LOW Options History — January 2010

In January 2010, LOW traded between $21.65 and $23.64. ATM implied volatility averaged 25.3%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 9.0% (HV 20d: 16.2%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.92.

Notable Days

  • 2010-01-14: Highest Volume — 810,720 contracts
  • 2010-01-13: Largest IV spike — 121.2% change
  • 2010-01-13: Highest IV Rank — 33.7%
  • 2010-01-04: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.82$21.65$23.64$23.16$21.65
Max Pain$22.05$21.00$24.00$24.00$21.00
ATM IV25.3%16.0%35.3%30.5%25.4%
Expected Move7.1%6.2%7.8%7.8%7.3%
HV 20d16.2%13.7%19.7%17.8%16.8%
HV 60d23.2%20.9%24.8%24.7%21.2%
IV Rank15.0%0.0%33.7%21.6%16.5%
IV Percentile7.5%0.0%36.1%12.7%8.7%
Term Structure4.1%2.8%5.2%3.4%5.0%
VWIV24.7%21.6%26.7%26.7%25.1%
Skew 25d4.2%2.0%5.5%5.3%2.0%
Skew 10d11.4%4.7%16.8%8.5%7.8%
Call IV 25d23.0%20.7%25.4%24.4%25.4%
Put IV 25d27.1%23.7%29.7%29.7%27.5%
Bid-Ask Spread %15.6710.5522.8111.8919.09
Gamma HHI0.160.120.220.180.14
Net GEX3.6M2.6M4.8M3.8M2.7M
Net DEX-139.2M-235.7M-41.5M-200.7M-41.5M
Net VEX-1.4M-1.5M-1.4M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.003.630.463.63
Total Volume49,892.3162,423810,7203,8077,849
Total OI372,422.211260,852462,900448,986297,710

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$23.16$24.0030.5%7.8%17.8%21.6%26.7%5.3%3.4%3.8M-200.7M-1.5M0.4611.89N/AN/A2,6051,202252,120196,866
2010-01-05$22.92$24.0028.7%7.5%17.2%18.4%26.1%5.5%4.3%3.5M-182.9M-1.4M0.6213.69N/AN/A6,3663,924253,129197,194
2010-01-06$22.98$23.0027.8%7.6%17.1%16.7%26.3%4.6%3.1%3.8M-191.1M-1.4M0.4716.60N/AN/A1,646777255,141199,703
2010-01-07$23.64$23.0024.2%7.0%19.7%10.1%26.5%4.4%4.5%4.8M-235.7M-1.5M0.2717.70N/AN/A10,4632,861254,894199,683
2010-01-08$23.59$23.0024.3%6.8%19.7%10.2%25.0%4.1%4.2%4.8M-225.4M-1.4M0.2819.21N/AN/A10,6432,957254,665200,596
2010-01-11$23.39$23.0027.4%7.3%19.6%15.9%25.5%5.1%3.2%4.5M-210.0M-1.4M0.3811.62N/AN/A3,4261,286257,027202,236
2010-01-12$23.33$23.0016.0%7.4%15.3%0.0%25.5%4.6%2.8%4.4M-206.2M-1.4M0.8118.67N/AN/A4,3363,509257,884203,102
2010-01-13$23.22$23.0035.3%7.0%14.5%33.7%23.1%3.8%3.5%4.1M-198.8M-1.4M0.2114.99N/AN/A4,140855257,769203,088
2010-01-14$23.19$23.0023.4%6.7%14.3%12.9%26.7%3.2%4.3%4.1M-194.5M-1.4M0.0015.25N/AN/A807,4493,271259,262203,638
2010-01-15$23.13$21.0023.2%6.7%13.7%12.7%22.2%3.2%5.0%2.6M-104.7M-1.4M1.2314.51N/AN/A2,4903,067220,314203,957
2010-01-19$23.11$21.0021.4%6.2%13.7%9.6%21.6%2.8%5.2%3.0M-114.9M-1.4M0.3417.05N/AN/A11,5543,961155,780105,072
2010-01-20$22.80$21.0022.3%6.4%14.4%11.1%22.1%3.8%4.2%3.4M-104.2M-1.4M1.1616.51N/AN/A5,5496,458165,413107,249
2010-01-21$22.89$21.0022.8%6.5%14.0%11.9%22.5%3.3%4.5%3.4M-107.9M-1.4M0.4816.73N/AN/A3,3821,629168,968110,917
2010-01-22$22.31$21.0026.1%7.5%16.2%17.6%25.8%4.3%4.2%3.1M-77.1M-1.4M1.6622.81N/AN/A2,4314,030170,239111,762
2010-01-25$22.12$21.0024.9%7.1%16.0%15.6%24.5%5.1%4.0%3.1M-66.5M-1.4M2.3310.55N/AN/A1,8534,310171,571112,690
2010-01-26$21.96$21.0025.6%7.3%15.8%16.7%23.3%4.5%4.4%2.9M-57.7M-1.4M0.4910.86N/AN/A2,4061,176172,098115,082
2010-01-27$22.12$21.0025.3%7.3%16.3%16.3%26.3%5.4%4.1%3.0M-66.2M-1.4M1.7416.52N/AN/A1,1161,942173,166115,603
2010-01-28$21.98$21.0025.5%7.3%16.3%16.7%25.4%4.5%3.9%2.9M-58.5M-1.4M0.8313.54N/AN/A6,0235,012173,850116,584
2010-01-29$21.65$21.0025.4%7.3%16.8%16.5%25.1%2.0%5.0%2.7M-41.5M-1.4M3.6319.09N/AN/A1,6946,155177,305120,405