LOW Options History — March 2010 In March 2010, LOW traded between $23.62 and $25.16. ATM implied volatility averaged 20.6%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.8% (HV 20d: 17.8%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.58.
Notable Days 2010-03-19 : Highest Volume — 41,265 contracts2010-03-24 : Largest IV spike — 8.1% change2010-03-17 : Highest IV Rank — 14.3%2010-03-10 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $24.42 $23.62 $25.16 $23.98 $24.24 Max Pain $22.74 $22.00 $23.00 $23.00 $23.00 ATM IV 20.6% 19.2% 21.8% 21.5% 19.5% Expected Move 6.0% 5.6% 6.4% 6.2% 5.6% HV 20d 17.8% 13.0% 24.2% 23.8% 13.1% HV 60d 19.5% 18.8% 20.4% 20.2% 19.1% IV Rank 10.7% 6.2% 14.3% 10.5% 8.9% IV Percentile 3.7% 0.8% 7.1% 2.4% 2.0% Term Structure 2.6% 1.4% 3.8% 1.4% 3.8% VWIV 21.6% 19.5% 24.8% 22.9% 19.5% Skew 25d 3.8% 3.1% 4.9% 3.8% 3.5% Skew 10d 8.4% 6.5% 11.2% 10.7% 6.6% Call IV 25d 19.7% 18.2% 20.8% 20.1% 18.2% Put IV 25d 23.6% 21.8% 25.2% 23.9% 21.8% Bid-Ask Spread % 5.11 3.42 10.20 6.68 3.59 Gamma HHI 0.23 0.18 0.28 0.18 0.27 Net GEX 7.6M 5.9M 8.8M 6.2M 8.4M Net DEX -189.4M -279.1M -122.7M -183.1M -122.7M Net VEX -1.5M -1.7M -1.3M -1.6M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.08 1.85 0.55 1.02 Total Volume 10,065.739 1,504 41,265 6,884 4,488 Total OI 344,468.087 303,083 386,036 344,274 325,216
Daily Data (23 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 2010-03-01 $23.98 $23.00 21.5% 6.2% 23.8% 10.5% 22.9% 3.8% 1.4% 6.2M -183.1M -1.6M 0.55 6.68 N/A N/A 4,441 2,443 201,464 142,810 2010-03-02 $23.69 $23.00 20.8% 6.0% 24.2% 9.2% 21.6% 4.1% 1.7% 5.9M -158.5M -1.6M 0.97 6.94 N/A N/A 4,325 4,175 201,985 143,509 2010-03-03 $23.62 $23.00 20.3% 5.8% 22.7% 8.2% 22.3% 3.6% 1.9% 6.0M -156.9M -1.6M 0.62 6.38 N/A N/A 10,253 6,407 203,653 145,461 2010-03-04 $23.79 $23.00 19.7% 5.7% 21.0% 7.2% 20.1% 3.9% 2.2% 6.3M -163.1M -1.6M 0.44 8.12 N/A N/A 4,720 2,087 201,777 148,042 2010-03-05 $24.05 $22.00 19.3% 6.3% 18.6% 6.2% 23.3% 4.7% 3.1% 7.3M -189.1M -1.6M 0.51 4.24 N/A N/A 4,239 2,161 203,970 145,799 2010-03-08 $23.95 $22.00 20.0% 6.4% 18.8% 7.6% 24.1% 4.5% 2.7% 7.2M -181.3M -1.6M 0.77 3.87 N/A N/A 1,877 1,452 205,466 146,177 2010-03-09 $24.01 $22.00 19.2% 6.3% 18.8% 6.2% 20.6% 4.9% 2.8% 7.7M -184.7M -1.6M 0.69 5.52 N/A N/A 3,168 2,178 205,617 146,178 2010-03-10 $24.29 $22.00 19.3% 6.4% 18.9% 7.8% 21.8% 4.4% 2.7% 8.1M -209.2M -1.6M 0.20 10.20 N/A N/A 5,825 1,172 206,141 146,477 2010-03-11 $24.59 $22.00 20.7% 5.9% 18.9% 11.2% 21.6% 4.4% 3.6% 7.9M -232.0M -1.5M 0.38 5.64 N/A N/A 9,216 3,507 206,767 146,668 2010-03-12 $24.95 $22.00 21.3% 6.1% 18.7% 12.6% 22.3% 4.0% 2.6% 8.3M -262.1M -1.6M 0.35 4.47 N/A N/A 11,848 4,097 210,345 149,130 2010-03-15 $25.04 $23.00 21.8% 6.2% 18.6% 13.7% 22.6% 3.7% 2.4% 8.8M -274.5M -1.6M 0.47 5.03 N/A N/A 3,767 1,770 215,734 151,369 2010-03-16 $25.05 $23.00 21.7% 6.2% 17.1% 14.0% 21.8% 3.8% 2.2% 8.7M -271.9M -1.6M 0.26 5.15 N/A N/A 4,876 1,263 215,608 152,036 2010-03-17 $25.16 $23.00 21.7% 6.2% 16.8% 14.3% 24.8% 3.7% 2.3% 8.6M -279.1M -1.6M 1.85 4.21 N/A N/A 3,036 5,609 215,713 152,676 2010-03-18 $24.90 $23.00 21.2% 6.1% 17.6% 13.0% 21.6% 4.0% 2.6% 8.3M -249.2M -1.6M 0.13 6.10 N/A N/A 21,245 2,688 213,923 156,171 2010-03-19 $24.78 $23.00 21.1% 6.0% 17.8% 12.7% 22.5% 4.0% 2.5% 8.6M -265.3M -1.7M 0.12 3.77 N/A N/A 36,770 4,495 230,065 155,971 2010-03-22 $24.91 $23.00 20.2% 5.8% 17.7% 10.7% 20.5% 3.2% 2.4% 7.0M -160.9M -1.4M 0.36 4.38 N/A N/A 13,933 5,054 160,252 142,831 2010-03-23 $24.83 $23.00 19.6% 5.6% 17.0% 9.1% 20.3% 3.1% 2.8% 7.5M -160.3M -1.4M 0.84 4.11 N/A N/A 4,039 3,385 171,750 146,896 2010-03-24 $24.38 $23.00 21.2% 6.1% 14.3% 13.0% 21.0% 3.5% 2.5% 6.8M -128.0M -1.4M 0.56 3.58 N/A N/A 5,758 3,224 166,824 148,643 2010-03-25 $24.34 $23.00 21.3% 6.1% 14.2% 13.3% 20.7% 3.5% 2.6% 7.0M -124.7M -1.4M 0.08 4.48 N/A N/A 8,717 678 171,000 149,326 2010-03-26 $24.48 $23.00 21.2% 6.1% 14.1% 13.0% 21.0% 3.2% 2.9% 8.0M -143.2M -1.4M 0.40 3.42 N/A N/A 1,253 499 174,926 149,225 2010-03-29 $24.31 $23.00 21.1% 6.1% 13.9% 12.9% 20.8% 3.6% 2.6% 7.9M -127.8M -1.4M 1.24 4.00 N/A N/A 1,730 2,140 174,567 149,479 2010-03-30 $24.34 $23.00 20.3% 5.8% 13.0% 10.8% 19.6% 3.2% 3.3% 8.5M -129.4M -1.4M 0.46 3.61 N/A N/A 1,027 477 175,422 149,707 2010-03-31 $24.24 $23.00 19.5% 5.6% 13.1% 8.9% 19.5% 3.5% 3.8% 8.4M -122.7M -1.3M 1.02 3.59 N/A N/A 2,220 2,268 175,588 149,628
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