LOW Options History — August 2011 In August 2011, LOW traded between $18.11 and $21.09. ATM implied volatility averaged 39.6%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 0.3% (HV 20d: 39.9%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.89.
Notable Days 2011-08-03 : Highest Volume — 35,019 contracts2011-08-08 : Largest IV spike — 40.5% change2011-08-04 : Highest IV Rank — 100.0%2011-08-10 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $19.85 $18.11 $21.09 $21.09 $19.93 Max Pain $21.65 $21.00 $23.00 $23.00 $21.00 ATM IV 39.6% 32.2% 60.4% 33.6% 32.2% Expected Move 11.0% 9.2% 14.0% 9.6% 9.2% HV 20d 39.9% 20.6% 48.3% 23.6% 46.7% HV 60d 31.1% 24.0% 34.5% 24.0% 34.5% IV Rank 57.7% 31.4% 100.0% 62.4% 31.4% IV Percentile 96.5% 88.9% 100.0% 94.8% 88.9% Term Structure -1.6% -4.8% 1.3% -3.4% 1.3% VWIV 38.3% 33.0% 46.9% 33.3% 33.7% Skew 25d 7.9% 4.3% 10.3% 4.9% 8.3% Skew 10d 16.9% 8.1% 24.9% 9.2% 19.7% Call IV 25d 35.4% 30.0% 45.0% 31.9% 30.0% Put IV 25d 43.3% 36.8% 54.9% 36.8% 38.4% Bid-Ask Spread % 8.73 6.76 16.55 6.80 8.99 Gamma HHI 0.19 0.12 0.29 0.25 0.12 Net GEX -657.1K -2.1M 1.4M -1.8M -268.1K Net DEX 178.1M 138.1M 236.4M 152.7M 172.3M Net VEX -1.4M -1.6M -1.1M -1.4M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.12 2.47 0.75 1.63 Total Volume 15,462.478 3,735 35,019 6,338 3,735 Total OI 509,810.478 456,234 557,132 456,234 536,550
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-08-01 $21.09 $23.00 33.6% 9.6% 23.6% 62.4% 33.3% 4.9% -3.4% -1.8M 152.7M -1.4M 0.75 6.80 N/A N/A 3,613 2,725 263,118 193,116 2011-08-02 $20.46 $23.00 35.7% 10.2% 25.0% 71.9% 34.0% 4.3% -2.6% -2.0M 182.5M -1.3M 0.82 10.92 N/A N/A 7,737 6,363 264,019 192,910 2011-08-03 $20.42 $23.00 34.9% 10.0% 25.0% 68.4% 35.1% 4.5% -2.4% -2.1M 187.4M -1.3M 0.26 8.33 N/A N/A 27,747 7,272 266,388 194,754 2011-08-04 $20.22 $23.00 42.2% 12.1% 20.8% 100.0% 42.3% 4.7% -4.8% -1.5M 177.0M -1.3M 0.74 8.06 N/A N/A 7,021 5,208 268,774 198,492 2011-08-05 $20.15 $22.00 40.7% 11.1% 20.6% 93.6% 37.9% 6.6% -1.9% -1.4M 176.7M -1.3M 1.34 8.06 N/A N/A 8,809 11,785 270,457 199,575 2011-08-08 $18.67 $22.00 57.2% 13.6% 31.8% 100.0% 46.9% 8.4% -4.2% -976.7K 213.0M -1.2M 1.58 8.11 N/A N/A 4,661 7,346 275,497 208,204 2011-08-09 $19.17 $22.00 47.8% 12.1% 34.2% 75.0% 44.4% 