LOW Options History — April 2010

In April 2010, LOW traded between $24.54 and $28.22. ATM implied volatility averaged 24.7%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.7% (HV 20d: 17.0%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2010-04-22: Highest Volume — 37,038 contracts
  • 2010-04-15: Largest IV spike — 22.0% change
  • 2010-04-28: Highest IV Rank — 51.3%
  • 2010-04-28: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.40$24.54$28.22$24.54$27.12
Max Pain$24.90$23.00$25.00$23.00$25.00
ATM IV24.7%16.8%35.8%17.3%35.8%
Expected Move7.6%5.0%10.3%5.0%10.3%
HV 20d17.0%12.9%25.1%13.5%25.1%
HV 60d19.3%18.2%21.2%19.1%20.2%
IV Rank22.5%2.1%51.3%3.5%51.2%
IV Percentile24.0%0.4%66.7%0.4%66.7%
Term Structure-1.8%-5.7%4.6%4.6%-5.3%
VWIV26.9%18.4%35.7%18.4%35.7%
Skew 25d3.5%2.5%4.0%2.5%3.6%
Skew 10d7.5%4.6%9.5%4.6%7.2%
Call IV 25d25.5%17.6%35.0%17.6%35.0%
Put IV 25d29.0%20.1%38.6%20.1%38.6%
Bid-Ask Spread %6.053.8312.003.836.85
Gamma HHI0.240.150.400.290.16
Net GEX8.0M4.8M12.6M9.4M7.4M
Net DEX-249.5M-319.1M-147.0M-147.0M-254.7M
Net VEX-1.4M-1.6M-1.4M-1.4M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.031.300.220.30
Total Volume12,432.4292,78137,0389,6272,781
Total OI320,386.286257,942359,637324,156319,069

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$24.54$23.0017.3%5.0%13.5%3.5%18.4%2.5%4.6%9.4M-147.0M-1.4M0.223.83N/AN/A7,8621,765175,439148,717
2010-04-05$24.87$25.0018.9%6.6%13.8%7.5%23.0%4.0%0.1%10.3M-170.0M-1.4M0.036.18N/AN/A21,548751177,272148,278
2010-04-06$24.98$25.0019.2%6.6%13.6%8.3%23.2%4.0%-0.0%12.6M-201.4M-1.4M0.934.73N/AN/A3,9203,649194,271148,942
2010-04-07$25.25$25.0019.9%7.1%14.0%10.1%23.7%3.8%-0.5%11.8M-227.7M-1.4M0.244.63N/AN/A12,9183,095196,207151,637
2010-04-08$25.59$25.0017.8%6.6%14.1%4.7%23.8%3.6%-0.2%11.0M-258.2M-1.4M0.194.97N/AN/A8,8741,707196,207151,637
2010-04-09$25.63$25.0016.8%6.6%13.7%2.1%23.9%3.4%-0.3%11.4M-264.6M-1.4M0.345.69N/AN/A4,0421,383200,132152,735
2010-04-12$25.60$25.0017.8%6.7%12.9%4.9%24.6%3.6%-0.5%11.3M-259.8M-1.4M0.234.70N/AN/A7,4331,717198,815152,598
2010-04-13$26.22$25.0018.9%7.0%15.2%7.6%24.7%3.7%-1.1%7.9M-300.8M-1.4M0.868.84N/AN/A11,71710,130196,539153,173
2010-04-14$26.59$25.0019.4%6.8%15.7%9.0%24.9%3.5%-1.2%6.2M-315.0M-1.4M0.315.37N/AN/A9,2422,887199,667159,970
2010-04-15$26.66$25.0023.7%6.8%15.7%20.1%25.1%3.3%-0.8%5.9M-313.6M-1.4M0.115.63N/AN/A9,5531,004198,183160,388
2010-04-16$26.29$25.0025.2%7.2%16.2%23.8%26.2%3.7%-1.1%5.9M-279.4M-1.4M0.085.85N/AN/A10,504856194,794160,692
2010-04-19$26.45$25.0025.2%7.2%15.9%23.8%25.2%3.5%-1.2%5.2M-192.8M-1.4M0.736.54N/AN/A5,0983,724154,174103,768
2010-04-20$26.62$25.0023.8%6.8%16.0%20.2%24.6%3.8%-0.9%5.2M-204.0M-1.4M0.467.03N/AN/A4,3181,965156,636105,432
2010-04-21$26.66$25.0024.0%6.9%15.8%20.9%25.0%3.6%-1.1%5.4M-209.0M-1.4M0.745.82N/AN/A5,7164,229158,998105,788
2010-04-22$27.53$25.0027.0%7.7%16.7%28.6%27.1%3.2%-2.9%4.8M-252.4M-1.5M0.137.19N/AN/A32,8394,199162,540109,497
2010-04-23$28.22$25.0029.7%8.5%17.7%35.4%29.3%3.1%-4.0%7.0M-319.1M-1.5M0.384.61N/AN/A16,2176,166186,820111,657
2010-04-26$28.16$25.0031.6%9.1%18.0%40.4%31.4%3.5%-4.7%7.4M-317.1M-1.5M0.234.57N/AN/A5,8891,333192,278114,759
2010-04-27$27.00$25.0035.2%10.1%24.7%49.8%35.2%3.3%-5.2%7.2M-243.2M-1.6M1.3012.00N/AN/A5,0086,495192,893114,193
2010-04-28$27.03$25.0035.8%10.3%24.7%51.3%35.2%3.5%-5.5%6.9M-242.7M-1.6M0.526.37N/AN/A7,1953,726192,866116,451
2010-04-29$27.40$25.0035.2%10.1%24.6%49.7%35.3%3.5%-5.7%7.5M-267.7M-1.6M0.485.68N/AN/A5,1492,477195,984118,016
2010-04-30$27.12$25.0035.8%10.3%25.1%51.2%35.7%3.6%-5.3%7.4M-254.7M-1.6M0.306.85N/AN/A2,145636199,161119,908