LOW Options History — June 2011

In June 2011, LOW traded between $22.05 and $23.72. ATM implied volatility averaged 23.6%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.1% (HV 20d: 22.4%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2011-06-03: Highest Volume — 41,252 contracts
  • 2011-06-03: Largest IV spike — 12.8% change
  • 2011-06-16: Highest IV Rank — 30.5%
  • 2011-06-16: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.04$22.05$23.72$23.72$23.31
Max Pain$24.18$24.00$26.00$25.00$24.00
ATM IV23.6%20.5%26.4%21.4%21.7%
Expected Move6.8%5.9%7.6%6.1%6.2%
HV 20d22.4%17.1%28.8%18.1%28.1%
HV 60d19.2%17.0%21.4%17.9%21.0%
IV Rank18.4%4.7%30.5%8.6%10.0%
IV Percentile20.4%0.8%41.7%4.4%6.0%
Term Structure2.3%0.5%3.7%0.5%3.7%
VWIV23.9%21.2%26.8%21.5%23.1%
Skew 25d3.7%3.2%4.6%3.5%3.2%
Skew 10d7.9%5.2%9.6%8.2%6.0%
Call IV 25d22.7%20.5%25.7%20.9%20.5%
Put IV 25d26.4%23.7%30.3%24.4%23.7%
Bid-Ask Spread %7.114.2411.4810.404.24
Gamma HHI0.200.140.260.140.25
Net GEX133.8K-3.1M2.4M-28.9K2.0M
Net DEX73.0M2.2M156.2M44.4M41.5M
Net VEX-1.6M-1.7M-1.4M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.292.320.340.32
Total Volume11,264.7733,25641,25215,4289,223
Total OI457,614.364421,770487,128422,572460,666

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$23.72$25.0021.4%6.1%18.1%8.6%21.5%3.5%0.5%-28.9K44.4M-1.6M0.3410.40N/AN/A11,5063,922266,510156,062
2011-06-02$23.59$25.0020.5%5.9%18.0%4.7%21.2%3.5%0.7%-621.5K56.2M-1.6M0.8010.81N/AN/A5,7034,538264,376157,394
2011-06-03$23.40$26.0023.1%6.8%17.9%16.1%23.0%3.7%2.4%-876.4K68.6M-1.6M0.445.92N/AN/A28,71812,534262,778159,426
2011-06-06$22.87$24.0023.6%6.8%19.1%18.4%24.0%3.6%2.1%103.3K89.6M-1.6M1.405.39N/AN/A4,3446,081287,580170,087
2011-06-07$22.99$24.0023.1%6.8%19.1%16.0%23.7%4.0%2.0%-22.9K85.2M-1.6M0.616.33N/AN/A7,0684,313288,898173,424
2011-06-08$22.72$24.0022.0%6.5%17.1%11.4%23.2%3.6%2.9%-311.6K107.8M-1.5M1.997.50N/AN/A2,8085,600292,828176,046
2011-06-09$22.77$24.0022.1%6.3%17.4%12.0%22.6%3.2%2.7%-383.3K107.1M-1.6M2.326.52N/AN/A4,77611,079294,217179,183
2011-06-10$22.26$24.0024.0%6.9%18.0%20.3%23.3%3.6%2.2%-2.4M145.2M-1.5M0.787.18N/AN/A4,5493,565294,938187,801
2011-06-13$22.05$24.0024.6%7.0%18.0%22.6%24.1%4.1%1.8%-2.9M156.2M-1.4M0.724.82N/AN/A2,4601,770293,713186,993
2011-06-14$22.72$24.0022.3%6.4%19.4%12.8%22.6%4.0%2.8%-1.6M113.5M-1.5M1.197.82N/AN/A1,4871,769293,421187,433
2011-06-15$22.11$24.0025.1%7.2%21.0%25.2%24.9%3.9%1.9%-3.1M150.0M-1.4M1.536.97N/AN/A2,4403,728293,425187,370
2011-06-16$22.68$24.0026.4%7.6%22.9%30.5%26.8%4.6%1.5%-1.3M105.7M-1.5M0.656.87N/AN/A10,7937,050292,919188,166
2011-06-17$22.83$24.0025.7%7.4%23.2%27.6%26.7%4.5%2.3%363.7K91.3M-1.6M1.376.40N/AN/A1,8312,503296,347190,781
2011-06-20$23.11$24.0024.5%7.0%23.6%22.5%24.9%3.7%2.3%1.0M51.9M-1.6M1.087.20N/AN/A4,3324,681267,038169,433
2011-06-21$23.68$24.0022.1%6.3%25.5%11.9%23.3%3.8%2.4%1.8M12.7M-1.7M0.296.83N/AN/A12,3233,632269,047171,704
2011-06-22$23.19$24.0023.9%6.9%26.3%19.9%23.8%3.3%2.9%1.2M46.1M-1.6M0.386.69N/AN/A9,0003,418270,903171,755
2011-06-23$23.71$24.0023.0%6.6%27.5%15.6%24.3%3.5%2.7%2.3M2.2M-1.7M0.317.44N/AN/A12,5923,899271,017172,047
2011-06-24$23.25$24.0025.1%7.2%28.2%25.1%25.0%3.4%2.5%1.7M31.8M-1.7M0.3311.48N/AN/A4,4481,457277,085174,535
2011-06-27$23.15$24.0025.9%7.4%28.3%28.5%26.2%4.1%2.3%1.6M43.8M-1.7M1.116.72N/AN/A5,1465,737278,858175,124
2011-06-28$23.47$24.0025.4%7.3%28.8%26.1%24.2%3.9%2.7%2.4M20.8M-1.7M0.606.89N/AN/A3,7072,210279,540177,713
2011-06-29$23.38$24.0023.5%6.7%28.2%18.1%23.5%3.6%3.2%2.2M34.9M-1.6M0.515.96N/AN/A3,3671,718280,700178,235
2011-06-30$23.31$24.0021.7%6.2%28.1%10.0%23.1%3.2%3.7%2.0M41.5M-1.6M0.324.24N/AN/A6,9822,241281,425179,241