LOW Options History — September 2010

In September 2010, LOW traded between $21.02 and $22.48. ATM implied volatility averaged 27.7%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 3.3% (HV 20d: 31.0%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2010-09-21: Highest Volume — 26,233 contracts
  • 2010-09-07: Largest IV spike — 11.7% change
  • 2010-09-15: Highest IV Rank — 42.1%
  • 2010-09-07: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.73$21.02$22.48$21.24$22.29
Max Pain$22.71$20.00$23.00$20.00$23.00
ATM IV27.7%24.4%30.4%28.0%27.2%
Expected Move8.1%7.5%8.8%8.0%7.8%
HV 20d31.0%24.6%34.1%32.3%24.6%
HV 60d31.8%30.4%33.2%32.4%31.3%
IV Rank34.2%24.7%42.1%35.0%32.7%
IV Percentile37.9%22.2%48.0%38.5%36.1%
Term Structure3.9%2.9%5.3%3.3%3.7%
VWIV29.3%26.6%32.4%28.1%27.6%
Skew 25d4.4%2.7%6.0%4.5%3.9%
Skew 10d10.3%7.1%14.1%9.9%9.0%
Call IV 25d27.1%25.3%29.3%26.4%26.0%
Put IV 25d31.5%29.0%35.1%30.9%29.9%
Bid-Ask Spread %6.163.4912.405.1612.28
Gamma HHI0.160.120.620.120.16
Net GEX3.2M1.4M12.0M1.4M4.1M
Net DEX-17.8M-61.2M28.6M5.3M-45.9M
Net VEX-1.2M-1.4M-1.1M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.243.570.370.91
Total Volume6,883.1432,86126,2335,7272,861
Total OI394,568.905375,222406,319388,493405,948

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$21.24$20.0028.0%8.0%32.3%35.0%28.1%4.5%3.3%1.4M5.3M-1.3M0.375.16N/AN/A4,1671,560214,536173,957
2010-09-02$21.94$20.0026.6%7.6%34.1%31.1%27.6%2.7%3.6%2.3M-36.6M-1.4M0.394.42N/AN/A7,0182,707215,781173,831
2010-09-03$21.96$23.0024.4%8.4%32.8%24.7%30.4%5.2%2.9%2.5M-41.4M-1.3M0.575.58N/AN/A2,8741,649215,394173,980
2010-09-07$21.53$23.0027.3%8.8%33.9%33.0%31.9%5.7%4.1%2.1M-13.7M-1.3M0.825.14N/AN/A2,7842,277215,540173,998
2010-09-08$21.54$23.0027.0%8.6%32.8%32.3%31.9%6.0%4.5%2.1M-10.0M-1.3M3.573.49N/AN/A1,2904,608216,609175,293
2010-09-09$21.57$23.0029.9%8.6%32.7%40.7%30.8%5.5%4.5%2.3M-15.0M-1.3M0.744.26N/AN/A4,5453,358216,915175,204
2010-09-10$21.52$23.0029.2%8.4%32.6%38.6%31.9%5.2%4.9%2.4M-13.0M-1.3M0.614.72N/AN/A2,0781,271218,192175,763
2010-09-13$21.71$23.0029.1%8.3%32.4%38.4%29.9%5.5%4.7%2.8M-21.7M-1.2M0.796.76N/AN/A2,1411,701218,682176,275
2010-09-14$21.53$23.0028.4%8.2%32.7%36.4%29.7%5.3%5.3%2.5M-5.3M-1.2M0.494.69N/AN/A3,8891,916218,645176,822
2010-09-15$21.48$23.0030.4%8.7%32.6%42.1%32.4%5.2%3.2%2.6M-5.4M-1.2M0.865.08N/AN/A2,8392,446219,982177,208
2010-09-16$21.31$23.0029.2%8.4%29.9%38.7%29.6%4.8%3.7%2.5M6.7M-1.2M0.786.43N/AN/A4,3213,391221,074178,293
2010-09-17$21.02$23.0027.6%7.9%29.5%34.0%27.8%5.6%4.3%12.0M28.6M-1.1M0.978.30N/AN/A4,1764,043221,386178,936
2010-09-20$21.46$23.0027.4%7.8%30.1%33.3%26.6%4.5%3.5%1.4M17.1M-1.1M0.8112.40N/AN/A3,8263,093209,361165,861
2010-09-21$21.69$23.0026.0%7.5%29.1%29.3%27.6%3.6%3.8%1.8M532.3K-1.2M0.246.93N/AN/A21,1215,112211,329167,383
2010-09-22$21.76$23.0026.7%7.7%29.0%31.3%29.0%3.8%4.2%2.9M-15.0M-1.2M0.315.25N/AN/A7,9142,479228,295167,578
2010-09-23$21.52$23.0026.4%7.6%28.4%30.5%27.0%3.6%4.1%2.5M-2.4M-1.2M0.506.09N/AN/A2,7641,379230,056168,576
2010-09-24$22.48$23.0027.2%7.8%32.0%32.7%28.4%3.1%3.7%4.2M-61.2M-1.3M0.715.68N/AN/A4,0522,895230,767168,775
2010-09-27$22.27$23.0028.5%8.2%31.6%36.6%29.2%3.2%2.9%3.9M-48.1M-1.3M1.654.37N/AN/A1,4922,464231,900169,123
2010-09-28$22.41$23.0027.6%7.9%29.1%33.8%29.3%2.9%3.6%4.2M-56.4M-1.3M0.856.83N/AN/A3,4432,932232,339170,041
2010-09-29$22.19$23.0027.4%7.9%29.1%33.5%28.4%2.9%3.5%3.9M-39.7M-1.3M1.185.49N/AN/A1,6811,989234,477171,842
2010-09-30$22.29$23.0027.2%7.8%24.6%32.7%27.6%3.9%3.7%4.1M-45.9M-1.3M0.9112.28N/AN/A1,4951,366234,354171,594