LOW Options History — August 2009

In August 2009, LOW traded between $19.99 and $23.85. ATM implied volatility averaged 38.1%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 2.6% (HV 20d: 40.7%). Max pain ranged from $18.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2009-08-13: Highest Volume — 38,738 contracts
  • 2009-08-13: Largest IV drop — 20.5% change
  • 2009-08-12: Highest IV Rank — 19.1%
  • 2009-08-05: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.93$19.99$23.85$22.74$21.50
Max Pain$19.38$18.00$23.00$18.00$20.00
ATM IV38.1%30.5%46.8%41.1%33.8%
Expected Move10.5%8.7%12.4%11.8%9.7%
HV 20d40.7%24.7%52.8%25.4%50.8%
HV 60d37.1%32.8%40.3%36.5%38.2%
IV Rank9.1%0.4%19.1%12.6%4.2%
IV Percentile16.0%0.4%38.1%22.2%7.1%
Term Structure-0.1%-5.8%5.2%-4.9%2.1%
VWIV36.4%31.5%44.2%41.9%31.7%
Skew 25d5.4%3.6%6.7%5.1%5.1%
Skew 10d13.1%7.5%20.3%17.0%17.4%
Call IV 25d34.0%28.5%41.0%38.6%30.1%
Put IV 25d39.4%33.9%45.6%43.7%35.2%
Bid-Ask Spread %12.699.0116.6710.569.76
Gamma HHI0.130.100.190.100.13
Net GEX4.0M2.9M5.1M4.3M3.2M
Net DEX-172.8M-280.4M-69.4M-217.1M-134.6M
Net VEX-1.1M-1.2M-1.0M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.073.370.341.61
Total Volume12,780.9052,97938,73816,1603,809
Total OI340,858.095302,685387,883302,685348,215

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$22.74$18.0041.1%11.8%25.4%12.6%41.9%5.1%-4.9%4.3M-217.1M-1.1M0.3410.56N/AN/A12,0384,122197,661105,024
2009-08-04$22.61$18.0040.8%11.7%24.7%12.2%42.5%6.0%-4.5%4.6M-219.1M-1.1M0.8411.85N/AN/A3,9383,304204,704107,608
2009-08-05$22.47$18.0043.2%12.4%25.3%15.0%43.4%3.6%-5.5%4.5M-205.5M-1.1M3.3714.42N/AN/A1,2224,122202,989109,615
2009-08-06$22.73$18.0042.8%12.3%25.3%14.6%44.2%4.9%-5.8%4.3M-217.3M-1.1M0.3915.72N/AN/A2,8961,137203,124113,316
2009-08-07$23.85$21.0041.8%10.3%28.2%13.4%36.5%4.8%-0.5%4.2M-274.3M-1.1M0.4715.11N/AN/A8,2063,852204,753114,082
2009-08-10$23.33$21.0046.3%11.1%30.3%18.6%38.1%6.7%-2.6%4.5M-250.2M-1.1M0.2716.67N/AN/A5,8821,594207,680115,166
2009-08-11$23.26$21.0044.8%10.6%30.6%16.8%37.3%5.9%-1.8%4.6M-243.7M-1.1M1.9413.34N/AN/A2,8255,483206,967116,010
2009-08-12$22.85$23.0046.8%10.7%31.4%19.1%34.8%5.9%1.3%4.4M-218.9M-1.1M0.5214.73N/AN/A7,3033,790208,232120,265
2009-08-13$23.31$22.0037.2%10.7%31.7%8.1%33.0%5.3%-2.2%4.6M-245.5M-1.1M0.0716.01N/AN/A36,0792,659211,542122,128
2009-08-14$22.83$18.0036.0%10.3%33.1%6.8%36.9%5.9%1.1%5.1M-280.4M-1.1M1.2614.15N/AN/A5,3176,682243,879124,453
2009-08-17$20.47$18.0040.4%11.6%52.2%11.8%38.5%5.7%1.0%4.1M-100.0M-1.0M1.269.42N/AN/A14,10917,835232,814128,567
2009-08-18$19.99$18.0039.2%11.2%52.7%10.4%39.2%5.4%-0.3%3.5M-69.4M-1.0M0.7213.10N/AN/A13,91410,069233,440134,489
2009-08-19$20.22$18.0037.2%10.7%52.8%8.1%36.4%5.5%1.4%3.9M-84.1M-1.1M0.5314.49N/AN/A10,2695,413238,675138,839
2009-08-20$20.39$18.0035.6%10.2%50.4%6.2%34.1%5.4%1.6%4.3M-96.6M-1.1M0.669.71N/AN/A8,8405,820241,617140,491
2009-08-21$21.16$18.0033.1%9.5%52.0%3.4%31.8%4.2%1.7%4.1M-155.0M-1.1M0.4414.08N/AN/A12,7965,681244,949142,934
2009-08-24$20.72$19.0033.4%9.6%51.2%3.8%34.5%6.1%1.7%2.9M-89.4M-1.1M1.459.01N/AN/A4,0595,905202,526128,528
2009-08-25$21.07$20.0032.9%9.4%51.2%3.2%32.9%5.7%2.1%2.9M-106.1M-1.1M1.0014.14N/AN/A4,8674,845203,317130,497
2009-08-26$21.59$20.0032.2%9.2%52.0%2.3%32.3%4.7%2.8%3.1M-135.3M-1.2M0.539.57N/AN/A4,5902,420206,688133,202
2009-08-27$21.70$20.0030.9%8.9%51.3%0.9%31.5%4.8%4.4%3.1M-142.9M-1.2M0.7810.83N/AN/A4,3313,397207,919134,450
2009-08-28$21.70$20.0030.5%8.7%51.0%0.4%31.8%6.3%5.2%3.2M-143.8M-1.2M1.359.74N/AN/A1,2671,712210,170136,495
2009-08-31$21.50$20.0033.8%9.7%50.8%4.2%31.7%5.1%2.1%3.2M-134.6M-1.2M1.619.76N/AN/A1,4602,349211,386136,829