LOW Options History — April 2011

In April 2011, LOW traded between $26.25 and $27.09. ATM implied volatility averaged 22.6%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.7% (HV 20d: 17.0%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2011-04-13: Highest Volume — 24,259 contracts
  • 2011-04-14: Largest IV spike — 23.5% change
  • 2011-04-29: Highest IV Rank — 19.6%
  • 2011-04-29: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.69$26.25$27.09$26.74$26.25
Max Pain$25.90$24.00$26.00$24.00$26.00
ATM IV22.6%19.4%25.4%20.9%25.4%
Expected Move6.9%6.0%7.3%6.0%7.3%
HV 20d17.0%15.1%19.8%19.8%15.3%
HV 60d23.0%20.0%24.8%24.8%20.0%
IV Rank12.6%0.0%19.6%12.5%19.6%
IV Percentile9.2%0.0%26.6%3.2%26.6%
Term Structure0.1%-1.5%3.7%3.7%-1.5%
VWIV25.2%21.9%28.1%21.9%27.3%
Skew 25d4.2%3.7%4.9%3.9%4.3%
Skew 10d9.0%7.1%10.3%10.1%8.6%
Call IV 25d23.1%20.6%24.1%20.6%23.6%
Put IV 25d27.3%24.6%28.8%24.6%27.9%
Bid-Ask Spread %8.936.0911.696.0910.92
Gamma HHI0.220.160.600.200.17
Net GEX7.9M4.0M31.5M7.3M4.3M
Net DEX-216.4M-316.4M-132.1M-238.2M-132.1M
Net VEX-1.9M-2.0M-1.8M-1.8M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.033.652.201.28
Total Volume8,438.12,06624,2596,3053,564
Total OI389,890.1327,614456,221396,685354,664

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$26.74$24.0020.9%6.0%19.8%12.5%21.9%3.9%3.7%7.3M-238.2M-1.8M2.206.09N/AN/A1,9704,335233,145163,540
2011-04-04$26.58$26.0021.8%7.2%19.6%14.9%26.0%4.9%0.3%6.7M-221.7M-1.8M3.657.23N/AN/A5772,107233,035168,710
2011-04-05$26.78$26.0021.1%7.1%18.0%12.9%27.7%4.5%0.1%7.3M-249.3M-1.8M0.927.52N/AN/A10,0449,197233,216171,223
2011-04-06$26.67$26.0021.6%7.2%17.8%14.6%26.4%4.6%0.2%6.6M-243.4M-1.8M0.038.64N/AN/A15,185527239,493179,806
2011-04-07$26.60$26.0020.5%7.2%17.7%11.2%26.7%4.7%0.2%7.6M-250.3M-1.9M0.317.87N/AN/A2,801872250,687180,103
2011-04-08$26.82$26.0019.9%7.2%17.6%6.3%26.3%4.6%-0.1%8.9M-276.6M-1.9M0.888.98N/AN/A4,2883,782251,372180,433
2011-04-11$26.78$26.0021.8%7.2%17.6%9.3%26.8%4.3%-0.1%8.9M-268.2M-1.8M3.188.97N/AN/A1,7855,671251,517181,992
2011-04-12$27.09$26.0022.3%7.3%17.9%9.3%28.1%4.6%-0.2%10.0M-301.2M-1.9M1.208.23N/AN/A3,0923,698251,455186,700
2011-04-13$26.91$26.0019.4%7.2%15.5%0.0%24.7%4.6%-0.0%10.2M-280.6M-1.8M0.079.60N/AN/A22,7061,553251,069188,373
2011-04-14$27.09$26.0024.0%6.9%15.6%14.8%23.2%3.8%0.5%12.2M-314.7M-1.9M0.127.83N/AN/A12,4201,526264,111188,549
2011-04-15$27.05$26.0022.7%6.5%15.6%10.6%22.9%4.2%0.9%31.5M-316.4M-1.9M0.298.72N/AN/A9,0902,614267,235188,986
2011-04-18$26.46$26.0025.1%7.2%17.7%18.4%23.7%4.1%-0.1%4.0M-147.2M-1.9M0.508.14N/AN/A4,7332,358202,267125,347
2011-04-19$26.66$26.0022.7%6.5%17.8%10.7%23.0%3.9%0.7%4.4M-160.6M-1.9M0.518.70N/AN/A2,5001,282204,480126,995
2011-04-20$26.66$26.0022.8%6.5%16.3%11.1%23.0%3.8%0.5%4.4M-160.7M-1.9M0.1011.12N/AN/A13,1801,328206,387127,879
2011-04-21$26.67$26.0022.2%6.4%15.7%9.1%24.3%3.9%0.3%4.9M-164.2M-2.0M2.8110.26N/AN/A7242,038217,386128,460
2011-04-25$26.34$26.0024.8%7.1%16.2%17.6%24.4%3.7%-0.6%4.3M-139.3M-1.9M0.648.27N/AN/A1,263803217,721129,347
2011-04-26$26.27$26.0024.9%7.1%15.1%17.9%24.6%3.9%-0.8%4.2M-134.3M-1.9M0.6511.69N/AN/A2,5681,678218,107129,653
2011-04-27$26.74$26.0024.5%7.0%16.2%16.6%25.5%4.1%-1.2%5.1M-168.4M-1.9M0.6110.66N/AN/A4,1322,527219,121130,666
2011-04-28$26.60$26.0023.7%6.8%16.3%14.0%27.6%4.0%-0.7%5.0M-160.3M-1.9M2.319.11N/AN/A1,2822,962221,957132,615
2011-04-29$26.25$26.0025.4%7.3%15.3%19.6%27.3%4.3%-1.5%4.3M-132.1M-1.9M1.2810.92N/AN/A1,5632,001222,862131,802