LOW Options History — May 2010

In May 2010, LOW traded between $23.70 and $27.74. ATM implied volatility averaged 38.6%, placing in the 61.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 1.6% (HV 20d: 37.0%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2010-05-12: Highest Volume — 26,689 contracts
  • 2010-05-20: Largest IV spike — 20.9% change
  • 2010-05-07: Highest IV Rank — 88.6%
  • 2010-05-20: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.54$23.70$27.74$27.74$24.75
Max Pain$25.90$25.00$27.00$25.00$25.00
ATM IV38.6%30.0%50.2%36.3%30.7%
Expected Move10.6%8.6%12.5%10.4%8.8%
HV 20d37.0%25.7%41.0%25.7%40.6%
HV 60d25.8%19.8%28.9%19.8%28.9%
IV Rank61.6%40.8%88.6%52.7%43.0%
IV Percentile75.8%40.1%98.0%70.2%42.5%
Term Structure-1.8%-6.9%1.5%-6.3%1.2%
VWIV37.2%29.8%45.6%36.4%31.4%
Skew 25d7.3%3.4%11.9%3.4%7.0%
Skew 10d15.0%7.8%26.3%7.9%13.0%
Call IV 25d34.5%26.8%43.2%35.8%29.0%
Put IV 25d41.8%33.8%51.9%39.3%35.9%
Bid-Ask Spread %7.856.0312.997.116.68
Gamma HHI0.140.100.190.170.10
Net GEX5.0M1.4M8.1M7.7M2.5M
Net DEX-136.2M-293.5M-13.9M-293.5M-70.3M
Net VEX-1.6M-1.7M-1.5M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.182.410.411.32
Total Volume10,898.24,46626,6897,5565,506
Total OI320,287.55290,653339,906316,765302,567

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$27.74$25.0036.3%10.4%25.7%52.7%36.4%3.4%-6.3%7.7M-293.5M-1.6M0.417.11N/AN/A5,3422,214199,472117,293
2010-05-04$26.97$25.0040.1%11.5%28.4%62.5%40.2%4.2%-6.5%7.3M-241.9M-1.6M0.656.41N/AN/A4,3122,796200,789118,874
2010-05-05$26.65$25.0041.4%11.9%28.8%65.7%42.5%4.6%-6.9%6.9M-218.1M-1.7M0.467.69N/AN/A4,7502,174201,646120,852
2010-05-06$25.52$25.0042.8%12.3%32.8%69.5%43.2%3.7%-6.4%6.0M-153.5M-1.6M1.9912.99N/AN/A4,7399,423201,597120,109
2010-05-07$25.31$27.0050.2%12.3%32.9%88.6%42.1%6.8%-2.5%5.3M-138.6M-1.7M0.858.44N/AN/A5,3254,520202,996124,173
2010-05-10$26.70$27.0043.7%10.2%38.1%71.6%35.6%6.1%-1.6%7.5M-223.8M-1.6M0.349.14N/AN/A4,3921,498202,665120,775
2010-05-11$27.10$27.0041.6%9.8%37.5%66.4%35.4%6.1%-1.2%8.1M-254.0M-1.6M0.217.28N/AN/A8,6971,826204,642120,795
2010-05-12$27.06$27.0039.4%9.3%37.2%60.6%31.2%5.9%-0.7%8.0M-235.1M-1.6M0.187.60N/AN/A22,5304,159199,125121,276
2010-05-13$26.25$27.0034.0%9.7%38.8%46.6%32.4%5.6%-1.3%8.0M-191.5M-1.6M0.666.76N/AN/A3,3642,224210,394123,684
2010-05-14$26.07$27.0036.1%10.3%38.6%52.0%33.5%7.2%-1.1%7.1M-166.1M-1.7M0.398.27N/AN/A16,9566,669207,487125,523
2010-05-17$25.26$27.0035.1%10.1%40.0%49.5%35.3%8.4%-0.6%4.9M-94.7M-1.5M0.766.03N/AN/A8,9236,745198,353129,056
2010-05-18$24.70$26.0035.3%10.1%40.5%56.3%39.9%8.9%-0.5%4.2M-66.4M-1.5M2.418.71N/AN/A3,9119,422202,829129,583
2010-05-19$24.82$26.0036.1%10.4%40.6%58.9%36.7%8.4%-0.3%3.9M-65.7M-1.6M0.587.77N/AN/A2,8191,647201,343136,875
2010-05-20$23.70$26.0043.7%12.5%41.0%80.9%45.6%11.9%-1.8%1.4M-13.9M-1.5M0.817.57N/AN/A5,0804,131200,693136,910
2010-05-21$24.20$26.0041.8%12.0%40.6%75.3%40.8%11.5%-0.6%1.4M-34.7M-1.5M0.807.46N/AN/A11,6139,282202,237137,669
2010-05-24$24.18$25.0039.9%11.4%40.6%69.7%38.9%11.1%-0.5%2.0M-52.2M-1.6M0.696.98N/AN/A2,8811,980164,188130,342
2010-05-25$24.42$25.0038.0%10.9%38.9%64.3%39.1%8.9%0.5%2.1M-63.1M-1.5M1.008.10N/AN/A4,2134,210162,288128,365
2010-05-26$24.34$25.0035.7%10.2%38.9%57.5%34.2%8.2%0.2%2.0M-56.2M-1.5M0.519.32N/AN/A7,8073,956164,952134,032
2010-05-27$25.12$25.0030.0%8.6%40.5%40.8%29.8%7.0%1.5%3.0M-90.2M-1.6M1.306.69N/AN/A2,5723,356165,360133,942
2010-05-28$24.75$25.0030.7%8.8%40.6%43.0%31.4%7.0%1.2%2.5M-70.3M-1.6M1.326.68N/AN/A2,3743,132166,015136,552