LOW Options History — November 2010

In November 2010, LOW traded between $21.19 and $22.70. ATM implied volatility averaged 29.7%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 5.8% (HV 20d: 23.9%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2010-11-23: Highest Volume — 40,790 contracts
  • 2010-11-15: Largest IV drop — 13.5% change
  • 2010-11-09: Highest IV Rank — 54.1%
  • 2010-11-12: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.99$21.19$22.70$21.19$22.70
Max Pain$21.86$21.00$22.00$22.00$22.00
ATM IV29.7%25.9%34.5%30.9%31.0%
Expected Move8.3%7.4%9.4%8.8%8.9%
HV 20d23.9%20.2%26.2%20.2%26.0%
HV 60d25.4%22.6%26.6%25.5%22.8%
IV Rank40.0%29.1%54.1%43.5%43.9%
IV Percentile55.7%32.5%78.2%62.7%67.9%
Term Structure-0.6%-2.1%1.4%-1.6%-1.5%
VWIV29.7%26.3%33.3%31.1%32.2%
Skew 25d0.3%-1.4%2.2%2.2%0.5%
Skew 10d2.2%-1.0%4.5%4.5%1.6%
Call IV 25d30.1%26.6%33.6%30.4%31.8%
Put IV 25d30.4%26.6%33.6%32.7%32.3%
Bid-Ask Spread %7.725.3916.066.367.67
Gamma HHI0.180.140.250.140.24
Net GEX6.6M2.6M12.6M2.6M7.8M
Net DEX-85.5M-149.3M-15.9M-15.9M-134.4M
Net VEX-1.5M-1.6M-1.4M-1.4M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.161.220.670.16
Total Volume15,423.3332,04740,7904,72918,030
Total OI433,060.571379,798470,321379,798421,410

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$21.19$22.0030.9%8.8%20.2%43.5%31.1%2.2%-1.6%2.6M-15.9M-1.4M0.676.36N/AN/A2,8361,893226,603153,195
2010-11-02$21.92$21.0031.3%9.0%22.8%44.7%32.0%0.6%-1.6%4.3M-75.3M-1.5M0.226.34N/AN/A20,7424,504227,644154,038
2010-11-03$21.92$22.0031.3%9.0%22.8%44.6%31.7%0.6%-1.3%5.0M-78.2M-1.5M0.236.02N/AN/A24,5285,658244,119157,215
2010-11-04$22.30$22.0030.2%8.7%23.7%41.5%30.9%-0.1%-1.1%7.0M-114.9M-1.5M0.455.66N/AN/A3,6971,665256,222159,432
2010-11-05$22.29$21.0030.6%8.4%23.7%42.7%29.3%0.7%-1.1%7.3M-110.8M-1.5M0.996.07N/AN/A6,7316,657258,147159,754
2010-11-08$22.09$21.0031.2%8.4%23.8%44.6%29.9%0.6%-1.2%6.9M-101.5M-1.6M1.227.92N/AN/A4,3655,309269,129169,308
2010-11-09$21.65$22.0034.5%8.5%23.3%54.1%30.6%0.2%-0.8%5.4M-63.9M-1.5M0.407.43N/AN/A14,0945,666267,444168,759
2010-11-10$21.86$22.0033.8%8.5%23.4%51.9%30.1%0.7%-1.5%6.7M-80.4M-1.6M0.346.21N/AN/A3,5551,202275,098171,528
2010-11-11$22.30$22.0030.9%8.9%24.2%43.7%31.3%0.3%-1.7%8.3M-131.2M-1.6M0.198.84N/AN/A13,9522,696277,042171,849
2010-11-12$21.69$22.0032.9%9.4%26.2%49.5%33.3%0.0%-2.1%6.9M-83.5M-1.6M0.677.79N/AN/A17,18511,542286,588171,595
2010-11-15$21.46$22.0028.5%8.2%25.0%36.5%28.7%0.6%-0.1%6.1M-40.7M-1.5M0.5816.06N/AN/A21,93512,682290,930179,391
2010-11-16$21.57$22.0029.0%8.3%25.0%38.1%29.5%0.9%0.4%5.5M-44.2M-1.5M0.5410.34N/AN/A9,6875,278286,265180,420
2010-11-17$21.52$22.0027.9%8.0%22.9%34.9%28.3%1.1%0.8%4.6M-39.8M-1.5M0.446.50N/AN/A3,6711,610286,612181,468
2010-11-18$21.64$22.0026.5%7.6%22.0%30.6%26.6%0.5%1.4%5.5M-43.7M-1.5M0.326.02N/AN/A4,3191,374285,953180,520
2010-11-19$22.09$22.0025.9%7.4%23.3%29.1%26.3%-0.0%0.2%12.6M-99.4M-1.5M0.186.15N/AN/A9,4091,667285,952180,005
2010-11-22$22.33$22.0026.4%7.6%23.4%30.3%29.9%-1.4%-0.4%6.5M-107.6M-1.5M0.276.24N/AN/A13,9563,698248,873165,640
2010-11-23$22.07$22.0027.2%7.8%23.7%32.8%28.2%-1.4%-0.2%5.8M-86.5M-1.5M0.777.82N/AN/A23,09617,694251,063167,597
2010-11-24$22.66$22.0026.4%7.6%24.9%30.5%26.5%-0.1%0.3%9.3M-149.3M-1.6M0.9510.53N/AN/A4,4364,221269,951168,152
2010-11-26$22.24$22.0027.1%7.8%25.9%32.4%28.0%-0.1%0.4%6.6M-91.2M-1.5M0.325.39N/AN/A1,553494253,400166,137
2010-11-29$22.36$22.0029.4%8.4%25.9%39.2%29.7%0.4%-0.7%7.0M-103.7M-1.5M1.0410.81N/AN/A3,2303,373253,668166,156
2010-11-30$22.70$22.0031.0%8.9%26.0%43.9%32.2%0.5%-1.5%7.8M-134.4M-1.5M0.167.67N/AN/A15,5222,508254,460166,950