9.1% -2.9% -1.4M 217.5M -1.2M 0.86 8.96 N/A N/A 16,375 14,095 276,819 207,602 2011-08-10 $18.11 $22.00 60.4% 14.0% 37.7% 100.0% 46.8% 10.2% -4.5% -902.2K 236.4M -1.1M 0.97 6.95 N/A N/A 16,161 15,732 287,613 217,099 2011-08-11 $19.09 $22.00 45.2% 13.0% 44.2% 63.1% 44.3% 9.4% -3.5% -994.4K 210.5M -1.4M 0.12 9.52 N/A N/A 18,905 2,236 298,008 226,023 2011-08-12 $19.51 $22.00 40.7% 11.7% 45.6% 52.0% 42.1% 8.6% -1.9% -789.5K 190.2M -1.5M 0.21 16.55 N/A N/A 25,262 5,248 308,631 226,170 2011-08-15 $19.68 $22.00 35.0% 10.0% 45.9% 38.3% 37.0% 8.4% -0.3% 738.4K 187.3M -1.4M 1.41 10.08 N/A N/A 11,785 16,674 321,439 228,554 2011-08-16 $20.09 $21.00 35.0% 10.0% 45.9% 38.2% 35.7% 6.6% -0.3% 393.1K 168.5M -1.5M 1.14 7.93 N/A N/A 7,764 8,879 321,398 234,921 2011-08-17 $20.10 $21.00 32.7% 9.4% 46.0% 32.7% 33.2% 6.7% 0.5% 1.4M 167.0M -1.5M 1.49 7.44 N/A N/A 2,061 3,070 322,213 233,761 2011-08-18 $19.58 $21.00 39.1% 11.2% 46.2% 48.2% 41.5% 8.3% -1.1% 774.3K 181.3M -1.5M 2.47 9.08 N/A N/A 2,116 5,220 321,179 233,816 2011-08-19 $19.31 $21.00 42.3% 12.1% 46.2% 55.9% 41.4% 8.7% -2.2% -816.7K 196.8M -1.4M 1.40 10.94 N/A N/A 1,556 2,183 321,580 235,552 2011-08-22 $19.53 $21.00 38.4% 11.0% 46.6% 46.6% 39.0% 10.3% -0.5% -740.2K 175.8M -1.4M 0.49 7.57 N/A N/A 3,112 1,538 278,371 220,571 2011-08-23 $20.12 $21.00 36.8% 10.5% 48.1% 42.6% 37.7% 10.1% -0.2% -718.9K 155.9M -1.5M 0.34 8.74 N/A N/A 4,089 1,406 279,783 220,924 2011-08-24 $20.34 $21.00 36.7% 10.5% 48.3% 42.2% 34.9% 9.4% -0.2% -624.2K 143.3M -1.6M 0.77 8.10 N/A N/A 4,423 3,398 281,737 221,395 2011-08-25 $20.11 $21.00 39.4% 11.3% 47.5% 48.8% 39.0% 10.2% -1.2% -604.3K 152.1M -1.5M 0.44 7.67 N/A N/A 11,964 5,225 282,991 223,162 2011-08-26 $20.24 $21.00 37.3% 10.7% 47.5% 43.8% 34.9% 9.2% -1.2% -315.4K 145.5M -1.5M 0.31 6.76 N/A N/A 7,191 2,194 290,141 225,106 2011-08-29 $20.49 $21.00 35.1% 10.1% 47.2% 38.5% 33.0% 8.2% -0.3% -121.7K 138.1M -1.5M 0.66 7.17 N/A N/A 8,428 5,577 294,037 225,349 2011-08-30 $20.03 $21.00 33.0% 9.4% 46.7% 33.2% 33.5% 7.7% 0.4% -251.6K 168.6M -1.5M 0.20 8.02 N/A N/A 14,742 3,006 298,661 229,181 2011-08-31 $19.93 $21.00 32.2% 9.2% 46.7% 31.4% 33.7% 8.3% 1.3% -268.1K 172.3M -1.4M 1.63 8.99 N/A N/A 1,418 2,317 306,441 230,109
« Jul 2011 | All History | Sep 2011 » Home LOW History August 2011