LOW Options History — May 2011

In May 2011, LOW traded between $24.14 and $26.38. ATM implied volatility averaged 24.6%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.3% (HV 20d: 17.4%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2011-05-16: Highest Volume — 59,988 contracts
  • 2011-05-16: Largest IV drop — 16.3% change
  • 2011-05-11: Highest IV Rank — 54.0%
  • 2011-05-13: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.18$24.14$26.38$26.38$24.14
Max Pain$25.90$25.00$27.00$26.00$25.00
ATM IV24.6%20.8%32.5%26.8%20.9%
Expected Move6.9%5.9%8.0%7.7%6.0%
HV 20d17.4%14.8%20.0%14.8%17.7%
HV 60d19.7%17.6%20.7%19.9%17.6%
IV Rank20.2%5.9%54.0%23.8%6.5%
IV Percentile23.7%1.2%77.4%36.9%2.0%
Term Structure-0.2%-2.3%1.2%-2.3%0.6%
VWIV23.9%19.6%28.1%26.4%20.5%
Skew 25d3.7%2.7%4.6%3.9%3.7%
Skew 10d7.3%4.4%9.7%7.9%7.0%
Call IV 25d22.7%19.2%26.9%24.7%19.5%
Put IV 25d26.3%22.5%30.3%28.6%23.2%
Bid-Ask Spread %8.205.8516.367.087.61
Gamma HHI0.180.130.260.160.14
Net GEX3.0M-870.2K8.0M4.7M1.1M
Net DEX-56.8M-148.9M35.8M-146.9M13.1M
Net VEX-1.8M-2.0M-1.7M-1.9M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.052.330.210.32
Total Volume17,583.1433,14659,9883,1463,180
Total OI407,486.048353,986474,219353,986422,100

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$26.38$26.0026.8%7.7%14.8%23.8%26.4%3.9%-2.3%4.7M-146.9M-1.9M0.217.08N/AN/A2,593553222,582131,404
2011-05-03$26.05$26.0026.5%7.6%15.3%23.1%27.1%3.9%-1.9%4.0M-121.7M-1.8M0.746.74N/AN/A6,2844,627224,186131,720
2011-05-04$25.76$26.0026.9%7.7%15.3%24.3%26.1%4.6%-2.1%3.7M-105.9M-1.9M0.3211.05N/AN/A11,6153,693230,773134,591
2011-05-05$25.76$26.0026.4%7.6%15.3%22.6%27.1%4.4%-1.9%3.4M-99.4M-1.9M0.2514.55N/AN/A11,5132,850230,356136,505
2011-05-06$25.64$27.0026.1%7.0%15.4%21.5%28.1%4.3%-0.5%3.1M-87.8M-1.8M0.267.35N/AN/A9,4162,423236,655137,958
2011-05-09$25.76$27.0026.6%7.0%15.1%29.7%24.7%4.1%-0.5%3.6M-105.7M-1.9M1.455.85N/AN/A2,4653,575243,576139,602
2011-05-10$26.21$27.0028.4%7.1%16.6%37.1%24.4%3.9%-0.7%5.5M-146.6M-1.9M0.055.92N/AN/A21,5421,084243,563138,179
2011-05-11$25.94$27.0032.5%7.3%16.2%54.0%25.6%4.1%-0.8%5.6M-129.5M-1.9M0.106.43N/AN/A8,580830250,257138,592
2011-05-12$25.98$27.0027.3%7.8%16.2%32.3%27.3%3.7%-1.3%6.9M-148.9M-1.9M0.336.42N/AN/A38,43012,671257,334138,734
2011-05-13$25.76$26.0027.9%8.0%16.0%34.7%28.1%3.0%-1.6%8.0M-142.0M-2.0M0.856.63N/AN/A25,78221,873283,264146,024
2011-05-16$24.84$26.0023.3%6.7%20.0%16.1%22.9%3.4%0.3%3.6M-13.5M-1.7M0.6016.36N/AN/A37,47822,510300,647151,766
2011-05-17$24.75$26.0023.2%6.7%18.9%15.6%23.2%3.1%0.7%326.4K8.3M-1.7M2.336.56N/AN/A6,31514,688296,525155,709
2011-05-18$25.05$26.0021.8%6.2%19.3%9.8%21.7%2.7%1.2%874.3K-14.6M-1.8M1.716.87N/AN/A6,58711,272298,280162,921
2011-05-19$24.78$26.0021.1%6.1%19.4%7.0%21.2%3.3%1.1%-870.2K7.7M-1.8M0.866.99N/AN/A13,01511,176299,974161,736
2011-05-20$24.46$25.0022.9%6.6%19.6%15.5%21.9%3.1%0.4%1.8M35.8M-1.8M1.647.88N/AN/A2,1153,464306,112168,107
2011-05-23$24.38$25.0023.2%6.7%19.4%16.7%23.0%3.7%0.5%1.8M-11.4M-1.8M0.818.50N/AN/A8,3986,831249,714146,960
2011-05-24$24.15$25.0022.1%6.3%19.5%11.6%21.3%3.5%0.9%1.1M8.2M-1.8M0.676.94N/AN/A5,1703,484252,444149,623
2011-05-25$24.34$25.0021.6%6.2%18.3%9.4%21.3%3.6%0.8%1.3M-3.5M-1.8M0.279.09N/AN/A3,443935255,822152,652
2011-05-26$24.31$25.0020.8%6.0%18.3%6.2%19.6%3.7%1.0%1.0M4.5M-1.8M0.298.33N/AN/A9,9572,888256,739152,968
2011-05-27$24.25$25.0020.8%5.9%18.1%5.9%20.9%3.3%1.1%1.4M7.5M-1.8M0.718.98N/AN/A2,3011,640265,399155,154
2011-05-31$24.14$25.0020.9%6.0%17.7%6.5%20.5%3.7%0.6%1.1M13.1M-1.7M0.327.61N/AN/A2,406774266,414155,686