LOW Options History — November 2011

In November 2011, LOW traded between $20.60 and $24.30. ATM implied volatility averaged 34.2%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 2.7% (HV 20d: 31.6%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2011-11-11: Highest Volume — 73,895 contracts
  • 2011-11-09: Largest IV spike — 37.2% change
  • 2011-11-09: Highest IV Rank — 59.6%
  • 2011-11-09: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.74$20.60$24.30$20.60$24.01
Max Pain$22.14$21.00$23.00$21.00$23.00
ATM IV34.2%30.2%43.8%36.9%30.2%
Expected Move9.7%8.7%10.9%10.6%8.7%
HV 20d31.6%29.3%33.9%29.3%31.0%
HV 60d33.1%32.3%35.9%35.6%32.4%
IV Rank36.3%26.6%59.6%42.7%26.6%
IV Percentile79.6%63.9%97.6%90.5%63.9%
Term Structure-0.2%-2.4%2.1%-2.4%0.8%
VWIV34.1%30.9%40.2%37.0%31.6%
Skew 25d6.6%4.8%9.7%9.7%6.2%
Skew 10d14.4%9.7%23.3%23.3%13.9%
Call IV 25d31.2%28.5%35.6%35.1%28.5%
Put IV 25d37.8%34.4%44.8%44.8%34.7%
Bid-Ask Spread %6.774.9010.477.775.53
Gamma HHI0.190.130.250.130.23
Net GEX6.4M2.9M8.6M2.9M8.6M
Net DEX-148.1M-258.9M7.4M7.4M-238.0M
Net VEX-1.6M-1.7M-1.4M-1.4M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.102.331.300.47
Total Volume18,197.5241,26573,89513,47613,182
Total OI476,963.048451,796511,940451,796499,279

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$20.60$21.0036.9%10.6%29.3%42.7%37.0%9.7%-2.4%2.9M7.4M-1.4M1.307.77N/AN/A5,8537,623288,602163,194
2011-11-02$21.33$21.0036.2%10.4%31.5%41.2%35.5%6.3%-1.6%4.2M-42.0M-1.5M0.298.48N/AN/A8,0242,294291,163165,154
2011-11-03$21.63$21.0032.1%9.2%30.8%31.1%35.3%7.4%-0.7%5.0M-67.3M-1.5M0.9010.47N/AN/A1,9501,747294,582165,763
2011-11-04$21.54$21.0032.9%9.2%30.9%33.2%35.4%6.5%1.9%4.8M-62.4M-1.4M0.347.17N/AN/A3,4061,155294,012166,746
2011-11-07$22.31$21.0034.5%9.4%32.0%37.1%31.0%5.9%-0.1%6.3M-116.3M-1.5M0.306.86N/AN/A11,6363,453296,576167,487
2011-11-08$22.77$22.0031.9%9.0%31.7%30.7%30.9%4.8%1.3%6.8M-155.1M-1.6M0.506.41N/AN/A8,3214,148300,599169,085
2011-11-09$22.20$22.0043.8%10.9%33.5%59.6%38.5%6.0%-1.7%5.8M-116.2M-1.5M0.678.56N/AN/A11,9628,053302,129171,370
2011-11-10$22.46$22.0037.5%10.8%33.3%44.3%40.2%6.2%-1.2%6.2M-137.0M-1.6M0.408.49N/AN/A6,3342,530305,256171,569
2011-11-11$23.11$22.0036.4%10.4%33.8%41.6%36.6%7.4%-1.7%6.7M-180.0M-1.6M0.847.51N/AN/A40,23733,658308,545172,201
2011-11-14$23.50$22.0034.4%9.9%33.9%36.9%33.1%6.3%-2.1%8.3M-225.5M-1.7M0.746.44N/AN/A27,74920,576328,205183,735
2011-11-15$23.20$22.0032.8%9.4%33.4%32.7%32.2%6.5%0.9%7.3M-196.9M-1.6M1.234.90N/AN/A6,9108,532323,826172,218
2011-11-16$23.49$22.0033.6%9.6%32.2%34.7%32.2%6.6%-1.7%7.5M-221.5M-1.6M0.494.93N/AN/A25,94312,708320,021172,448
2011-11-17$23.38$22.0034.5%9.9%31.7%37.0%34.0%7.2%-1.2%6.6M-215.1M-1.6M2.337.24N/AN/A6,34614,817325,591176,971
2011-11-18$23.31$23.0032.9%9.4%30.5%33.1%32.4%7.0%-0.6%6.5M-209.2M-1.6M0.805.28N/AN/A3,2812,617328,199180,652
2011-11-21$23.09$23.0033.5%9.6%30.1%34.4%32.6%6.9%1.9%6.4M-153.0M-1.6M0.905.60N/AN/A7,2256,529305,664161,299
2011-11-22$22.81$23.0031.5%9.0%30.1%29.8%32.1%7.0%2.1%6.1M-125.2M-1.6M0.185.63N/AN/A6,4851,164306,653163,654
2011-11-23$22.48$23.0035.0%10.0%30.7%38.3%33.7%6.5%-0.4%6.0M-105.1M-1.5M0.105.37N/AN/A5,922576306,692160,720
2011-11-25$22.68$23.0033.7%9.7%30.6%35.1%33.1%6.9%1.6%6.4M-122.6M-1.5M1.016.10N/AN/A630635308,362160,697
2011-11-28$23.36$23.0033.0%9.5%30.4%33.4%32.7%6.4%-0.3%7.3M-169.1M-1.5M1.476.56N/AN/A1,5982,344307,555160,404
2011-11-29$24.30$23.0031.6%9.1%31.8%29.9%34.9%5.5%1.7%8.1M-258.9M-1.5M0.246.77N/AN/A35,6078,388308,096161,250
2011-11-30$24.01$23.0030.2%8.7%31.0%26.6%31.6%6.2%0.8%8.6M-238.0M-1.7M0.475.53N/AN/A8,9444,238332,629166,650