LOW Options History — October 2011

In October 2011, LOW traded between $18.98 and $22.13. ATM implied volatility averaged 34.5%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 0.1% (HV 20d: 34.4%). Max pain ranged from $19.00 to $23.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2011-10-14: Highest Volume — 159,688 contracts
  • 2011-10-13: Largest IV spike — 19.3% change
  • 2011-10-03: Highest IV Rank — 61.9%
  • 2011-10-03: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.89$18.98$22.13$18.98$21.02
Max Pain$20.33$19.00$23.00$23.00$21.00
ATM IV34.5%30.0%44.8%44.8%34.6%
Expected Move10.1%8.9%12.8%12.8%9.9%
HV 20d34.4%30.3%37.3%35.4%30.3%
HV 60d38.3%36.7%39.0%36.7%38.8%
IV Rank36.9%25.9%61.9%61.9%37.3%
IV Percentile83.4%71.0%98.4%98.4%83.7%
Term Structure0.5%-1.7%4.2%1.1%-1.7%
VWIV35.9%31.0%44.7%44.7%34.2%
Skew 25d8.4%4.6%10.5%10.5%8.3%
Skew 10d17.8%12.7%22.6%19.1%17.9%
Call IV 25d32.3%28.2%41.5%41.5%31.7%
Put IV 25d40.6%36.4%52.0%52.0%40.0%
Bid-Ask Spread %6.845.5310.349.217.78
Gamma HHI0.170.110.630.110.13
Net GEX3.7M-78.9K20.9M-78.9K3.3M
Net DEX48.2M-75.1M190.6M190.6M-13.8M
Net VEX-1.5M-1.6M-1.3M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.021.880.160.26
Total Volume18,619.0483,672159,68814,5185,205
Total OI552,031.619428,963610,321575,983444,407

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$18.98$23.0044.8%12.8%35.4%61.9%44.7%10.5%1.1%-78.9K190.6M-1.4M0.169.21N/AN/A12,5012,017333,606242,377
2011-10-04$19.66$22.0039.2%11.2%37.2%48.5%42.6%7.9%2.2%1.1M152.6M-1.5M0.687.97N/AN/A4,5793,133344,552242,883
2011-10-05$19.74$22.0034.9%10.0%36.3%38.0%37.5%7.3%4.2%1.0M151.5M-1.4M0.5710.34N/AN/A7,1104,055347,505242,687
2011-10-06$20.24$22.0035.4%10.2%37.3%39.2%36.8%4.6%3.4%1.8M114.9M-1.5M0.616.95N/AN/A4,2312,569352,353243,945
2011-10-07$20.34$19.0035.8%11.2%35.1%40.2%35.4%8.6%0.1%2.1M106.9M-1.5M0.736.74N/AN/A3,0942,249353,346243,748
2011-10-10$20.86$19.0033.7%10.5%35.9%35.1%37.5%8.7%-0.1%2.7M73.3M-1.5M0.775.80N/AN/A4,0513,101353,601245,070
2011-10-11$20.53$19.0032.5%10.3%36.6%32.0%35.0%8.5%0.4%2.2M92.5M-1.5M0.325.82N/AN/A7,9312,509355,691245,558
2011-10-12$20.62$19.0030.0%9.7%36.0%25.9%34.8%8.1%1.0%2.3M91.2M-1.5M0.626.25N/AN/A6,2173,860360,795246,294
2011-10-13$20.45$19.0035.7%10.2%35.5%40.0%37.7%8.2%-0.1%1.8M106.0M-1.4M0.356.41N/AN/A2,739971364,037246,284
2011-10-14$20.93$19.0032.2%9.2%35.8%31.4%33.4%7.7%1.1%2.0M71.9M-1.5M0.027.06N/AN/A156,0893,599365,031243,925
2011-10-17$20.89$19.0034.8%10.0%35.1%37.8%38.1%7.9%-0.0%1.6M97.3M-1.5M0.215.72N/AN/A12,4642,629345,916244,093
2011-10-18$21.49$19.0035.3%10.1%36.2%38.9%35.4%7.8%0.1%6.2M31.3M-1.6M0.485.96N/AN/A6,4573,084352,210243,291
2011-10-19$21.04$19.0036.1%10.3%34.0%40.8%36.8%8.8%-0.5%2.7M75.2M-1.5M1.885.96N/AN/A2,8485,358352,741243,680
2011-10-20$21.52$20.0034.1%9.8%33.8%36.0%37.3%8.9%2.1%7.0M33.5M-1.5M1.725.53N/AN/A3,8846,664353,274244,103
2011-10-21$22.13$21.0033.3%9.5%31.9%34.0%33.9%8.8%-0.5%20.9M-71.1M-1.6M0.446.11N/AN/A31,92314,000353,829247,162
2011-10-24$21.78$21.0032.4%9.3%32.8%31.9%32.0%8.4%-0.1%3.6M-69.6M-1.5M0.286.93N/AN/A12,8553,659270,410158,553
2011-10-25$21.51$21.0032.5%9.3%32.8%32.0%35.9%10.0%0.0%3.7M-52.1M-1.5M1.205.63N/AN/A5,5146,607278,798156,355
2011-10-26$21.64$21.0032.7%9.4%31.9%32.5%32.4%9.7%-0.6%3.9M-60.0M-1.5M0.387.10N/AN/A2,6601,012282,769160,728
2011-10-27$21.90$21.0031.1%8.9%32.0%28.7%32.3%9.0%-0.2%4.4M-75.1M-1.5M0.166.99N/AN/A13,7002,207283,531160,818
2011-10-28$21.37$21.0032.8%9.4%30.5%32.7%31.0%7.8%-1.1%3.9M-35.5M-1.3M0.647.46N/AN/A7,1154,550281,692161,016
2011-10-31$21.02$21.0034.6%9.9%30.3%37.3%34.2%8.3%-1.7%3.3M-13.8M-1.4M0.267.78N/AN/A4,1421,063282,234162,173