LOW Options History — February 2011

In February 2011, LOW traded between $24.26 and $26.30. ATM implied volatility averaged 27.3%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.8% (HV 20d: 28.1%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.70.

Notable Days

  • 2011-02-17: Highest Volume — 69,765 contracts
  • 2011-02-22: Largest IV spike — 20.0% change
  • 2011-02-22: Highest IV Rank — 55.0%
  • 2011-02-22: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.21$24.26$26.30$25.00$26.17
Max Pain$24.74$24.00$25.00$25.00$25.00
ATM IV27.3%22.6%35.2%24.3%26.3%
Expected Move8.0%7.0%10.1%7.0%7.5%
HV 20d28.1%25.6%30.3%29.0%25.6%
HV 60d26.2%25.2%27.1%26.3%25.2%
IV Rank31.4%17.6%55.0%22.4%28.4%
IV Percentile42.8%16.3%82.5%23.0%32.5%
Term Structure-0.1%-3.5%2.9%2.9%1.1%
VWIV28.1%23.9%35.4%25.0%26.2%
Skew 25d3.6%3.0%4.8%3.1%3.9%
Skew 10d7.8%6.8%9.6%8.7%9.6%
Call IV 25d26.9%23.4%34.2%23.4%24.8%
Put IV 25d30.5%26.6%37.9%26.6%28.7%
Bid-Ask Spread %7.575.3412.768.027.51
Gamma HHI0.220.120.390.140.38
Net GEX7.9M4.2M14.7M5.1M14.7M
Net DEX-192.3M-347.3M-107.7M-152.8M-308.6M
Net VEX-1.7M-1.9M-1.5M-1.6M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.172.450.601.18
Total Volume17,276.7891,80269,7657,63114,690
Total OI355,091.158313,844428,697314,166428,697

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$25.00$25.0024.3%7.0%29.0%22.4%25.0%3.1%2.9%5.1M-152.8M-1.6M0.608.02N/AN/A4,7662,865207,047107,119
2011-02-02$24.26$25.0026.5%7.6%29.7%29.0%26.1%3.5%2.2%4.2M-107.7M-1.5M0.2711.39N/AN/A18,1674,974209,417106,273
2011-02-03$24.50$25.0025.5%7.3%29.9%26.2%23.9%3.8%2.7%4.3M-117.1M-1.5M0.5010.31N/AN/A2,8511,438206,354107,663
2011-02-04$24.71$25.0022.6%7.6%28.8%17.6%26.8%3.6%-0.1%4.7M-128.4M-1.5M0.715.58N/AN/A3,0752,171205,546108,298
2011-02-07$24.62$25.0023.2%7.7%28.8%19.3%26.9%3.6%-0.6%4.5M-124.5M-1.5M0.755.34N/AN/A4,3453,250207,308109,647
2011-02-08$24.75$25.0022.9%7.6%28.5%18.3%27.6%3.6%-0.4%4.9M-133.3M-1.5M0.805.35N/AN/A1,001801209,364112,010
2011-02-09$24.47$25.0025.0%8.2%28.8%24.5%28.0%3.8%-0.5%4.3M-115.9M-1.5M1.177.08N/AN/A10,54112,321209,096112,020
2011-02-10$24.43$25.0028.6%8.2%28.8%35.3%28.5%3.2%-0.8%4.3M-114.2M-1.6M0.337.77N/AN/A19,4746,437216,522118,792
2011-02-11$25.09$24.0027.7%7.9%30.3%32.6%28.4%3.5%-0.8%6.0M-166.5M-1.6M0.177.21N/AN/A11,7802,048220,422122,512
2011-02-14$25.17$24.0028.5%8.2%29.6%35.2%27.8%3.0%-0.9%6.3M-172.2M-1.6M0.236.35N/AN/A5,8611,354221,614123,159
2011-02-15$25.58$24.0027.6%7.9%30.2%32.4%28.1%3.2%-1.0%8.0M-210.4M-1.6M0.566.29N/AN/A2,9731,670225,122123,257
2011-02-16$25.79$24.0028.2%8.1%28.6%34.1%28.4%3.2%-1.3%9.1M-230.5M-1.6M0.385.82N/AN/A9,0413,457226,329122,941
2011-02-17$26.14$24.0029.4%8.4%26.1%37.7%29.4%3.2%-1.3%10.3M-269.7M-1.6M0.196.98N/AN/A58,63111,134229,371125,538
2011-02-18$26.30$25.0029.3%8.4%25.7%37.5%29.7%3.2%-0.8%13.1M-347.3M-1.8M0.826.46N/AN/A5,5604,572275,721132,092
2011-02-22$25.99$25.0035.2%10.1%26.2%55.0%35.4%3.7%-3.5%10.8M-290.7M-1.8M0.826.05N/AN/A17,68714,492263,441114,822
2011-02-23$25.73$25.0029.7%8.5%25.7%38.7%31.1%4.8%-0.3%11.6M-257.5M-1.8M0.8510.88N/AN/A23,79720,131269,606124,048
2011-02-24$25.11$25.0030.4%8.7%26.8%40.7%30.3%3.8%0.2%11.1M-198.9M-1.9M2.4512.76N/AN/A3,8259,356282,710136,115
2011-02-25$25.27$25.0027.4%7.9%26.2%31.8%26.9%3.8%1.2%12.1M-207.3M-1.9M0.556.72N/AN/A4,9712,752283,852142,887
2011-02-28$26.17$25.0026.3%7.5%25.6%28.4%26.2%3.9%1.1%14.7M-308.6M-1.9M1.187.51N/AN/A6,7427,948285,126143,571