LOW Options History — May 2009 In May 2009, LOW traded between $18.45 and $21.02. ATM implied volatility averaged 46.0%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 3.4% (HV 20d: 42.6%). Max pain ranged from $17.50 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.55.
Notable Days 2009-05-07 : Highest Volume — 33,876 contracts2009-05-18 : Largest IV drop — 21.7% change2009-05-15 : Highest IV Rank — 32.7%2009-05-15 : Largest Expected Move — 15.7%Monthly Statistics Metric Avg Min Max Open Close Price $19.72 $18.45 $21.02 $20.85 $19.01 Max Pain $20.18 $17.50 $21.00 $17.50 $20.00 ATM IV 46.0% 39.7% 54.6% 44.0% 42.3% Expected Move 13.3% 11.4% 15.7% 12.6% 12.1% HV 20d 42.6% 38.5% 46.9% 46.9% 42.3% HV 60d 52.1% 49.0% 53.8% 53.8% 49.0% IV Rank 23.4% 16.6% 32.7% 21.2% 19.4% IV Percentile 31.6% 15.9% 55.2% 26.6% 17.9% Term Structure -1.1% -6.0% 3.5% 3.5% -0.0% VWIV 45.4% 39.1% 55.5% 43.3% 41.6% Skew 25d 8.7% 5.5% 11.2% 8.4% 5.5% Skew 10d 17.3% 7.5% 25.9% 25.9% 7.5% Call IV 25d 42.1% 36.4% 49.5% 42.2% 39.6% Put IV 25d 50.8% 43.8% 60.0% 50.6% 45.1% Bid-Ask Spread % 11.93 7.88 17.99 7.88 11.36 Gamma HHI 0.13 0.11 0.17 0.13 0.12 Net GEX 2.7M 1.7M 3.6M 3.1M 1.9M Net DEX -81.8M -142.7M -26.9M -133.1M -37.3M Net VEX -1.2M -1.2M -1.1M -1.2M -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.06 1.25 0.80 0.28 Total Volume 12,596.75 3,746 33,876 3,834 8,802 Total OI 341,041.45 314,361 365,165 314,361 355,796
Daily Data (20 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 2009-05-01 $20.85 $17.50 44.0% 12.6% 46.9% 21.2% 43.3% 8.4% 3.5% 3.1M -133.1M -1.2M 0.80 7.88 N/A N/A 2,125 1,709 194,745 119,616 2009-05-04 $21.02 $21.00 46.9% 13.5% 46.6% 24.3% 45.5% 10.8% -0.5% 3.2M -142.5M -1.2M 0.51 16.05 N/A N/A 2,478 1,268 195,705 120,107 2009-05-05 $21.02 $21.00 44.6% 13.7% 46.5% 21.9% 45.1% 10.3% -2.1% 3.2M -142.7M -1.2M 0.57 15.45 N/A N/A 3,460 1,979 196,581 121,480 2009-05-06 $20.85 $21.00 45.0% 13.3% 43.5% 22.2% 48.4% 10.7% -0.7% 3.3M -134.9M -1.2M 0.70 13.27 N/A N/A 2,443 1,712 198,140 122,955 2009-05-07 $20.37 $21.00 48.8% 14.2% 42.2% 26.3% 44.8% 10.6% -1.5% 3.2M -114.2M -1.2M 0.06 15.03 N/A N/A 31,884 1,992 198,659 123,235 2009-05-08 $19.80 $21.00 46.3% 13.9% 40.5% 23.6% 49.4% 11.2% -2.2% 3.6M -117.6M -1.2M 0.46 11.86 N/A N/A 16,080 7,355 220,267 124,403 2009-05-11 $19.03 $21.00 53.3% 14.7% 42.7% 31.3% 50.4% 10.9% -3.5% 2.8M -50.6M -1.1M 0.43 7.95 N/A N/A 10,517 4,524 211,657 127,122 2009-05-12 $19.23 $20.00 53.4% 14.6% 42.4% 31.3% 49.9% 9.2% -2.9% 3.4M -64.4M -1.1M 0.56 11.48 N/A N/A 6,164 3,434 216,297 129,339 2009-05-13 $18.92 $20.00 52.6% 15.4% 42.2% 30.4% 55.5% 10.5% -3.9% 2.6M -49.8M -1.1M 0.99 10.30 N/A N/A 8,952 8,849 216,522 131,179 2009-05-14 $18.87 $20.00 53.5% 15.3% 39.9% 31.4% 54.4% 10.1% -3.7% 2.3M -48.9M -1.1M 0.81 9.54 N/A N/A 5,367 4,371 222,783 134,527 2009-05-15 $18.45 $20.00 54.6% 15.7% 38.5% 32.7% 53.6% 9.4% -6.0% 1.7M -26.9M -1.1M 1.25 7.88 N/A N/A 8,210 10,303 225,530 139,635 2009-05-18 $19.94 $20.00 42.8% 12.3% 45.1% 19.9% 43.1% 7.8% -0.5% 2.6M -87.9M -1.2M 0.51 11.81 N/A N/A 14,721 7,564 199,887 130,772 2009-05-19 $20.05 $20.00 40.7% 11.7% 42.6% 17.6% 39.4% 7.3% 0.4% 2.9M -92.7M -1.2M 0.40 8.97 N/A N/A 12,572 4,986 206,167 133,787 2009-05-20 $19.72 $20.00 39.7% 11.4% 42.3% 16.6% 39.1% 6.5% 1.5% 2.8M -79.4M -1.2M 0.30 14.02 N/A N/A 15,023 4,507 212,535 136,388 2009-05-21 $19.30 $20.00 42.4% 12.2% 42.1% 19.5% 40.6% 6.8% 0.6% 2.3M -56.5M -1.2M 0.59 10.12 N/A N/A 5,401 3,199 210,987 138,857 2009-05-22 $19.37 $20.00 42.3% 12.1% 39.8% 19.4% 40.9% 6.3% 1.3% 2.2M -58.3M -1.2M 0.69 17.99 N/A N/A 2,243 1,549 209,349 139,690 2009-05-26 $20.04 $20.00 41.8% 12.0% 41.9% 18.9% 39.9% 7.2% -0.1% 2.7M -91.4M -1.2M 0.42 11.89 N/A N/A 6,097 2,558 209,943 140,807 2009-05-27 $19.63 $20.00 41.8% 12.0% 41.8% 18.8% 41.3% 7.7% -1.0% 2.4M -69.9M -1.2M 0.37 12.63 N/A N/A 3,933 1,451 210,556 141,664 2009-05-28 $19.02 $20.00 43.3% 12.4% 42.8% 20.5% 42.3% 6.5% -0.2% 1.8M -37.6M -1.1M 0.37 13.17 N/A N/A 8,862 3,291 210,697 142,463 2009-05-29 $19.01 $20.00 42.3% 12.1% 42.3% 19.4% 41.6% 5.5% -0.0% 1.9M -37.3M -1.1M 0.28 11.36 N/A N/A 6,884 1,918 212,417 143,379
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