LOW Options History — December 2009

In December 2009, LOW traded between $22.48 and $24.17. ATM implied volatility averaged 25.7%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.2% (HV 20d: 21.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2009-12-11: Highest Volume — 43,688 contracts
  • 2009-12-10: Largest IV spike — 23.2% change
  • 2009-12-10: Highest IV Rank — 22.5%
  • 2009-12-09: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.37$22.48$24.17$22.58$23.39
Max Pain$19.61$17.50$20.00$19.00$20.00
ATM IV25.7%22.4%31.0%25.3%23.2%
Expected Move7.6%6.4%8.9%7.2%6.7%
HV 20d21.5%17.4%25.3%25.2%17.6%
HV 60d27.0%25.2%28.3%27.8%25.2%
IV Rank12.7%6.8%22.5%10.5%8.3%
IV Percentile2.3%0.4%7.9%0.4%1.2%
Term Structure2.9%1.1%5.5%5.5%4.3%
VWIV27.9%22.6%32.1%28.1%23.9%
Skew 25d6.0%4.4%10.1%5.1%5.2%
Skew 10d13.0%6.6%23.4%6.6%7.8%
Call IV 25d24.3%19.3%27.8%24.2%21.2%
Put IV 25d30.3%26.4%34.5%29.4%26.4%
Bid-Ask Spread %9.065.3715.5512.637.63
Gamma HHI0.160.130.190.140.18
Net GEX3.5M2.4M4.1M2.4M4.0M
Net DEX-258.4M-381.4M-192.6M-197.2M-218.7M
Net VEX-1.2M-1.5M-1.1M-1.1M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.102.340.331.50
Total Volume11,326.0911,74343,68811,1493,294
Total OI433,701.5406,564468,727410,275448,934

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$22.58$19.0025.3%7.2%25.2%10.5%28.1%5.1%5.5%2.4M-197.2M-1.1M0.3312.63N/AN/A8,3912,758217,307192,968
2009-12-02$22.65$19.0025.7%7.4%24.8%12.1%29.1%6.7%4.5%2.6M-202.6M-1.1M0.5213.12N/AN/A3,5551,846219,087190,552
2009-12-03$22.48$19.0028.4%8.2%25.3%17.0%25.7%7.8%1.6%2.7M-192.6M-1.1M0.1215.55N/AN/A12,4221,549219,764190,740
2009-12-04$22.88$20.0026.1%8.8%24.4%13.0%30.5%6.8%2.2%2.9M-229.9M-1.2M0.538.27N/AN/A6,7063,553229,960191,088
2009-12-07$22.78$20.0025.8%8.8%20.6%12.7%30.6%6.3%1.7%3.0M-227.1M-1.1M0.1010.89N/AN/A18,9301,839231,427192,710
2009-12-08$22.71$20.0025.7%8.8%20.4%12.4%31.1%6.7%2.3%3.5M-240.3M-1.3M0.6410.66N/AN/A2,0351,293249,611193,258
2009-12-09$22.81$20.0025.1%8.9%19.6%11.8%31.4%6.4%1.7%3.6M-249.9M-1.2M0.9911.08N/AN/A3,0403,007250,971193,931
2009-12-10$23.09$20.0031.0%8.9%19.6%22.5%30.7%6.9%1.5%3.5M-271.7M-1.3M0.918.61N/AN/A5,0834,635251,853195,965
2009-12-11$23.88$20.0027.8%8.0%22.2%16.6%32.1%5.2%3.6%3.5M-328.0M-1.3M0.208.44N/AN/A36,2587,430254,430197,768
2009-12-14$24.17$17.5028.0%8.0%21.9%17.0%28.0%6.7%3.3%3.5M-381.4M-1.3M0.308.60N/AN/A8,6032,607269,530199,197
2009-12-15$24.00$19.0027.2%7.8%22.0%15.6%28.8%6.1%3.7%3.7M-341.3M-1.3M0.477.86N/AN/A6,6453,093260,498200,635
2009-12-16$23.69$19.0026.9%7.7%22.1%15.1%29.5%4.4%4.5%3.6M-306.4M-1.3M0.3912.02N/AN/A4,1621,630255,066201,431
2009-12-17$23.69$19.0027.8%8.0%22.2%16.7%29.5%5.5%3.3%3.4M-303.3M-1.2M0.647.62N/AN/A7,4134,721254,424202,108
2009-12-18$23.62$20.0025.6%7.4%22.1%12.7%27.4%5.8%4.9%3.5M-284.2M-1.2M1.198.26N/AN/A4,1624,957251,449204,037
2009-12-21$23.84$20.0024.2%6.9%21.7%10.1%22.6%4.7%2.4%3.7M-263.6M-1.2M0.485.95N/AN/A6,0922,941231,843174,721
2009-12-22$23.86$20.0024.7%7.1%20.6%11.0%24.9%4.7%1.5%3.9M-263.7M-1.2M1.356.24N/AN/A3,3244,502234,910176,609
2009-12-23$23.56$20.0023.6%6.8%21.4%9.0%24.4%5.3%2.8%3.7M-241.0M-1.2M2.349.49N/AN/A2,4905,827236,443178,281
2009-12-24$23.65$20.0023.0%6.6%21.4%8.0%23.9%6.0%2.6%3.8M-245.2M-1.2M0.795.37N/AN/A976767236,995180,556
2009-12-28$23.65$20.0024.1%6.9%21.0%9.9%25.2%5.3%2.1%3.8M-244.1M-1.2M2.088.30N/AN/A1,1762,448237,397180,642
2009-12-29$23.61$20.0024.5%7.0%20.7%10.6%28.2%4.5%1.1%3.8M-232.4M-1.2M0.956.54N/AN/A19,91218,834233,728181,509
2009-12-30$23.53$20.0022.4%6.4%17.4%6.8%27.3%10.1%3.7%4.1M-219.8M-1.5M1.506.18N/AN/A1,7082,560251,305195,795
2009-12-31$23.39$20.0023.2%6.7%17.6%8.3%23.9%5.2%4.3%4.0M-218.7M-1.5M1.507.63N/AN/A1,3181,976252,032196,902