LOW Options History — April 2009

In April 2009, LOW traded between $18.48 and $21.50. ATM implied volatility averaged 47.7%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 1.7% (HV 20d: 49.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2009-04-14: Highest Volume — 48,907 contracts
  • 2009-04-20: Largest IV spike — 12.3% change
  • 2009-04-15: Highest IV Rank — 28.7%
  • 2009-04-06: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.12$18.48$21.50$18.48$21.50
Max Pain$18.12$17.50$20.00$17.50$17.50
ATM IV47.7%43.5%51.0%49.3%46.5%
Expected Move13.9%12.5%15.1%14.1%13.3%
HV 20d49.4%47.3%53.7%53.7%47.3%
HV 60d54.8%53.7%55.9%54.4%53.7%
IV Rank25.2%20.6%28.7%26.9%23.9%
IV Percentile41.3%29.4%52.4%48.0%36.1%
Term Structure1.5%-0.9%3.8%2.1%2.0%
VWIV49.7%44.3%57.4%49.9%44.3%
Skew 25d10.1%7.2%12.0%9.9%8.5%
Skew 10d22.7%10.0%33.9%20.4%10.0%
Call IV 25d44.0%39.2%48.1%47.2%40.0%
Put IV 25d54.1%48.5%60.1%57.1%48.5%
Bid-Ask Spread %11.837.7415.969.4610.57
Gamma HHI0.280.130.620.300.13
Net GEX3.1M1.9M7.2M2.4M3.1M
Net DEX-114.6M-165.8M-55.3M-55.3M-165.8M
Net VEX-1.1M-1.2M-988.3K-988.3K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.061.470.771.04
Total Volume12,979.2862,28648,9073,4557,935
Total OI311,633.19246,133357,523326,455309,154

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$18.48$17.5049.3%14.1%53.7%26.9%49.9%9.9%2.1%2.4M-55.3M-988.3K0.779.46N/AN/A1,9471,508197,034129,421
2009-04-02$19.34$17.5050.0%14.3%48.6%27.7%50.7%10.1%2.5%2.7M-88.9M-1.0M0.5411.28N/AN/A9,5435,113198,421130,513
2009-04-03$19.12$19.0048.3%14.9%49.3%25.9%48.9%11.2%0.7%2.7M-79.1M-1.0M0.2413.79N/AN/A2,518608201,068133,707
2009-04-06$19.40$19.0050.0%15.1%49.2%27.7%53.7%11.2%-0.9%2.9M-90.1M-1.0M0.1414.29N/AN/A4,463630201,462133,911
2009-04-07$18.61$20.0048.4%14.9%49.8%25.9%52.9%12.0%-0.0%2.8M-63.0M-990.1K1.378.29N/AN/A9651,321204,518134,069
2009-04-08$19.45$20.0045.9%14.7%50.7%23.2%49.9%11.8%0.8%3.2M-95.7M-1.0M0.4711.30N/AN/A3,8071,793204,430134,184
2009-04-09$20.32$20.0048.3%13.9%51.4%25.9%46.4%11.5%0.7%3.3M-134.7M-1.0M0.3111.36N/AN/A4,1661,287207,553135,527
2009-04-13$20.28$20.0048.7%14.0%51.6%26.3%57.4%10.6%1.4%3.6M-137.0M-1.0M0.0715.79N/AN/A33,4982,180208,824136,302
2009-04-14$19.83$17.5048.3%13.8%51.1%25.8%51.6%9.8%1.4%4.6M-128.4M-1.0M0.149.51N/AN/A42,8676,040219,934137,589
2009-04-15$19.43$17.5051.0%14.6%49.1%28.7%50.3%11.3%0.1%3.6M-73.2M-1.0M0.1215.96N/AN/A13,3541,601205,246141,933
2009-04-16$20.13$17.5047.3%13.6%48.2%24.8%53.4%10.0%0.5%7.2M-122.7M-1.0M0.329.35N/AN/A11,7213,710204,990137,436
2009-04-17$20.73$17.5043.5%12.5%48.4%20.6%46.2%8.7%3.8%1.9M-165.4M-1.0M0.0615.11N/AN/A21,8351,324206,622138,898
2009-04-20$19.72$17.5048.8%14.0%50.6%26.4%47.8%9.4%1.3%2.1M-86.4M-1.0M0.3714.36N/AN/A4,1631,521153,92892,205
2009-04-21$20.55$17.5044.6%12.8%48.6%21.9%52.2%10.7%3.5%2.3M-112.0M-1.1M1.0612.68N/AN/A2,8142,989157,28293,378
2009-04-22$20.90$17.5047.8%13.7%48.3%25.2%46.9%10.8%1.1%2.2M-124.7M-1.1M0.4111.53N/AN/A15,9666,521158,98795,030
2009-04-23$20.37$17.5050.2%14.4%48.7%27.8%49.5%10.1%1.8%2.6M-114.3M-1.1M0.5811.35N/AN/A3,7132,153171,01899,343
2009-04-24$21.09$17.5046.0%13.2%48.6%23.4%46.3%7.2%2.2%2.7M-141.5M-1.1M0.929.93N/AN/A3,2973,031172,713100,864
2009-04-27$20.81$17.5047.1%13.5%48.5%24.6%55.1%8.2%1.9%2.7M-132.2M-1.1M1.477.74N/AN/A3,0584,495174,672102,728
2009-04-28$21.16$17.5046.7%13.4%47.7%24.1%46.1%8.4%2.2%2.8M-146.8M-1.1M0.9512.48N/AN/A8,7738,341176,799105,601
2009-04-29$21.26$17.5045.0%12.9%47.3%22.3%44.9%11.3%2.9%2.9M-150.4M-1.2M0.5812.31N/AN/A10,1555,841184,064112,939
2009-04-30$21.50$17.5046.5%13.3%47.3%23.9%44.3%8.5%2.0%3.1M-165.8M-1.2M1.0410.57N/AN/A3,8814,054191,974117,180