LOW Options History — December 2011

In December 2011, LOW traded between $23.87 and $25.96. ATM implied volatility averaged 26.7%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.6% (HV 20d: 27.2%). Max pain ranged from $22.50 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2011-12-20: Highest Volume — 21,822 contracts
  • 2011-12-09: Largest IV drop — 14.5% change
  • 2011-12-08: Highest IV Rank — 26.6%
  • 2011-12-08: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.96$23.87$25.96$23.87$25.38
Max Pain$22.55$22.50$23.00$23.00$22.50
ATM IV26.7%23.5%30.3%28.6%27.5%
Expected Move7.8%6.7%8.8%8.2%7.9%
HV 20d27.2%25.2%29.8%29.6%26.7%
HV 60d30.6%28.7%32.4%32.2%28.9%
IV Rank18.0%10.3%26.6%22.7%19.9%
IV Percentile45.6%21.8%64.7%58.3%52.4%
Term Structure1.9%0.8%3.7%1.5%1.1%
VWIV28.1%23.5%33.6%33.6%27.4%
Skew 25d5.3%4.1%6.3%6.0%4.7%
Skew 10d11.2%8.4%13.2%13.1%10.0%
Call IV 25d25.1%21.9%28.3%27.2%25.2%
Put IV 25d30.4%26.2%34.6%33.3%29.9%
Bid-Ask Spread %5.873.829.734.157.25
Gamma HHI0.210.160.280.250.21
Net GEX9.2M7.1M12.3M8.9M7.1M
Net DEX-317.6M-390.1M-228.8M-228.8M-316.7M
Net VEX-1.6M-1.8M-1.5M-1.7M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.222.030.970.33
Total Volume10,391.5715,15821,8227,7246,662
Total OI520,059.095500,931539,852500,931521,948

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$23.87$23.0028.6%8.2%29.6%22.7%33.6%6.0%1.5%8.9M-228.8M-1.7M0.974.15N/AN/A3,9233,801333,771167,160
2011-12-02$24.31$23.0029.3%8.4%29.8%24.2%28.5%5.4%1.0%9.2M-270.2M-1.7M0.475.26N/AN/A8,9754,187334,251168,704
2011-12-05$24.35$22.5029.9%8.6%29.6%25.7%29.7%5.8%0.8%9.8M-275.6M-1.7M0.725.16N/AN/A8,3335,982338,625171,200
2011-12-06$24.77$22.5027.6%8.2%27.9%20.3%29.8%5.8%1.2%9.8M-318.7M-1.7M0.685.26N/AN/A6,3504,298343,124174,948
2011-12-07$25.20$22.5029.4%8.5%27.7%24.7%29.8%6.0%1.1%9.7M-369.7M-1.7M0.294.66N/AN/A14,0164,135344,736176,888
2011-12-08$24.88$22.5030.3%8.8%26.2%26.6%32.3%6.3%0.9%9.4M-324.8M-1.8M1.316.24N/AN/A3,1204,100345,519179,698
2011-12-09$24.97$22.5025.9%8.3%26.1%16.0%29.4%6.0%1.8%9.5M-338.7M-1.8M0.615.52N/AN/A5,5923,435346,099181,283
2011-12-12$24.69$22.5027.2%8.2%25.2%19.2%29.5%5.7%1.9%9.9M-312.1M-1.7M1.155.52N/AN/A2,4022,756349,048183,400
2011-12-13$24.18$22.5027.5%8.2%26.0%19.9%28.3%5.5%2.2%10.4M-248.7M-1.7M1.164.58N/AN/A5,2216,034350,282185,185
2011-12-14$24.48$22.5028.5%8.5%25.7%22.4%28.3%5.8%2.1%10.2M-285.5M-1.7M0.395.39N/AN/A6,3412,451351,859187,335
2011-12-15$24.66$22.5026.8%7.7%25.5%18.2%26.9%5.3%3.2%10.2M-311.6M-1.7M1.106.20N/AN/A3,0133,313352,602187,198
2011-12-16$25.02$22.5025.5%7.3%25.7%15.1%25.8%5.0%3.7%12.3M-359.0M-1.6M0.753.82N/AN/A3,9943,007352,499187,353
2011-12-19$24.72$22.5025.1%7.2%26.2%14.1%27.5%5.0%2.1%9.0M-275.3M-1.7M1.254.59N/AN/A3,5874,468335,045173,875
2011-12-20$25.73$22.5023.8%6.8%28.9%10.9%26.5%4.7%2.4%8.5M-379.6M-1.6M0.345.99N/AN/A16,2405,582335,574176,197
2011-12-21$25.96$22.5023.8%6.8%28.1%11.0%25.8%5.2%2.2%8.0M-390.1M-1.6M0.536.69N/AN/A10,1605,380332,997180,466
2011-12-22$25.46$22.5025.4%7.3%28.7%14.9%25.3%4.7%2.0%8.2M-338.5M-1.6M0.765.86N/AN/A3,9773,036332,472181,764
2011-12-23$25.27$22.5024.2%6.9%29.1%12.0%23.5%4.1%2.4%8.2M-326.0M-1.5M0.656.91N/AN/A3,5492,305331,663182,862
2011-12-27$25.54$22.5023.5%6.7%27.7%10.3%28.4%5.0%1.8%8.2M-347.8M-1.5M1.639.73N/AN/A2,8614,660332,115182,834
2011-12-28$25.06$22.5025.8%7.4%25.6%15.8%26.8%4.4%1.5%8.1M-300.0M-1.5M0.228.74N/AN/A7,6781,707331,801183,861
2011-12-29$25.68$22.5024.8%7.1%26.3%13.3%26.9%5.5%2.0%7.9M-353.1M-1.5M2.035.78N/AN/A5,80511,787329,172183,828
2011-12-30$25.38$22.5027.5%7.9%26.7%19.9%27.4%4.7%1.1%7.1M-316.7M-1.5M0.337.25N/AN/A5,0161,646328,706193,242