LOW Options History — June 2010

In June 2010, LOW traded between $20.42 and $24.44. ATM implied volatility averaged 32.8%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 0.9% (HV 20d: 31.9%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2010-06-16: Highest Volume — 16,705 contracts
  • 2010-06-22: Largest IV spike — 16.7% change
  • 2010-06-30: Highest IV Rank — 67.7%
  • 2010-06-30: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.77$20.42$24.44$24.29$20.42
Max Pain$23.82$23.00$25.00$25.00$23.00
ATM IV32.8%26.4%39.2%37.5%39.2%
Expected Move9.4%7.6%11.2%10.8%11.2%
HV 20d31.9%26.9%39.6%39.6%27.3%
HV 60d30.9%29.1%32.6%29.1%32.6%
IV Rank49.2%30.4%67.7%62.8%67.7%
IV Percentile56.1%31.7%87.3%77.4%87.3%
Term Structure0.8%-1.5%2.7%-0.9%0.3%
VWIV32.4%26.6%40.8%36.5%37.6%
Skew 25d8.2%7.1%9.8%7.7%7.7%
Skew 10d16.9%13.3%21.7%14.6%16.5%
Call IV 25d29.4%24.9%35.3%33.6%35.0%
Put IV 25d37.7%32.4%43.6%41.3%42.7%
Bid-Ask Spread %6.054.488.658.345.75
Gamma HHI0.120.100.190.100.14
Net GEX274.5K-1.8M2.2M2.0M-929.4K
Net DEX22.6M-51.7M101.9M-51.7M101.9M
Net VEX-1.3M-1.5M-1.1M-1.5M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.212.581.340.97
Total Volume7,7241,36216,7059,2883,096
Total OI318,262.136304,191336,716304,191329,074

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$24.29$25.0037.5%10.8%39.6%62.8%36.5%7.7%-0.9%2.0M-51.7M-1.5M1.348.34N/AN/A3,9625,326166,288137,903
2010-06-02$24.43$25.0033.0%9.5%39.0%49.6%30.8%7.1%1.0%2.0M-51.5M-1.5M0.766.96N/AN/A3,3352,535165,913141,880
2010-06-03$24.44$25.0031.1%8.9%38.9%44.1%32.4%7.1%0.8%2.2M-50.5M-1.5M2.587.38N/AN/A1,8754,836167,195141,799
2010-06-04$23.52$24.0033.6%9.8%38.3%51.4%35.1%9.8%0.3%873.8K-4.6M-1.5M0.488.65N/AN/A4,9562,363167,196144,300
2010-06-07$23.39$24.0038.1%10.7%38.3%64.5%35.5%9.6%-1.5%738.6K716.9K-1.4M0.217.22N/AN/A8,1291,694167,480144,472
2010-06-08$23.37$24.0036.1%10.3%31.8%58.7%34.0%9.6%-0.9%890.6K-1.9M-1.4M0.514.59N/AN/A4,8792,511173,717144,710
2010-06-09$23.28$24.0035.7%10.2%30.8%57.7%34.4%9.5%-0.7%772.6K4.2M-1.4M0.656.38N/AN/A1,9481,265174,328145,241
2010-06-10$23.84$24.0031.2%8.9%32.7%44.4%32.1%8.4%1.2%1.6M-22.3M-1.4M0.414.72N/AN/A1,907791174,692145,335
2010-06-11$23.48$24.0033.0%9.4%31.6%49.5%31.3%8.9%0.4%806.6K-1.2M-1.4M0.386.18N/AN/A990372174,696145,381
2010-06-14$23.45$24.0032.9%9.4%31.7%49.5%30.5%9.3%-0.2%528.7K2.3M-1.4M0.805.54N/AN/A1,9021,512174,640144,690
2010-06-15$23.93$24.0027.9%8.0%31.3%34.7%27.1%7.8%2.1%1.3M-24.4M-1.4M0.378.40N/AN/A4,0711,510175,529145,179
2010-06-16$23.20$24.0029.9%8.6%32.1%40.7%28.8%8.6%1.0%-660.8K21.0M-1.3M1.025.07N/AN/A8,2798,426176,972145,414
2010-06-17$22.68$24.0028.4%8.2%32.7%36.4%29.9%7.8%1.7%-1.8M49.7M-1.3M1.005.59N/AN/A6,3726,370182,158150,971
2010-06-18$22.62$24.0026.4%7.6%28.8%30.4%26.6%7.5%2.7%-269.5K56.5M-1.2M1.555.89N/AN/A4,4556,892182,448154,268
2010-06-21$22.51$24.0026.5%7.6%27.4%30.6%27.8%7.7%2.6%31.0K36.6M-1.2M0.466.22N/AN/A3,8441,778169,395140,118
2010-06-22$21.76$23.0030.9%8.9%29.4%43.6%30.6%8.2%1.5%-564.8K61.3M-1.2M0.854.86N/AN/A6,0395,110170,915139,995
2010-06-23$21.85$23.0030.6%8.8%29.1%42.8%30.8%7.5%1.9%-443.3K54.8M-1.2M1.074.48N/AN/A5,0795,433172,088140,244
2010-06-24$21.24$23.0034.8%10.0%30.2%55.1%34.7%7.9%1.1%-787.9K75.4M-1.1M1.074.83N/AN/A6,8237,327173,765140,895
2010-06-25$21.33$23.0034.1%9.8%27.0%52.8%34.1%7.8%1.9%-656.4K71.8M-1.2M0.945.36N/AN/A3,7543,530177,782143,879
2010-06-28$21.23$23.0033.8%9.7%26.9%52.1%30.9%7.6%1.7%-735.3K75.6M-1.2M1.114.68N/AN/A2,3472,606178,416145,294
2010-06-29$20.60$23.0037.6%10.8%27.8%63.0%40.8%8.3%0.2%-857.0K94.6M-1.1M0.956.00N/AN/A4,9644,735178,831146,281
2010-06-30$20.42$23.0039.2%11.2%27.3%67.7%37.6%7.7%0.3%-929.4K101.9M-1.1M0.975.75N/AN/A1,5691,527179,319149,755