LOW Options History — February 2010

In February 2010, LOW traded between $21.59 and $23.82. ATM implied volatility averaged 25.7%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 3.5% (HV 20d: 22.1%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.69.

Notable Days

  • 2010-02-19: Highest Volume — 41,656 contracts
  • 2010-02-11: Largest IV spike — 26.2% change
  • 2010-02-12: Highest IV Rank — 28.1%
  • 2010-02-08: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.56$21.59$23.82$21.99$23.71
Max Pain$22.58$21.00$23.00$21.00$23.00
ATM IV25.7%20.6%30.9%24.5%20.8%
Expected Move7.7%5.9%9.1%7.0%6.0%
HV 20d22.1%18.2%24.8%18.2%24.7%
HV 60d20.6%20.0%21.9%21.3%21.2%
IV Rank17.8%8.8%28.1%14.8%9.3%
IV Percentile11.4%0.8%24.2%6.0%1.6%
Term Structure0.8%-3.0%4.7%4.4%1.8%
VWIV27.3%20.9%32.3%24.9%20.9%
Skew 25d5.2%3.8%7.1%4.6%3.8%
Skew 10d11.2%7.4%15.0%14.4%7.4%
Call IV 25d25.1%19.8%29.7%22.9%20.0%
Put IV 25d30.3%23.7%36.0%27.4%23.7%
Bid-Ask Spread %6.004.317.625.955.31
Gamma HHI0.150.110.170.120.17
Net GEX4.0M2.7M6.0M2.7M6.0M
Net DEX-114.0M-178.7M-56.8M-56.8M-169.0M
Net VEX-1.5M-1.6M-1.4M-1.4M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.101.310.371.31
Total Volume12,513.6844,35641,6565,7236,117
Total OI326,727.947298,898344,515298,898343,259

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$21.99$21.0024.5%7.0%18.2%14.8%24.9%4.6%4.4%2.7M-56.8M-1.4M0.375.95N/AN/A4,1781,545178,482120,416
2010-02-02$22.58$21.0021.9%6.3%20.8%10.3%23.9%4.1%4.7%3.2M-91.6M-1.4M0.226.20N/AN/A4,9941,082181,104121,125
2010-02-03$22.11$21.0024.5%7.0%21.7%14.9%24.5%4.5%4.4%3.0M-64.6M-1.4M0.107.21N/AN/A23,7942,468181,915121,166
2010-02-04$21.60$21.0026.6%7.6%22.9%18.5%26.6%4.6%4.2%3.4M-62.8M-1.5M0.646.25N/AN/A7,7404,964199,579121,431
2010-02-05$21.59$23.0026.1%9.0%19.7%17.6%32.3%6.4%-0.8%3.5M-65.8M-1.5M0.494.31N/AN/A3,8881,896203,255123,509
2010-02-08$21.76$23.0027.4%9.1%20.2%20.0%30.7%6.3%-1.1%3.6M-72.2M-1.5M1.204.95N/AN/A4,7355,672202,099124,001
2010-02-09$21.84$23.0025.4%8.9%20.3%16.4%31.6%7.1%-0.4%3.5M-80.3M-1.5M0.665.66N/AN/A3,0011,991204,856125,825
2010-02-10$21.80$23.0024.5%8.9%20.3%14.9%31.2%6.8%-0.9%3.5M-76.8M-1.5M0.915.27N/AN/A2,5832,343205,542126,553
2010-02-11$22.17$23.0030.9%8.9%21.5%28.1%29.4%6.1%-0.7%3.6M-101.4M-1.5M0.125.91N/AN/A7,046865206,144126,740
2010-02-12$22.16$23.0030.8%8.8%21.6%28.1%31.2%6.3%-0.7%3.6M-103.0M-1.5M1.245.71N/AN/A1,9422,414209,771127,096
2010-02-16$22.74$23.0029.5%8.5%23.7%25.7%29.7%5.6%-1.2%3.1M-141.9M-1.5M0.286.84N/AN/A5,7631,595210,326128,786
2010-02-17$23.05$23.0028.4%8.1%24.3%23.5%28.9%5.2%-0.7%4.0M-167.9M-1.6M0.446.32N/AN/A6,8483,032212,779129,110
2010-02-18$23.15$23.0027.8%8.0%23.8%22.5%28.8%5.2%-1.0%4.5M-176.6M-1.5M0.515.54N/AN/A4,4432,248214,450129,199
2010-02-19$23.13$23.0030.6%8.8%23.8%27.7%30.6%5.5%-3.0%4.5M-178.7M-1.5M1.096.58N/AN/A19,91821,738215,506129,009
2010-02-22$23.07$23.0023.6%6.8%21.7%14.5%23.6%4.5%0.6%4.4M-122.5M-1.5M1.146.19N/AN/A11,95713,660189,412126,831
2010-02-23$22.81$23.0023.5%6.7%21.9%14.4%23.9%4.8%1.1%3.9M-103.9M-1.5M0.707.62N/AN/A7,3915,168191,394130,087
2010-02-24$23.64$23.0020.6%5.9%24.8%8.8%22.6%3.9%2.1%5.4M-157.5M-1.6M0.806.04N/AN/A6,8125,474192,091129,375
2010-02-25$23.82$23.0020.6%5.9%24.8%8.9%22.7%4.0%2.0%5.7M-172.8M-1.6M0.826.08N/AN/A14,51511,940193,805131,803
2010-02-26$23.71$23.0020.8%6.0%24.7%9.3%20.9%3.8%1.8%6.0M-169.0M-1.6M1.315.31N/AN/A2,6503,467201,743141,516