LOW Options History — September 2011

In September 2011, LOW traded between $18.90 and $20.38. ATM implied volatility averaged 36.5%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 0.9% (HV 20d: 35.6%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2011-09-09: Highest Volume — 41,644 contracts
  • 2011-09-09: Largest IV spike — 25.1% change
  • 2011-09-30: Highest IV Rank — 61.3%
  • 2011-09-30: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.59$18.90$20.38$19.81$19.34
Max Pain$23.48$21.00$24.00$21.00$23.00
ATM IV36.5%30.2%44.5%30.6%44.5%
Expected Move10.6%8.8%12.8%8.8%12.8%
HV 20d35.6%30.9%49.2%46.6%38.3%
HV 60d35.6%34.4%36.8%34.4%36.7%
IV Rank41.9%26.5%61.3%27.4%61.3%
IV Percentile92.0%78.6%98.4%84.5%98.4%
Term Structure0.7%-1.8%2.2%2.0%-0.2%
VWIV36.4%29.5%42.1%29.5%40.8%
Skew 25d8.3%6.2%10.0%7.2%10.0%
Skew 10d17.4%13.9%21.3%13.9%18.6%
Call IV 25d33.8%28.5%39.7%28.8%39.7%
Put IV 25d42.1%35.9%49.7%35.9%49.7%
Bid-Ask Spread %8.075.4311.468.527.88
Gamma HHI0.120.110.140.120.11
Net GEX-60.0K-836.5K1.3M-536.7K329.4K
Net DEX177.5M121.1M222.5M186.0M171.7M
Net VEX-1.4M-1.6M-1.2M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.027.760.290.76
Total Volume9,659.3331,52741,6443,7072,348
Total OI555,884.857533,628575,500533,628575,500

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$19.81$21.0030.6%8.8%46.6%27.4%29.5%7.2%2.0%-536.7K186.0M-1.4M0.298.52N/AN/A2,881826302,200231,428
2011-09-02$18.94$21.0033.8%9.7%49.2%35.3%34.1%7.4%1.8%-836.5K222.5M-1.2M1.028.88N/AN/A3,5573,626303,615231,431
2011-09-06$19.21$24.0038.5%10.8%41.2%46.7%37.1%8.8%-1.2%-772.0K210.5M-1.3M0.9311.46N/AN/A1,9031,762304,275233,707
2011-09-07$19.66$24.0031.2%9.6%40.9%29.0%33.8%8.0%0.2%-645.6K193.2M-1.4M0.366.00N/AN/A1,122405305,001234,138
2011-09-08$19.58$24.0031.7%9.6%34.8%30.1%30.0%8.5%0.9%-699.6K197.3M-1.3M0.026.08N/AN/A38,449698305,174234,342
2011-09-09$18.96$24.0039.6%11.4%31.9%49.4%36.5%10.0%-1.8%-375.1K211.2M-1.3M7.765.93N/AN/A4,75636,888321,448234,263
2011-09-12$19.13$24.0040.8%11.6%31.1%52.3%41.7%9.8%-1.6%-666.7K206.0M-1.4M0.376.28N/AN/A4,0121,475321,198247,729
2011-09-13$19.15$24.0036.2%10.9%30.9%41.2%37.1%8.6%-0.3%-639.4K206.1M-1.4M0.925.43N/AN/A2,4002,212321,219246,419
2011-09-14$19.58$24.0030.2%9.9%31.0%26.5%34.3%8.3%1.4%-230.7K188.5M-1.4M0.558.49N/AN/A1,066587322,506247,611
2011-09-15$19.99$24.0033.7%9.7%32.0%35.0%32.9%8.0%1.6%188.0K168.1M-1.5M0.358.87N/AN/A1,660587322,479247,588
2011-09-16$20.38$24.0032.9%9.4%31.2%33.1%31.9%7.9%1.4%309.0K146.0M-1.5M0.357.32N/AN/A2,142747322,606247,788
2011-09-19$20.01$24.0033.8%9.7%31.5%35.3%34.4%8.7%1.6%-72.6K157.9M-1.4M0.117.82N/AN/A11,7091,266304,491232,653
2011-09-20$19.92$24.0031.9%9.1%31.4%30.6%31.8%8.2%2.2%13.4K163.1M-1.4M0.726.59N/AN/A3,4972,519310,938233,158
2011-09-21$19.18$24.0035.9%10.3%32.3%40.4%34.6%8.8%1.2%-317.1K196.5M-1.3M0.8711.19N/AN/A1,8901,636312,890234,576
2011-09-22$18.90$24.0040.0%11.5%32.2%50.3%42.1%9.1%0.2%-325.9K197.1M-1.3M1.199.47N/AN/A4,3435,164312,913235,554
2011-09-23$19.74$24.0041.0%11.7%36.1%52.7%40.3%6.2%0.3%78.5K156.1M-1.5M0.0710.72N/AN/A27,4641,827313,630236,658
2011-09-26$19.82$23.0040.4%11.6%36.1%51.4%41.8%7.1%1.1%926.2K141.9M-1.5M2.098.48N/AN/A2,5665,352331,055236,426
2011-09-27$20.24$23.0039.6%11.4%36.6%49.4%38.8%7.2%1.0%1.3M121.1M-1.6M0.609.35N/AN/A4,6512,805331,643238,218
2011-09-28$19.88$23.0040.7%11.7%36.3%52.0%40.8%8.6%0.9%811.0K148.8M-1.5M0.776.12N/AN/A2,9392,260331,871240,043
2011-09-29$20.02$23.0039.8%11.4%36.3%49.7%40.3%8.0%1.4%941.9K138.3M-1.6M1.348.71N/AN/A2,0682,781332,252240,948
2011-09-30$19.34$23.0044.5%12.8%38.3%61.3%40.8%10.0%-0.2%329.4K171.7M-1.4M0.767.88N/AN/A1,3321,016333,609241,891