LOW Options History — January 2011

In January 2011, LOW traded between $23.99 and $26.24. ATM implied volatility averaged 24.1%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.1% (HV 20d: 20.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2011-01-13: Highest Volume — 324,294 contracts
  • 2011-01-28: Largest IV spike — 12.4% change
  • 2011-01-10: Highest IV Rank — 30.1%
  • 2011-01-10: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.88$23.99$26.24$25.16$24.80
Max Pain$24.25$22.50$25.00$22.50$25.00
ATM IV24.1%21.1%26.3%24.9%25.3%
Expected Move6.9%6.0%7.6%7.1%7.3%
HV 20d20.0%15.4%28.9%15.4%28.9%
HV 60d25.0%23.8%26.5%24.6%26.5%
IV Rank22.5%12.8%30.1%26.0%25.6%
IV Percentile22.1%9.9%33.7%24.6%29.0%
Term Structure1.9%0.6%3.0%1.0%2.6%
VWIV24.9%22.3%27.5%25.4%26.4%
Skew 25d4.2%2.7%5.7%4.1%4.7%
Skew 10d9.0%5.9%12.6%10.1%10.4%
Call IV 25d23.0%20.7%24.8%23.4%24.5%
Put IV 25d27.2%24.0%29.8%27.6%29.2%
Bid-Ask Spread %7.335.0412.1910.788.56
Gamma HHI0.260.140.790.220.14
Net GEX9.6M3.6M31.0M11.4M4.6M
Net DEX-200.6M-297.9M-127.5M-297.9M-136.2M
Net VEX-1.3M-1.6M-1.2M-1.3M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.022.562.561.14
Total Volume29,360.452,622324,29411,5618,091
Total OI392,101.5241,216469,811439,812311,271

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$25.16$22.5024.9%7.1%15.4%26.0%25.4%4.1%1.0%11.4M-297.9M-1.3M2.5610.78N/AN/A3,2458,316263,975175,837
2011-01-04$24.56$22.5024.7%7.1%17.8%25.4%26.3%4.7%0.8%9.7M-237.9M-1.3M0.879.94N/AN/A3,9083,414264,588181,699
2011-01-05$24.68$22.5024.2%6.9%17.2%24.1%27.5%5.7%1.5%10.1M-247.5M-1.3M0.4710.30N/AN/A1,782840264,913182,665
2011-01-06$24.13$22.5025.4%7.3%16.9%27.7%27.3%5.5%0.6%8.4M-188.2M-1.3M0.7512.19N/AN/A2,9212,203265,181182,876
2011-01-07$23.99$24.0024.2%7.3%15.9%24.1%26.9%4.5%1.6%8.0M-175.2M-1.3M1.545.46N/AN/A1,1271,739265,524183,670
2011-01-10$24.31$24.0026.3%7.6%16.8%30.1%25.2%4.5%1.0%9.3M-209.2M-1.2M0.146.39N/AN/A10,2761,415265,833183,994
2011-01-11$24.39$24.0025.4%7.5%16.7%27.5%27.3%4.2%1.4%10.0M-230.6M-1.3M0.486.18N/AN/A8,3714,011272,700184,373
2011-01-12$24.44$23.0024.4%7.1%16.6%23.0%23.6%4.3%1.8%10.1M-245.7M-1.3M0.586.19N/AN/A12,4517,189276,218186,929
2011-01-13$24.55$25.0023.4%6.7%16.7%19.8%23.8%4.1%2.1%10.0M-243.8M-1.3M0.025.63N/AN/A316,9747,320278,986190,825
2011-01-14$25.00$25.0023.2%6.7%17.5%19.3%22.4%3.6%2.3%12.4M-191.6M-1.3M0.196.49N/AN/A16,4723,123232,205195,755
2011-01-18$25.01$25.0023.6%6.8%17.1%20.5%27.0%3.9%1.8%12.4M-196.0M-1.3M0.407.59N/AN/A3,4411,376238,186194,550
2011-01-19$24.40$25.0025.4%7.3%18.1%25.7%25.5%4.3%1.7%10.8M-127.5M-1.3M0.306.90N/AN/A10,7613,187237,523194,367
2011-01-20$25.30$25.0024.7%7.1%22.6%23.6%25.1%4.2%1.8%13.5M-226.1M-1.3M0.545.90N/AN/A11,9866,472236,926194,773
2011-01-21$25.01$25.0023.3%6.7%22.9%19.5%23.0%4.1%2.4%31.0M-194.6M-1.3M0.645.79N/AN/A12,2127,818238,118198,814
2011-01-24$25.07$25.0022.8%6.5%22.9%18.1%22.7%3.9%2.2%3.6M-142.8M-1.3M0.496.28N/AN/A5,6482,765146,79594,421
2011-01-25$25.56$25.0021.1%6.0%24.0%12.8%22.5%3.8%2.9%3.9M-168.4M-1.4M1.016.11N/AN/A3,6213,670149,96396,315
2011-01-26$25.85$25.0022.0%6.3%23.8%15.7%22.8%3.6%2.8%3.9M-180.4M-1.4M0.955.04N/AN/A6,5056,180151,31797,854
2011-01-27$26.24$25.0022.4%6.4%24.1%16.8%22.3%2.7%3.0%4.0M-204.0M-1.4M0.066.52N/AN/A64,1733,614154,065101,233
2011-01-28$25.25$25.0025.2%7.2%28.1%25.1%25.1%3.3%2.9%5.4M-168.5M-1.6M1.408.37N/AN/A3,5735,019204,462102,331
2011-01-31$24.80$25.0025.3%7.3%28.9%25.6%26.4%4.7%2.6%4.6M-136.2M-1.6M1.148.56N/AN/A3,7814,310205,381105,890