LOW Options History — December 2010

In December 2010, LOW traded between $23.75 and $25.68. ATM implied volatility averaged 26.2%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.3% (HV 20d: 28.5%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.29.

Notable Days

2010-12-02: Highest Volume — 117,016 contracts
2010-12-13: Largest IV spike — 14.3% change
2010-12-01: Highest IV Rank — 44.7%
2010-12-01: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.16	$23.75	$25.68	$23.75	$25.08
Max Pain	$22.48	$22.00	$23.00	$22.00	$22.50
ATM IV	26.2%	22.4%	31.3%	31.3%	24.6%
Expected Move	7.5%	6.4%	9.0%	9.0%	7.0%
HV 20d	28.5%	15.5%	32.0%	28.0%	15.5%
HV 60d	25.5%	24.2%	26.6%	24.2%	24.6%
IV Rank	29.9%	18.9%	44.7%	44.7%	25.1%
IV Percentile	35.1%	15.9%	70.2%	70.2%	24.2%
Term Structure	1.1%	-2.3%	2.4%	-2.3%	1.4%
VWIV	27.6%	24.0%	32.0%	32.0%	32.0%
Skew 25d	3.5%	1.1%	5.1%	1.5%	4.8%
Skew 10d	7.9%	2.1%	11.7%	2.8%	11.7%
Call IV 25d	25.2%	21.6%	31.4%	31.4%	23.1%
Put IV 25d	28.7%	25.6%	32.8%	32.8%	27.9%
Bid-Ask Spread %	6.93	4.67	10.51	5.48	4.67
Gamma HHI	0.22	0.18	0.29	0.29	0.22
Net GEX	11.0M	8.7M	13.0M	10.3M	10.8M
Net DEX	-354.0M	-441.8M	-252.4M	-252.4M	-285.3M
Net VEX	-1.5M	-1.7M	-1.4M	-1.6M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.09	7.90	1.09	0.16
Total Volume	18,043.136	1,757	117,016	17,698	2,840
Total OI	468,451.909	431,486	521,874	432,375	440,291

Daily Data (22 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
2010-12-01	$23.75	$22.00	31.3%	9.0%	28.0%	44.7%	32.0%	1.5%	-2.3%	10.3M	-252.4M	-1.6M	1.09	5.48	N/A	N/A	8,473	9,225	264,555	167,820
2010-12-02	$24.92	$22.00	30.5%	8.7%	32.0%	42.4%	31.6%	1.1%	-1.2%	9.3M	-358.5M	-1.5M	0.31	6.04	N/A	N/A	89,500	27,516	266,120	170,946
2010-12-03	$24.86	$23.00	28.3%	8.1%	31.9%	36.1%	30.0%	1.3%	-0.2%	13.0M	-391.5M	-1.7M	0.49	6.48	N/A	N/A	9,979	4,857	310,849	191,267
2010-12-06	$24.82	$22.50	28.8%	8.1%	31.9%	37.5%	27.3%	3.9%	0.9%	11.6M	-356.9M	-1.6M	0.09	5.14	N/A	N/A	12,775	1,155	294,955	176,518
2010-12-07	$25.15	$22.50	27.5%	7.9%	31.6%	33.7%	31.2%	3.5%	1.0%	12.4M	-399.0M	-1.6M	0.31	8.71	N/A	N/A	15,790	4,937	304,928	176,727
2010-12-08	$25.66	$22.50	27.6%	7.8%	30.3%	34.0%	28.8%	2.3%	1.2%	10.8M	-441.8M	-1.5M	1.01	7.08	N/A	N/A	32,356	32,816	292,840	175,970
2010-12-09	$25.18	$22.50	27.0%	7.9%	31.8%	32.3%	27.8%	3.1%	1.2%	12.3M	-404.3M	-1.6M	0.38	10.51	N/A	N/A	9,249	3,508	317,499	201,168
2010-12-10	$25.22	$22.50	25.9%	7.8%	31.5%	29.1%	28.1%	3.3%	1.4%	12.3M	-402.8M	-1.7M	1.55	7.64	N/A	N/A	2,857	4,440	318,944	198,852
2010-12-13	$25.00	$22.50	29.7%	7.9%	29.4%	40.0%	29.2%	3.3%	0.8%	12.5M	-386.0M	-1.6M	0.80	6.37	N/A	N/A	3,255	2,589	319,347	201,902
2010-12-14	$25.11	$22.50	28.3%	7.5%	28.7%	35.9%	25.8%	3.7%	2.1%	12.7M	-402.3M	-1.6M	0.12	7.84	N/A	N/A	32,876	3,970	319,597	202,277
2010-12-15	$25.16	$22.50	26.6%	7.6%	28.8%	31.0%	27.7%	4.2%	1.9%	10.1M	-374.1M	-1.6M	0.99	5.25	N/A	N/A	9,143	9,024	298,936	203,879
2010-12-16	$25.45	$22.50	26.4%	7.6%	28.5%	30.4%	27.4%	4.0%	1.9%	9.4M	-406.8M	-1.5M	0.44	6.84	N/A	N/A	2,050	895	296,164	202,316
2010-12-17	$25.17	$22.50	25.4%	7.3%	29.3%	27.5%	30.5%	4.0%	2.4%	8.7M	-387.4M	-1.5M	7.90	8.41	N/A	N/A	2,744	21,680	298,389	204,784
2010-12-20	$25.56	$22.50	23.1%	6.6%	29.1%	20.8%	25.2%	3.7%	1.6%	9.9M	-332.0M	-1.4M	0.91	6.96	N/A	N/A	2,547	2,307	260,366	183,496
2010-12-21	$25.68	$22.50	22.4%	6.4%	29.1%	18.9%	25.5%	3.9%	1.9%	10.7M	-344.8M	-1.4M	0.46	6.48	N/A	N/A	3,408	1,580	259,953	171,533
2010-12-22	$25.67	$22.50	22.6%	6.5%	28.4%	19.4%	24.0%	3.8%	1.8%	10.8M	-342.0M	-1.4M	2.41	5.38	N/A	N/A	880	2,122	261,410	171,733
2010-12-23	$25.52	$22.50	22.6%	6.5%	27.9%	19.4%	24.5%	4.1%	1.8%	10.6M	-329.0M	-1.4M	0.49	7.41	N/A	N/A	1,717	838	261,721	172,424
2010-12-27	$25.48	$22.50	25.1%	7.2%	26.5%	26.7%	24.8%	4.3%	0.6%	11.1M	-326.8M	-1.4M	0.62	9.04	N/A	N/A	4,957	3,061	262,245	172,049
2010-12-28	$25.15	$22.50	24.6%	7.1%	27.4%	25.4%	24.2%	4.4%	1.5%	10.9M	-297.6M	-1.4M	1.71	7.49	N/A	N/A	2,181	3,719	263,180	172,212
2010-12-29	$25.03	$22.50	24.2%	6.9%	27.4%	23.9%	25.3%	5.1%	1.5%	10.7M	-284.4M	-1.4M	0.56	6.61	N/A	N/A	1,123	634	262,848	174,881
2010-12-30	$24.99	$22.50	24.2%	6.9%	23.0%	24.0%	25.2%	4.3%	1.5%	10.7M	-281.2M	-1.4M	5.54	6.65	N/A	N/A	822	4,554	262,815	175,236
2010-12-31	$25.08	$22.50	24.6%	7.0%	15.5%	25.1%	32.0%	4.8%	1.4%	10.8M	-285.3M	-1.4M	0.16	4.67	N/A	N/A	2,443	397	263,059	177,232