LOW Options History — October 2009 In October 2009, LOW traded between $19.50 and $21.76. ATM implied volatility averaged 34.4%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 5.6% (HV 20d: 28.8%). Max pain ranged from $17.50 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2009-10-13 : Highest Volume — 83,367 contracts2009-10-15 : Largest IV spike — 95.8% change2009-10-28 : Highest IV Rank — 28.2%2009-10-28 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $20.72 $19.50 $21.76 $20.36 $19.57 Max Pain $19.11 $17.50 $22.00 $17.50 $18.00 ATM IV 34.4% 18.7% 41.7% 35.4% 40.3% Expected Move 10.6% 9.5% 12.0% 10.1% 11.6% HV 20d 28.8% 25.4% 31.3% 26.3% 31.3% HV 60d 37.1% 36.2% 37.5% 37.0% 37.5% IV Rank 14.3% 0.0% 28.2% 7.9% 26.5% IV Percentile 15.9% 0.0% 38.5% 15.5% 35.3% Term Structure -0.5% -1.8% 4.4% 4.3% -1.2% VWIV 36.9% 33.6% 41.0% 34.7% 40.2% Skew 25d 4.4% 2.1% 5.9% 3.0% 3.6% Skew 10d 9.5% -6.5% 16.9% -6.5% 13.1% Call IV 25d 34.9% 31.3% 38.9% 34.2% 38.1% Put IV 25d 39.3% 35.5% 44.3% 37.2% 41.8% Bid-Ask Spread % 13.22 7.31 17.56 8.12 17.56 Gamma HHI 0.14 0.09 0.26 0.17 0.11 Net GEX 2.4M 1.2M 4.6M 2.6M 1.9M Net DEX -72.4M -153.5M 3.5M -69.2M -7.7M Net VEX -1.1M -1.2M -1.0M -1.1M -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.03 3.03 1.58 0.10 Total Volume 12,727.045 2,696 83,367 9,696 25,322 Total OI 359,782.909 312,379 389,063 371,899 351,073
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 2009-10-01 $20.36 $17.50 35.4% 10.1% 26.3% 7.9% 34.7% 3.0% 4.3% 2.6M -69.2M -1.1M 1.58 8.12 N/A N/A 3,754 5,942 224,335 147,564 2009-10-02 $20.03 $19.00 33.9% 9.7% 25.4% 6.2% 34.1% 3.7% 4.4% 2.4M -48.3M -1.1M 0.85 7.31 N/A N/A 2,864 2,426 225,955 149,981 2009-10-05 $20.46 $22.00 36.0% 11.3% 26.1% 8.6% 39.2% 5.3% -1.3% 2.6M -71.4M -1.1M 1.11 13.52 N/A N/A 1,328 1,472 226,686 150,828 2009-10-06 $20.68 $21.00 33.8% 11.0% 26.3% 6.1% 38.8% 5.9% -1.6% 2.8M -83.3M -1.1M 0.73 13.90 N/A N/A 1,762 1,286 226,773 151,604 2009-10-07 $20.20 $21.00 33.6% 11.3% 27.4% 5.8% 39.4% 5.1% -1.1% 2.3M -56.2M -1.1M 0.30 16.10 N/A N/A 4,070 1,213 227,254 152,248 2009-10-08 $20.78 $21.00 31.8% 10.7% 29.5% 3.9% 37.5% 5.0% -0.8% 2.7M -87.8M -1.1M 0.27 13.58 N/A N/A 3,605 973 227,437 153,228 2009-10-09 $20.94 $21.00 29.8% 10.7% 28.9% 1.6% 38.4% 4.6% -1.7% 2.9M -97.6M -1.1M 0.67 16.15 N/A N/A 3,283 2,187 228,217 153,269 2009-10-12 $21.01 $21.00 34.0% 10.9% 29.0% 6.3% 37.6% 4.0% -1.2% 3.0M -103.1M -1.1M 0.06 12.21 N/A N/A 9,643 599 229,333 154,192 2009-10-13 $21.45 $21.00 34.8% 10.8% 29.8% 8.6% 37.1% 5.1% -1.3% 3.9M -136.6M -1.1M 0.03 12.22 N/A N/A 81,048 2,319 234,817 154,246 2009-10-14 $21.73 $18.00 18.7% 10.6% 29.5% 0.0% 36.7% 4.0% -0.3% 4.6M -153.5M -1.2M 0.56 14.48 N/A N/A 15,494 8,701 233,290 155,544 2009-10-15 $21.65 $18.00 36.6% 10.5% 29.5% 21.3% 37.6% 4.3% 0.1% 2.5M -118.1M -1.2M 0.60 13.31 N/A N/A 1,688 1,008 226,079 158,740 2009-10-16 $21.36 $18.00 36.3% 10.4% 29.4% 21.6% 35.5% 2.1% -0.5% 3.3M -105.4M -1.1M 1.57 10.92 N/A N/A 5,373 8,445 228,010 159,181 2009-10-19 $21.76 $18.00 33.1% 9.5% 30.2% 17.6% 33.6% 4.1% -0.5% 2.2M -104.0M -1.1M 0.35 13.70 N/A N/A 11,417 3,944 178,329 134,050 2009-10-20 $21.39 $18.00 33.9% 9.7% 27.0% 18.6% 33.7% 3.1% -0.6% 2.2M -90.5M -1.1M 1.08 15.01 N/A N/A 6,771 7,317 183,255 135,220 2009-10-21 $20.76 $18.00 33.8% 9.7% 27.9% 18.5% 34.5% 4.1% -1.6% 2.0M -60.3M -1.1M 1.00 15.53 N/A N/A 3,069 3,074 188,386 139,682 2009-10-22 $21.17 $18.00 34.1% 9.8% 28.8% 18.9% 33.8% 4.1% -0.7% 2.1M -76.3M -1.1M 0.71 11.06 N/A N/A 4,599 3,248 189,289 142,013 2009-10-23 $20.71 $18.00 34.8% 10.0% 29.3% 19.8% 35.5% 5.2% -1.0% 1.9M -55.9M -1.1M 0.77 13.64 N/A N/A 3,985 3,057 191,069 142,963 2009-10-26 $20.34 $18.00 37.2% 10.7% 29.7% 22.7% 38.0% 4.3% -1.8% 1.7M -37.3M -1.1M 3.03 17.13 N/A N/A 1,056 3,202 191,868 144,702 2009-10-27 $19.93 $18.00 37.1% 10.6% 30.3% 22.6% 37.6% 5.5% -1.0% 1.4M -16.4M -1.1M 1.39 12.55 N/A N/A 2,340 3,256 192,011 145,619 2009-10-28 $19.50 $19.00 41.7% 12.0% 30.9% 28.2% 41.0% 5.4% -1.3% 1.2M 3.5M -1.0M 1.11 12.98 N/A N/A 4,524 5,009 193,581 148,266 2009-10-29 $19.98 $19.00 36.8% 10.6% 31.0% 22.2% 37.0% 4.5% -1.2% 1.4M -16.7M -1.1M 0.21 9.82 N/A N/A 11,845 2,477 195,475 149,562 2009-10-30 $19.57 $18.00 40.3% 11.6% 31.3% 26.5% 40.2% 3.6% -1.2% 1.9M -7.7M -1.1M 0.10 17.56 N/A N/A 23,010 2,312 202,899 148,174
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