LOW Options History — November 2009

In November 2009, LOW traded between $19.45 and $22.15. ATM implied volatility averaged 35.9%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 6.1% (HV 20d: 29.7%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2009-11-13: Highest Volume — 74,633 contracts
  • 2009-11-16: Largest IV drop — 22.6% change
  • 2009-11-11: Highest IV Rank — 36.5%
  • 2009-11-03: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.19$19.45$22.15$19.58$21.81
Max Pain$19.35$18.00$21.00$18.00$19.00
ATM IV35.9%25.3%48.5%40.6%27.9%
Expected Move10.0%7.3%13.1%11.6%8.0%
HV 20d29.7%23.1%33.2%30.2%23.1%
HV 60d30.6%27.0%37.1%36.0%27.0%
IV Rank21.9%10.6%36.5%26.9%14.8%
IV Percentile22.3%0.4%59.1%36.5%2.0%
Term Structure0.8%-3.3%3.7%-1.8%2.5%
VWIV35.7%26.6%46.2%42.6%31.0%
Skew 25d5.1%2.3%6.9%4.0%5.8%
Skew 10d11.2%5.2%19.0%10.1%12.9%
Call IV 25d32.6%24.1%41.2%40.7%27.1%
Put IV 25d37.7%28.4%47.9%44.6%32.9%
Bid-Ask Spread %14.469.5921.7021.7015.69
Gamma HHI0.160.110.310.110.13
Net GEX3.1M790.0K8.0M2.6M2.2M
Net DEX-116.6M-169.9M-11.2M-18.5M-147.4M
Net VEX-1.1M-1.2M-1.1M-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.064.960.664.96
Total Volume21,535.84,25974,6334,85214,497
Total OI405,181.05359,481481,087359,481403,147

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$19.58$18.0040.6%11.6%30.2%26.9%42.6%4.0%-1.8%2.6M-18.5M-1.1M0.6621.70N/AN/A2,9261,926211,218148,263
2009-11-03$19.45$18.0045.7%13.1%29.8%33.1%44.7%6.9%-2.7%2.5M-11.2M-1.1M0.0911.37N/AN/A14,2711,244212,144148,751
2009-11-04$19.51$18.0042.4%12.2%28.9%29.0%46.2%6.0%-3.3%2.8M-16.2M-1.1M1.8913.24N/AN/A8,26115,581214,643149,047
2009-11-05$20.07$18.0040.3%11.5%28.9%26.4%41.6%3.5%-1.8%2.5M-43.7M-1.1M0.0621.25N/AN/A5,919381214,190164,091
2009-11-06$20.94$21.0036.8%10.5%32.8%22.1%36.2%4.7%0.6%3.2M-99.4M-1.1M0.3214.81N/AN/A13,8654,436216,591164,140
2009-11-09$21.25$21.0042.9%10.8%33.2%29.6%37.8%6.5%0.4%3.4M-118.2M-1.1M2.2613.07N/AN/A5,32512,026217,069166,031
2009-11-10$21.01$21.0045.5%11.0%32.5%32.9%37.2%4.9%-0.1%2.9M-103.9M-1.1M1.1314.84N/AN/A5,6636,407219,733172,094
2009-11-11$21.30$21.0048.5%11.3%32.6%36.5%37.7%5.9%-0.5%2.9M-117.0M-1.1M0.3910.80N/AN/A15,5866,067221,198175,876
2009-11-12$21.47$21.0038.8%11.1%32.7%24.6%37.5%6.0%-0.3%3.4M-134.6M-1.1M1.4713.47N/AN/A3,6465,372228,191179,584
2009-11-13$21.85$21.0040.9%11.7%32.9%28.2%41.5%5.0%-2.9%3.2M-162.5M-1.2M0.3519.62N/AN/A55,12419,509227,451180,817
2009-11-16$21.74$21.0031.6%9.1%32.3%16.4%31.8%5.7%3.7%8.0M-169.9M-1.1M0.9915.03N/AN/A28,21128,042263,870190,923
2009-11-17$21.48$21.0033.5%9.6%32.0%18.9%39.9%5.2%1.9%4.4M-128.2M-1.1M0.6310.52N/AN/A34,65522,003242,662193,092
2009-11-18$21.59$18.0031.8%9.1%30.0%16.7%34.6%4.7%3.7%4.7M-163.8M-1.1M1.5416.33N/AN/A6,63410,200257,461206,939
2009-11-19$21.49$18.0032.9%9.4%29.3%18.1%32.0%5.6%2.8%3.7M-124.7M-1.1M0.9013.49N/AN/A20,93218,901243,090211,565
2009-11-20$21.35$18.0031.4%9.0%28.2%16.1%30.6%5.7%3.1%790.0K-140.8M-1.1M0.8513.70N/AN/A5,3954,567258,072223,015
2009-11-23$21.88$18.0027.7%8.0%28.4%12.2%28.5%4.5%2.8%1.7M-146.2M-1.1M0.6312.70N/AN/A7,0924,485206,864179,566
2009-11-24$22.01$18.0025.6%7.3%26.9%10.9%27.0%4.2%3.6%2.0M-157.6M-1.1M0.3714.78N/AN/A8,8883,326210,369181,588
2009-11-25$22.15$19.0025.3%7.3%25.0%10.6%26.6%4.4%2.2%2.4M-169.3M-1.1M0.479.59N/AN/A3,4541,640215,180183,376
2009-11-27$21.96$19.0027.2%7.8%24.6%13.6%28.1%2.3%2.5%2.4M-159.1M-1.1M1.2113.11N/AN/A1,9262,333217,137184,583
2009-11-30$21.81$19.0027.9%8.0%23.1%14.8%31.0%5.8%2.5%2.2M-147.4M-1.1M4.9615.69N/AN/A2,43312,064217,617185,530