IV Percentile 59.4% 42.5% 81.0% 72.6% 56.0% Term Structure 0.3% -6.1% 3.4% -2.5% -0.2% VWIV 56.1% 50.0% 66.1% 62.3% 55.2% Skew 25d 10.2% 1.0% 14.4% 10.6% 10.6% Skew 10d 21.4% -8.8% 37.6% 10.6% 19.7% Call IV 25d 51.3% 45.0% 64.2% 57.1% 48.0% Put IV 25d 61.5% 54.1% 70.7% 67.7% 58.6% Bid-Ask Spread % 8.33 4.62 13.47 6.36 9.64 Gamma HHI 0.36 0.24 0.52 0.40 0.31 Net GEX 684.5K -512.2K 2.4M -342.7K 2.1M Net DEX 21.6M -81.2M 86.1M 72.7M -46.6M Net VEX -683.1K -1.0M -415.2K -521.4K -977.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.09 2.05 1.30 0.34 Total Volume 13,251 2,526 30,621 4,208 6,638 Total OI 283,018.773 248,307 322,369 248,307 322,369
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 2009-03-02 $14.70 $17.50 61.4% 17.6% 53.3% 39.9% 62.3% 10.6% -2.5% -342.7K 72.7M -521.4K 1.30 6.36 N/A N/A 1,826 2,382 132,433 115,874 2009-03-03 $14.14 $17.50 63.7% 18.3% 53.8% 42.4% 66.1% 3.0% -6.1% -437.2K 79.2M -482.7K 1.63 6.01 N/A N/A 1,677 2,730 133,102 115,964 2009-03-04 $14.16 $17.50 59.0% 16.9% 51.8% 37.3% 60.9% 1.0% -3.3% -447.9K 79.6M -469.2K 0.87 7.17 N/A N/A 1,861 1,625 133,634 115,300 2009-03-05 $13.42 $17.50 63.9% 18.3% 53.5% 42.6% 61.3% 3.4% 1.1% -467.0K 86.1M -426.2K 0.40 6.82 N/A N/A 8,335 3,314 133,981 115,376 2009-03-06 $13.39 $20.00 61.0% 18.2% 51.8% 39.5% 56.6% 13.7% -0.9% -512.2K 85.8M -415.2K 1.47 8.10 N/A N/A 1,023 1,503 136,858 116,848 2009-03-09 $13.68 $20.00 68.6% 19.6% 51.8% 47.7% 65.6% 14.4% -3.6% -500.6K 79.9M -455.0K 1.63 10.70 N/A N/A 6,769 11,033 137,305 115,571 2009-03-10 $14.63 $20.00 57.8% 16.3% 59.8% 36.1% 56.9% 14.1% 0.4% -424.7K 69.2M -508.1K 0.75 10.58 N/A N/A 5,268 3,939 139,725 118,761 2009-03-11 $15.10 $20.00 57.7% 16.6% 60.6% 35.9% 58.3% 12.0% -0.2% -245.1K 61.7M -529.0K 0.84 9.47 N/A N/A 14,224 11,886 141,110 118,576 2009-03-12 $15.61 $17.50 56.7% 16.3% 62.3% 34.9% 56.7% 12.6% -0.3% -48.8K 52.2M -593.5K 0.81 7.08 N/A N/A 6,916 5,587 151,366 127,535 2009-03-13 $15.89 $17.50 58.4% 16.7% 62.5% 36.7% 55.1% 12.9% -1.2% 80.4K 47.0M -607.6K 0.54 4.62 N/A N/A 6,963 3,773 154,971 130,045 2009-03-16 $15.46 $17.50 56.8% 16.3% 61.8% 35.0% 55.6% 11.8% 0.2% -174.4K 54.9M -578.2K 0.94 7.21 N/A N/A 2,489 2,346 156,255 131,572 2009-03-17 $16.42 $17.50 50.1% 14.4% 64.7% 27.8% 55.3% 11.8% 2.6% 431.3K 35.4M -638.4K 0.34 5.98 N/A N/A 9,821 3,303 157,010 131,358 2009-03-18 $17.19 $17.50 50.7% 14.5% 66.8% 28.4% 51.4% 10.2% 2.8% 1.1M 8.2M -712.5K 0.36 11.58 N/A N/A 16,828 6,071 163,723 131,095 2009-03-19 $17.61 $17.50 49.0% 14.1% 67.3% 26.6% 51.0% 11.5% 2.5% 1.8M -9.7M -757.1K 0.57 10.94 N/A N/A 19,496 11,125 168,826 135,070 2009-03-20 $17.03 $17.50 50.8% 14.6% 63.5% 28.5% 51.9% 13.4% 3.4% 1.5M 6.1M -750.5K 0.15 8.87 N/A N/A 20,675 3,202 176,856 142,653 2009-03-23 $18.06 $17.50 50.5% 14.5% 63.1% 28.2% 53.1% 11.4% 1.6% 1.4M -18.0M -809.1K 0.56 7.82 N/A N/A 10,917 6,081 159,630 121,371 2009-03-24 $17.85 $17.50 50.8% 14.6% 62.8% 28.5% 50.2% 7.5% 2.9% 1.5M -15.9M -820.8K 0.37 6.13 N/A N/A 21,862 8,145 163,488 121,182 2009-03-25 $18.46 $17.50 53.4% 15.3% 62.9% 31.3% 50.0% 9.8% 0.6% 1.9M -46.2M -934.9K 0.09 9.17 N/A N/A 22,774 2,028 180,647 124,247 2009-03-26 $19.12 $17.50 46.3% 13.3% 62.9% 23.6% 52.1% 8.8% 2.8% 2.4M -81.2M -1.0M 0.31 5.11 N/A N/A 5,913 1,804 191,012 124,911 2009-03-27 $18.81 $17.50 49.3% 14.1% 63.4% 27.0% 53.1% 9.8% 1.9% 2.3M -69.5M -1.0M 1.24 10.54 N/A N/A 1,336 1,661 192,922 126,116 2009-03-30 $18.45 $17.50 51.2% 14.7% 56.4% 28.9% 55.5% 11.1% 2.7% 2.2M -55.0M -989.0K 2.05 13.47 N/A N/A 1,432 2,941 193,306 126,459 2009-03-31 $18.25 $17.50 55.9% 16.0% 53.9% 34.0% 55.2% 10.6% -0.2% 2.1M -46.6M -977.5K 0.34 9.64 N/A N/A 4,964 1,674 193,882 128,487
« Feb 2009 | All History | Apr 2009 » Home LOW History March 2009