LOW Options History — July 2010 In July 2010, LOW traded between $19.93 and $21.80. ATM implied volatility averaged 34.7%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 4.7% (HV 20d: 30.0%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.59.
Notable Days 2010-07-12 : Highest Volume — 47,729 contracts2010-07-12 : Largest IV spike — 12.0% change2010-07-01 : Highest IV Rank — 67.2%2010-07-01 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $20.57 $19.93 $21.80 $20.41 $20.74 Max Pain $21.29 $21.00 $23.00 $23.00 $21.00 ATM IV 34.7% 30.5% 39.0% 39.0% 34.1% Expected Move 10.2% 9.6% 11.2% 11.2% 9.8% HV 20d 30.0% 24.9% 36.1% 27.3% 35.7% HV 60d 33.3% 32.1% 34.8% 32.5% 34.3% IV Rank 54.5% 42.3% 67.2% 67.2% 52.8% IV Percentile 66.8% 43.3% 86.5% 86.5% 64.3% Term Structure -1.4% -3.1% 2.7% 1.0% -2.2% VWIV 35.4% 33.2% 38.6% 36.3% 34.2% Skew 25d 5.0% 3.2% 7.6% 7.5% 3.8% Skew 10d 11.0% 8.1% 16.4% 16.3% 8.3% Call IV 25d 33.7% 31.8% 36.9% 35.0% 33.3% Put IV 25d 38.7% 35.9% 42.9% 42.5% 37.1% Bid-Ask Spread % 4.97 4.08 7.49 5.81 7.49 Gamma HHI 0.21 0.14 0.37 0.14 0.22 Net GEX 1.1M -2.1M 3.8M -1.0M 3.1M Net DEX 58.6M -32.2M 115.1M 101.2M 24.8M Net VEX -1.1M -1.3M -1.0M -1.1M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.16 1.73 0.52 0.41 Total Volume 12,354.143 4,710 47,729 9,783 6,969 Total OI 351,275.619 328,643 400,500 328,643 353,031
Daily Data (21 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 2010-07-01 $20.41 $23.00 39.0% 11.2% 27.3% 67.2% 36.3% 7.5% 1.0% -1.0M 101.2M -1.1M 0.52 5.81 N/A N/A 6,431 3,352 179,300 149,343 2010-07-02 $20.27 $23.00 35.6% 10.2% 24.9% 57.3% 35.3% 5.8% 2.7% -1.0M 103.6M -1.1M 1.73 4.57 N/A N/A 1,812 3,141 180,738 149,607 2010-07-06 $19.96 $22.00 37.5% 10.9% 25.1% 62.8% 38.6% 7.6% -0.8% -1.1M 115.1M -1.0M 0.37 5.21 N/A N/A 7,957 2,934 181,268 149,793 2010-07-07 $20.39 $22.00 35.9% 10.4% 27.1% 58.2% 36.4% 7.1% -0.4% -1.1M 101.6M -1.0M 0.83 4.83 N/A N/A 4,760 3,934 184,905 149,484 2010-07-08 $20.23 $21.00 32.5% 10.1% 27.1% 48.1% 35.3% 6.6% -0.5% -1.2M 108.5M -1.0M 1.30 5.28 N/A N/A 5,191 6,773 186,255 151,899 2010-07-09 $20.43 $21.00 30.5% 10.0% 25.4% 42.3% 33.4% 6.0% -0.6% -1.0M 101.5M -1.0M 0.24 4.53 N/A N/A 10,237 2,435 189,715 154,382 2010-07-12 $20.36 $21.00 34.1% 10.8% 25.2% 53.0% 37.2% 3.2% -2.5% -506.1K 95.4M -1.1M 0.16 5.15 N/A N/A 41,318 6,411 198,540 154,361 2010-07-13 $21.16 $21.00 33.1% 10.3% 30.0% 50.0% 35.7% 4.8% -1.7% 1.8M 34.5M -1.2M 0.33 4.72 N/A N/A 17,144 5,625 229,428 157,034 2010-07-14 $20.87 $21.00 31.4% 10.5% 28.6% 45.1% 36.6% 5.0% -2.1% 1.8M 50.0M -1.2M 0.74 4.43 N/A N/A 9,386 6,942 234,917 160,049 2010-07-15 $20.88 $21.00 34.9% 10.0% 27.2% 55.2% 35.0% 4.7% -1.2% 1.9M 52.1M -1.2M 0.57 4.95 N/A N/A 4,518 2,561 237,014 163,486 2010-07-16 $20.04 $21.00 36.5% 10.5% 29.4% 60.0% 36.8% 5.1% -1.2% -2.1M 97.5M -1.1M 1.46 5.80 N/A N/A 4,464 6,520 234,953 163,922 2010-07-19 $19.93 $21.00 35.0% 10.0% 29.4% 55.6% 34.5% 4.9% -1.7% 1.2M 65.9M -1.1M 0.17 4.56 N/A N/A 9,047 1,536 189,308 139,992 2010-07-20 $20.33 $21.00 34.0% 9.7% 30.8% 52.6% 33.3% 3.6% -1.7% 1.9M 49.0M -1.1M 0.71 4.08 N/A N/A 7,840 5,578 194,318 140,602 2010-07-21 $19.98 $21.00 35.3% 10.1% 29.3% 56.3% 35.1% 3.6% -1.8% 1.6M 61.5M -1.1M 0.28 4.42 N/A N/A 8,160 2,283 197,307 141,253 2010-07-22 $20.83 $21.00 33.7% 9.7% 33.5% 51.9% 33.2% 4.1% -2.2% 2.8M 21.1M -1.2M 0.17 4.44 N/A N/A 7,367 1,285 199,441 142,464 2010-07-23 $21.11 $21.00 33.4% 9.6% 32.4% 50.7% 33.6% 4.1% -2.0% 3.2M 5.0M -1.3M 0.39 4.44 N/A N/A 3,385 1,325 201,009 143,039 2010-07-26 $21.80 $21.00 33.5% 9.6% 34.4% 51.2% 36.0% 5.1% -2.7% 3.8M -32.2M -1.3M 0.37 4.49 N/A N/A 9,816 3,586 201,760 143,770 2010-07-27 $21.15 $21.00 35.5% 10.2% 36.1% 57.1% 35.7% 4.7% -3.1% 3.3M 4.6M -1.3M 0.28 4.80 N/A N/A 7,712 2,135 203,385 144,738 2010-07-28 $20.70 $21.00 35.8% 10.2% 35.3% 57.7% 36.1% 4.2% -2.8% 2.7M 28.7M -1.2M 0.63 5.11 N/A N/A 5,057 3,166 204,993 145,128 2010-07-29 $20.48 $21.00 36.5% 10.5% 35.4% 59.9% 35.6% 3.5% -2.5% 2.5M 40.2M -1.2M 0.75 5.29 N/A N/A 5,354 3,990 206,461 144,396 2010-07-30 $20.74 $21.00 34.1% 9.8% 35.7% 52.8% 34.2% 3.8% -2.2% 3.1M 24.8M -1.2M 0.41 7.49 N/A N/A 4,940 2,029 208,535 144,496
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