LOW Options History — July 2011

In July 2011, LOW traded between $21.58 and $23.99. ATM implied volatility averaged 25.6%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 0.8% (HV 20d: 26.4%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2011-07-06: Highest Volume — 29,510 contracts
  • 2011-07-11: Largest IV spike — 29.5% change
  • 2011-07-29: Highest IV Rank — 51.5%
  • 2011-07-29: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.94$21.58$23.99$23.82$21.58
Max Pain$23.05$23.00$24.00$24.00$23.00
ATM IV25.6%19.3%31.1%19.3%31.1%
Expected Move7.6%5.5%8.9%5.5%8.9%
HV 20d26.4%22.1%30.7%29.1%24.7%
HV 60d22.8%21.6%23.7%21.6%23.7%
IV Rank27.4%0.0%51.5%0.0%51.5%
IV Percentile42.8%0.0%89.3%0.0%89.3%
Term Structure-0.1%-2.3%3.6%3.6%-2.3%
VWIV26.7%20.5%31.1%20.5%31.1%
Skew 25d4.0%2.5%5.1%2.5%4.5%
Skew 10d8.4%6.5%11.0%6.9%8.7%
Call IV 25d25.6%19.0%30.5%19.0%30.5%
Put IV 25d29.6%21.5%35.0%21.5%35.0%
Bid-Ask Spread %5.434.317.195.736.62
Gamma HHI0.200.120.390.300.23
Net GEX983.3K-1.7M5.3M3.6M-1.7M
Net DEX46.2M-33.6M128.9M-6.2M128.9M
Net VEX-1.6M-1.7M-1.5M-1.6M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.122.590.840.66
Total Volume12,395.853,73029,5105,50715,326
Total OI460,227.15405,832521,393461,787454,187

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$23.82$24.0019.3%5.5%29.1%0.0%20.5%2.5%3.6%3.6M-6.2M-1.6M0.845.73N/AN/A2,9952,512283,114178,673
2011-07-05$23.48$23.0023.2%7.3%28.3%17.1%26.4%5.1%-0.0%2.6M26.1M-1.5M1.405.18N/AN/A2,4173,377283,354179,145
2011-07-06$23.26$23.0022.9%7.3%28.5%15.6%25.3%4.6%0.5%1.8M40.5M-1.5M0.915.19N/AN/A15,42914,081284,801180,040
2011-07-07$23.99$23.0021.3%7.3%30.0%8.7%25.0%4.3%-0.2%4.8M-33.6M-1.7M0.126.41N/AN/A20,7372,527296,562190,935
2011-07-08$23.61$23.0020.2%7.4%30.7%4.1%26.5%3.5%0.0%5.3M-3.1M-1.7M0.575.53N/AN/A2,3711,359308,966190,616
2011-07-11$23.18$23.0026.2%8.0%30.3%30.2%27.3%4.4%-0.8%2.1M41.3M-1.6M0.937.19N/AN/A4,5604,263307,365191,037
2011-07-12$23.18$23.0026.3%8.1%30.0%30.5%27.4%4.3%-0.3%2.2M38.1M-1.7M2.524.90N/AN/A5,84714,718309,338191,967
2011-07-13$23.28$23.0024.9%8.0%28.3%24.4%27.6%4.1%-0.1%2.2M34.0M-1.7M0.544.46N/AN/A9,6285,244312,784200,914
2011-07-14$23.11$23.0028.1%8.0%26.4%38.3%28.0%4.0%-0.0%132.9K45.4M-1.7M0.635.78N/AN/A6,0993,847318,626202,255
2011-07-15$22.86$23.0026.9%7.7%25.3%33.4%27.2%4.4%0.3%-997.1K85.8M-1.7M0.745.44N/AN/A8,9826,683318,400202,993
2011-07-18$22.50$23.0028.5%8.2%25.8%40.3%27.6%4.2%-0.1%-423.9K62.1M-1.6M0.714.85N/AN/A6,9644,945234,346171,486
2011-07-19$22.96$23.0025.3%7.3%26.5%26.3%25.0%4.3%0.2%104.3K35.3M-1.7M0.814.31N/AN/A4,9093,953239,204174,561
2011-07-20$22.77$23.0025.1%7.2%25.0%25.4%25.4%4.2%0.3%28.8K46.9M-1.6M0.634.40N/AN/A4,4872,814242,276173,496
2011-07-21$22.94$23.0025.2%7.2%24.1%25.7%25.0%3.7%0.7%512.6K32.2M-1.7M1.495.06N/AN/A2,7504,094244,361174,326
2011-07-22$22.62$23.0024.9%7.1%23.0%24.3%25.6%3.2%-0.2%-444.7K62.5M-1.6M1.104.59N/AN/A6,9037,628245,093177,708
2011-07-25$22.61$23.0026.3%7.5%22.1%30.6%26.9%3.6%-0.7%-496.7K63.0M-1.6M0.535.40N/AN/A8,8444,729247,509180,913
2011-07-26$22.84$23.0026.8%7.7%22.4%33.0%26.8%3.3%-1.1%30.0K46.1M-1.7M0.175.19N/AN/A3,692619251,940184,229
2011-07-27$22.46$23.0028.9%8.3%22.4%42.0%28.8%3.4%-1.2%-517.0K67.9M-1.6M2.595.41N/AN/A1,9975,178253,528184,231
2011-07-28$21.79$23.0030.2%8.7%24.6%47.6%30.8%4.7%-1.5%-1.2M110.9M-1.5M1.126.92N/AN/A9,61410,795253,511185,753
2011-07-29$21.58$23.0031.1%8.9%24.7%51.5%31.1%4.5%-2.3%-1.7M128.9M-1.5M0.666.62N/AN/A9,2406,086260,373193,814