LOW Options History — July 2009 In July 2009, LOW traded between $18.62 and $22.46. ATM implied volatility averaged 35.6%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 5.0% (HV 20d: 30.6%). Max pain ranged from $17.50 to $19.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.29.
Notable Days 2009-07-14 : Highest Volume — 75,667 contracts2009-07-14 : Largest IV drop — 15.5% change2009-07-08 : Highest IV Rank — 11.6%2009-07-08 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $20.30 $18.62 $22.46 $19.51 $22.46 Max Pain $18.14 $17.50 $19.00 $17.50 $18.00 ATM IV 35.6% 30.1% 40.3% 30.1% 39.1% Expected Move 10.5% 8.6% 11.9% 8.6% 11.2% HV 20d 30.6% 25.4% 32.8% 27.3% 25.4% HV 60d 37.8% 35.3% 41.4% 41.2% 36.8% IV Rank 6.3% 0.0% 11.6% 0.0% 10.3% IV Percentile 7.6% 0.0% 16.3% 0.0% 15.5% Term Structure 0.3% -3.8% 6.2% 6.2% -3.0% VWIV 36.4% 30.6% 41.3% 30.6% 37.9% Skew 25d 5.6% 4.0% 7.0% 5.1% 5.1% Skew 10d 13.7% 5.1% 20.9% 9.4% 12.4% Call IV 25d 34.3% 29.7% 38.6% 29.7% 35.9% Put IV 25d 39.8% 34.8% 44.4% 34.8% 41.0% Bid-Ask Spread % 13.70 6.58 19.81 6.58 14.82 Gamma HHI 0.17 0.10 0.27 0.21 0.10 Net GEX 3.4M 2.5M 4.5M 2.6M 4.3M Net DEX -101.4M -204.9M -25.0M -63.4M -204.9M Net VEX -974.3K -1.1M -885.5K -939.8K -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.29 0.02 1.06 0.28 0.20 Total Volume 11,979.955 1,438 75,667 1,438 6,120 Total OI 306,968.045 261,012 341,390 319,929 302,354
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 2009-07-01 $19.51 $17.50 30.1% 8.6% 27.3% 0.0% 30.6% 5.1% 6.2% 2.6M -63.4M -939.8K 0.28 6.58 N/A N/A 1,123 315 196,508 123,421 2009-07-02 $18.62 $17.50 33.4% 9.6% 31.5% 3.7% 31.9% 5.7% 6.0% 2.5M -28.1M -908.1K 1.06 9.84 N/A N/A 1,757 1,871 196,431 123,354 2009-07-06 $18.87 $19.00 37.6% 11.3% 32.1% 8.6% 38.5% 6.7% 0.3% 2.6M -33.3M -893.8K 0.21 19.12 N/A N/A 2,680 562 196,491 123,913 2009-07-07 $18.63 $19.00 37.8% 11.6% 32.1% 8.8% 41.3% 5.1% 0.7% 2.6M -25.0M -891.7K 0.06 13.86 N/A N/A 2,909 185 197,421 123,818 2009-07-08 $18.85 $19.00 40.3% 11.9% 31.7% 11.6% 39.5% 5.9% 0.1% 2.6M -32.8M -894.6K 0.20 15.47 N/A N/A 5,076 1,040 196,717 123,833 2009-07-09 $18.95 $19.00 36.2% 11.3% 31.9% 7.0% 40.2% 6.2% 1.3% 2.9M -38.4M -885.5K 0.08 11.92 N/A N/A 12,165 927 199,669 126,127 2009-07-10 $18.85 $18.00 34.9% 11.2% 31.2% 5.4% 40.7% 7.0% 1.0% 3.1M -40.0M -897.2K 0.02 15.16 N/A N/A 22,828 516 205,405 126,514 2009-07-13 $19.26 $18.00 36.4% 10.9% 32.4% 7.2% 36.1% 5.4% 1.1% 3.5M -72.6M -911.8K 0.21 13.42 N/A N/A 10,530 2,257 214,939 126,451 2009-07-14 $19.57 $18.00 30.8% 10.0% 32.8% 0.7% 36.0% 4.3% 1.9% 3.8M -71.6M -924.3K 0.03 11.24 N/A N/A 73,676 1,991 210,734 126,770 2009-07-15 $20.03 $18.00 32.7% 10.3% 32.0% 2.9% 34.8% 5.7% 0.5% 4.0M -82.8M -941.1K 0.29 10.02 N/A N/A 5,720 1,663 199,868 126,980 2009-07-16 $20.10 $18.00 35.8% 10.3% 31.9% 6.5% 35.7% 6.1% 1.0% 4.5M -92.6M -955.1K 0.28 15.61 N/A N/A 6,202 1,729 202,442 126,460 2009-07-17 $20.42 $18.00 35.4% 10.1% 29.3% 6.1% 35.2% 5.6% 1.6% 3.6M -114.3M -953.2K 0.33 16.38 N/A N/A 12,428 4,132 201,106 125,289 2009-07-20 $20.75 $18.00 33.7% 9.7% 29.1% 4.1% 32.8% 5.7% 0.7% 3.1M -113.6M -978.2K 0.21 12.83 N/A N/A 6,764 1,427 165,826 95,186 2009-07-21 $20.56 $18.00 32.8% 9.4% 29.2% 3.0% 34.4% 5.7% 0.2% 3.4M -109.1M -989.5K 0.55 12.73 N/A N/A 3,153 1,728 170,609 96,144 2009-07-22 $20.75 $18.00 33.7% 9.7% 27.9% 4.1% 32.2% 4.0% -0.4% 3.4M -118.8M -997.0K 0.15 12.98 N/A N/A 5,648 864 172,581 96,583 2009-07-23 $21.65 $18.00 34.6% 9.9% 30.2% 5.1% 35.3% 4.8% -1.7% 3.5M -157.5M -1.0M 0.31 15.03 N/A N/A 14,177 4,449 176,525 96,988 2009-07-24 $22.00 $18.00 35.4% 10.1% 28.4% 6.0% 33.6% 6.4% -0.9% 3.8M -177.9M -1.1M 0.55 10.82 N/A N/A 8,610 4,731 184,778 99,549 2009-07-27 $21.28 $18.00 38.5% 11.0% 31.6% 9.6% 37.5% 5.6% -1.6% 3.9M -144.9M -1.1M 0.30 19.81 N/A N/A 7,055 2,084 189,210 102,498 2009-07-28 $21.61 $18.00 36.7% 10.5% 31.7% 7.5% 38.4% 5.2% -0.6% 4.0M -160.7M -1.1M 0.21 16.99 N/A N/A 4,686 993 190,676 103,147 2009-07-29 $21.64 $18.00 38.7% 11.1% 31.5% 9.8% 39.5% 5.5% -3.2% 3.9M -162.7M -1.1M 0.76 13.11 N/A N/A 3,009 2,286 190,493 103,337 2009-07-30 $22.15 $18.00 39.5% 11.3% 32.2% 10.7% 38.1% 5.4% -3.8% 3.9M -185.9M -1.1M 0.16 13.56 N/A N/A 9,891 1,602 191,485 104,667 2009-07-31 $22.46 $18.00 39.1% 11.2% 25.4% 10.3% 37.9% 5.1% -3.0% 4.3M -204.9M -1.1M 0.20 14.82 N/A N/A 5,109 1,011 197,384 104,970
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