LOW Options History — June 2009 In June 2009, LOW traded between $18.18 and $20.59. ATM implied volatility averaged 39.3%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 0.7% (HV 20d: 40.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2009-06-23 : Highest Volume — 11,163 contracts2009-06-25 : Largest IV drop — 13.4% change2009-06-01 : Highest IV Rank — 20.0%2009-06-01 : Largest Expected Move — 12.3%Monthly Statistics Metric Avg Min Max Open Close Price $19.50 $18.18 $20.59 $20.18 $19.41 Max Pain $17.95 $17.50 $20.00 $20.00 $17.50 ATM IV 39.3% 32.7% 42.9% 42.9% 32.7% Expected Move 11.3% 9.4% 12.3% 12.3% 9.4% HV 20d 40.0% 27.5% 48.1% 47.3% 27.5% HV 60d 44.4% 41.3% 48.8% 48.7% 41.3% IV Rank 10.5% 0.9% 20.0% 20.0% 0.9% IV Percentile 11.0% 1.6% 19.0% 19.0% 1.6% Term Structure 2.8% -1.1% 5.6% -1.1% 5.6% VWIV 39.0% 32.3% 43.0% 43.0% 32.3% Skew 25d 5.4% 0.9% 7.7% 5.9% 3.3% Skew 10d 12.1% 1.8% 24.2% 24.2% 6.8% Call IV 25d 36.9% 30.7% 40.6% 40.0% 30.7% Put IV 25d 42.3% 34.0% 46.0% 45.9% 34.0% Bid-Ask Spread % 9.35 6.88 15.48 8.83 8.58 Gamma HHI 0.17 0.11 0.26 0.11 0.21 Net GEX 2.6M 1.2M 3.7M 3.1M 2.6M Net DEX -63.4M -124.1M 2.2M -100.3M -59.4M Net VEX -1.0M -1.2M -919.4K -1.2M -955.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.10 1.39 0.39 1.39 Total Volume 5,696.909 2,581 11,163 7,960 2,581 Total OI 348,396.273 306,175 375,017 357,541 319,053
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 2009-06-01 $20.18 $20.00 42.9% 12.3% 47.3% 20.0% 43.0% 5.9% -1.1% 3.1M -100.3M -1.2M 0.39 8.83 N/A N/A 5,725 2,235 214,431 143,110 2009-06-02 $20.59 $20.00 39.0% 11.2% 47.8% 15.8% 40.0% 6.8% 1.0% 3.5M -124.1M -1.2M 0.29 10.39 N/A N/A 5,827 1,675 215,657 143,209 2009-06-03 $20.30 $20.00 42.6% 12.2% 48.0% 19.7% 41.5% 7.7% -0.9% 3.2M -106.3M -1.2M 1.27 13.15 N/A N/A 3,231 4,108 215,448 144,171 2009-06-04 $20.09 $20.00 41.0% 11.7% 48.1% 17.9% 40.5% 6.1% 0.1% 3.1M -97.3M -1.2M 0.57 15.48 N/A N/A 2,718 1,559 216,580 145,606 2009-06-05 $20.04 $17.50 39.3% 11.7% 47.4% 16.2% 38.8% 6.3% 2.6% 3.0M -93.3M -1.2M 0.32 8.19 N/A N/A 6,143 1,967 216,607 144,465 2009-06-08 $20.11 $17.50 41.2% 11.7% 46.3% 11.8% 39.4% 7.2% 2.9% 3.1M -97.9M -1.1M 0.56 8.63 N/A N/A 2,404 1,351 216,328 145,264 2009-06-09 $20.46 $17.50 37.7% 11.5% 44.0% 7.7% 40.4% 7.4% 2.8% 3.7M -116.5M -1.1M 0.36 8.59 N/A N/A 2,221 793 217,368 145,188 2009-06-10 $20.37 $17.50 39.8% 11.5% 44.0% 10.2% 37.5% 7.2% 2.3% 3.5M -107.9M -1.1M 0.79 10.43 N/A N/A 2,730 2,168 217,390 145,307 2009-06-11 $19.95 $17.50 39.8% 11.4% 44.3% 10.1% 40.0% 6.9% 2.6% 3.1M -84.9M -1.1M 1.10 10.36 N/A N/A 2,717 3,001 218,022 146,300 2009-06-12 $19.85 $17.50 37.8% 10.8% 44.4% 7.9% 38.2% 6.4% 4.4% 2.8M -75.8M -1.1M 1.02 10.82 N/A N/A 4,349 4,457 217,715 147,112 2009-06-15 $19.66 $17.50 39.3% 11.3% 43.6% 9.6% 41.0% 5.5% 3.5% 2.6M -63.4M -1.1M 0.29 10.31 N/A N/A 2,576 749 220,176 147,847 2009-06-16 $19.10 $17.50 42.1% 12.1% 35.1% 12.9% 40.8% 4.7% 2.9% 1.8M -31.8M -1.0M 0.52 8.29 N/A N/A 2,002 1,045 220,745 148,210 2009-06-17 $19.02 $17.50 41.7% 12.0% 35.0% 11.5% 41.7% 5.7% 2.6% 1.7M -25.5M -1.0M 0.90 8.16 N/A N/A 3,195 2,889 221,068 148,388 2009-06-18 $18.41 $17.50 42.0% 12.0% 36.2% 11.7% 42.0% 5.2% 3.2% 1.2M 2.2M -970.2K 0.56 8.81 N/A N/A 5,258 2,936 221,704 149,875 2009-06-19 $18.78 $17.50 40.1% 11.5% 36.5% 9.6% 39.9% 6.7% 2.9% 2.1M -9.5M -970.7K 1.12 10.02 N/A N/A 2,307 2,586 224,099 150,918 2009-06-22 $18.66 $17.50 40.8% 11.7% 36.5% 10.4% 40.4% 4.1% 3.6% 2.0M -28.3M -955.0K 0.80 8.62 N/A N/A 3,300 2,629 187,705 118,470 2009-06-23 $18.31 $17.50 39.8% 11.4% 34.3% 9.2% 40.4% 5.5% 4.4% 2.0M -14.5M -920.1K 0.22 7.94 N/A N/A 9,187 1,976 189,670 119,918 2009-06-24 $18.18 $17.50 40.6% 11.6% 33.8% 10.1% 39.1% 4.0% 2.2% 2.2M -11.7M -919.4K 0.72 8.88 N/A N/A 1,732 1,247 195,629 121,229 2009-06-25 $18.87 $17.50 35.1% 10.1% 35.1% 3.7% 35.0% 4.4% 5.0% 2.3M -33.3M -944.9K 0.37 7.00 N/A N/A 2,645 975 191,834 121,965 2009-06-26 $19.22 $17.50 34.5% 9.9% 35.8% 3.0% 33.7% 0.9% 4.1% 2.5M -51.2M -958.8K 0.10 7.44 N/A N/A 7,033 705 192,507 121,693 2009-06-29 $19.47 $17.50 33.6% 9.6% 28.7% 1.9% 32.6% 1.6% 4.9% 2.6M -63.2M -949.6K 0.64 6.88 N/A N/A 2,689 1,711 194,986 121,751 2009-06-30 $19.41 $17.50 32.7% 9.4% 27.5% 0.9% 32.3% 3.3% 5.6% 2.6M -59.4M -955.3K 1.39 8.58 N/A N/A 1,078 1,503 196,341 122,712
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