LOW Options History — September 2009

In September 2009, LOW traded between $20.86 and $21.97. ATM implied volatility averaged 33.7%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 2.5% (HV 20d: 36.1%). 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 21 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-09-15: Highest Volume — 36,260 contracts
  • 2009-09-08: Largest IV spike — 17.2% change
  • 2009-09-17: Highest IV Rank — 8.5%
  • 2009-09-09: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.41$20.86$21.97$20.86$20.94
Max Pain$18.43$17.50$20.00$20.00$17.50
ATM IV33.7%28.4%35.9%34.9%33.0%
Expected Move9.8%9.2%10.3%10.0%9.5%
HV 20d36.1%23.1%52.3%51.7%24.3%
HV 60d37.7%36.5%38.8%38.7%36.5%
IV Rank5.7%0.0%8.5%5.5%5.2%
IV Percentile7.4%0.0%13.9%8.3%5.6%
Term Structure3.2%1.4%5.2%2.3%4.6%
VWIV34.7%32.4%42.9%34.5%33.8%
Skew 25d4.9%2.2%7.5%3.7%3.3%
Skew 10d11.5%1.1%20.9%9.2%7.8%
Call IV 25d31.9%30.0%34.8%33.8%31.6%
Put IV 25d36.8%34.9%39.1%37.5%34.9%
Bid-Ask Spread %9.306.2814.789.3414.78
Gamma HHI0.210.130.670.130.22
Net GEX4.4M2.9M19.9M3.0M3.1M
Net DEX-134.1M-201.6M-96.6M-96.6M-100.1M
Net VEX-1.2M-1.2M-1.1M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.105.601.210.64
Total Volume11,246.5241,21136,26010,1384,670
Total OI361,010.714328,735390,603349,509371,035

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$20.86$20.0034.9%10.0%51.7%5.5%34.5%3.7%2.3%3.0M-96.6M-1.2M1.219.34N/AN/A4,5925,546211,903137,606
2009-09-02$20.86$20.0035.9%10.3%51.8%6.6%35.6%3.5%1.4%2.9M-98.6M-1.2M0.818.76N/AN/A4,3593,534214,368139,424
2009-09-03$21.31$20.0034.0%9.7%52.3%4.4%33.7%5.0%2.2%3.3M-123.9M-1.2M0.788.34N/AN/A2,1461,672215,698139,276
2009-09-04$21.62$19.0028.4%10.2%49.1%0.0%33.8%6.3%3.2%3.4M-142.5M-1.2M0.1011.99N/AN/A11,2451,110216,186140,010
2009-09-08$21.77$19.0033.3%9.5%48.9%5.5%33.9%7.5%3.7%3.5M-151.9M-1.2M0.507.85N/AN/A3,4731,739216,427142,208
2009-09-09$21.72$19.0030.0%10.3%48.9%1.8%37.8%5.9%2.3%3.6M-148.1M-1.2M5.607.42N/AN/A6883,856217,249142,343
2009-09-10$21.86$19.0032.2%9.2%48.7%4.3%33.9%6.8%4.9%3.7M-156.8M-1.2M0.779.49N/AN/A1,3191,009217,361144,396
2009-09-11$21.43$19.0034.8%10.0%48.3%7.2%35.5%5.5%3.0%3.7M-128.1M-1.2M1.327.44N/AN/A2,0662,725217,242144,416
2009-09-14$21.36$19.0035.0%10.0%47.9%7.5%35.1%5.9%2.9%4.1M-124.3M-1.1M0.287.65N/AN/A6,2161,742217,281144,472
2009-09-15$21.21$19.0034.9%10.0%27.3%7.4%42.9%6.3%2.1%3.9M-113.3M-1.1M0.117.06N/AN/A32,5503,710217,912144,734
2009-09-16$21.60$17.5034.1%9.8%26.2%6.5%34.8%5.1%2.7%4.5M-201.6M-1.1M0.358.31N/AN/A9,6123,357246,418144,185
2009-09-17$21.66$17.5035.9%10.3%26.0%8.5%33.0%6.3%1.5%5.5M-175.1M-1.1M0.298.68N/AN/A7,1592,090234,183144,062
2009-09-18$21.97$17.5032.0%9.2%26.2%4.0%32.4%5.3%4.0%19.9M-195.2M-1.1M0.839.07N/AN/A9,7748,140236,158144,298
2009-09-21$21.95$17.5034.4%9.9%23.1%6.8%32.6%4.5%4.6%3.4M-154.3M-1.1M0.1913.77N/AN/A18,1113,442200,118128,617
2009-09-22$21.07$17.5034.1%9.8%26.6%6.4%34.7%4.1%4.5%3.4M-107.6M-1.1M0.377.24N/AN/A23,8878,877212,118130,948
2009-09-23$21.53$17.5033.9%9.7%27.0%6.3%33.7%3.4%2.6%3.4M-131.3M-1.1M0.869.66N/AN/A9,4468,090209,684136,207
2009-09-24$21.39$17.5034.1%9.8%25.6%6.5%33.2%3.7%4.1%3.3M-125.4M-1.2M0.6510.68N/AN/A7,1714,670214,998141,740
2009-09-25$21.05$17.5032.7%9.4%26.1%4.8%33.8%4.9%5.2%3.2M-105.2M-1.2M0.839.13N/AN/A5,1774,280219,820145,116
2009-09-28$21.25$19.0034.9%10.0%26.4%7.3%35.0%3.8%3.1%3.4M-117.8M-1.2M0.3512.35N/AN/A1,271445223,125147,226
2009-09-29$21.21$17.5034.5%9.9%26.2%6.9%34.7%2.2%3.3%3.4M-119.4M-1.2M0.736.28N/AN/A701510223,540147,117
2009-09-30$20.94$17.5033.0%9.5%24.3%5.2%33.8%3.3%4.6%3.1M-100.1M-1.2M0.6414.78N/AN/A2,8501,820223,752147,283