LOW Options History — January 2012

In January 2012, LOW traded between $25.52 and $27.46. ATM implied volatility averaged 24.5%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.9% (HV 20d: 26.4%). Max pain ranged from $22.50 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2012-01-20: Highest Volume — 37,775 contracts
  • 2012-01-12: Largest IV spike — 15.8% change
  • 2012-01-04: Highest IV Rank — 18.3%
  • 2012-01-04: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.61$25.52$27.46$25.52$26.83
Max Pain$25.07$22.50$26.00$22.50$26.00
ATM IV24.5%22.2%26.8%26.3%22.4%
Expected Move7.1%6.4%7.7%7.5%6.4%
HV 20d26.4%22.6%28.8%26.1%22.6%
HV 60d28.1%26.1%29.3%28.5%26.1%
IV Rank12.6%7.1%18.3%16.9%7.7%
IV Percentile29.3%11.5%49.2%44.4%11.9%
Term Structure1.4%0.4%3.7%0.4%3.7%
VWIV25.9%22.6%29.1%29.1%22.6%
Skew 25d4.7%2.9%5.8%4.7%4.4%
Skew 10d10.8%6.8%14.6%10.7%11.2%
Call IV 25d23.4%22.1%25.8%25.8%22.4%
Put IV 25d28.1%26.2%30.4%30.4%26.8%
Bid-Ask Spread %7.033.4812.319.625.05
Gamma HHI0.200.160.290.200.16
Net GEX5.7M3.0M7.3M7.2M3.5M
Net DEX-344.2M-527.8M-144.7M-327.9M-159.4M
Net VEX-1.4M-1.4M-1.3M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.0710.970.420.17
Total Volume11,540.12,24037,77511,93919,262
Total OI436,062.75243,279559,353520,604253,150

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$25.52$22.5026.3%7.5%26.1%16.9%29.1%4.7%0.4%7.2M-327.9M-1.4M0.429.62N/AN/A8,4313,508327,108193,496
2012-01-04$26.47$22.5026.8%7.7%28.8%18.3%28.5%3.8%0.8%7.0M-437.7M-1.4M0.2410.70N/AN/A11,8132,882331,218194,464
2012-01-05$26.37$22.5025.4%7.3%28.5%15.0%26.3%2.9%1.3%7.1M-414.5M-1.4M0.0712.31N/AN/A14,4631,015328,735195,334
2012-01-06$26.34$25.0024.1%7.5%28.0%11.7%27.5%5.3%1.3%7.1M-433.3M-1.4M0.894.61N/AN/A1,1871,053332,154195,894
2012-01-09$26.10$25.0024.4%7.5%27.8%12.5%27.6%5.4%1.0%7.3M-412.2M-1.4M1.234.78N/AN/A4,3685,355332,458196,473
2012-01-10$26.43$25.0024.0%7.4%28.0%11.4%25.7%4.9%1.2%7.3M-440.7M-1.4M1.416.47N/AN/A3,2214,551335,112200,041
2012-01-11$26.53$25.0022.2%7.0%27.5%7.1%25.4%5.3%1.4%7.2M-449.3M-1.4M0.567.66N/AN/A12,4186,979335,155201,202
2012-01-12$26.39$25.0025.7%7.4%26.2%15.7%25.5%5.1%1.1%6.8M-429.2M-1.4M0.577.26N/AN/A5,8723,363333,197204,204
2012-01-13$26.32$25.0025.9%7.4%26.1%16.0%26.6%5.0%1.0%6.7M-424.7M-1.4M0.847.05N/AN/A2,8322,391334,778206,753
2012-01-17$26.80$25.0024.8%7.1%26.6%13.4%26.4%5.3%1.2%7.1M-476.0M-1.3M0.238.17N/AN/A7,4371,722334,316207,416
2012-01-18$27.46$25.0025.9%7.4%27.3%16.2%25.1%5.8%1.0%6.4M-527.8M-1.3M0.349.66N/AN/A15,1285,082336,870208,568
2012-01-19$27.33$26.0025.7%7.4%26.8%15.5%25.4%4.9%0.7%6.9M-525.3M-1.4M0.349.97N/AN/A7,5892,558345,217212,521
2012-01-20$26.53$26.0023.7%6.8%26.2%10.7%24.7%5.1%2.0%4.1M-463.1M-1.4M0.088.52N/AN/A34,9172,858346,278213,075
2012-01-23$26.33$26.0024.7%7.1%26.2%13.2%24.9%4.2%1.6%3.0M-144.7M-1.4M0.895.51N/AN/A4,0153,555141,556103,855
2012-01-24$26.88$26.0023.5%6.7%26.0%10.1%24.7%4.5%1.6%3.8M-167.6M-1.4M1.445.28N/AN/A2,6933,868143,563105,427
2012-01-25$26.91$26.0023.0%6.6%25.7%8.9%24.7%4.7%1.8%3.7M-160.8M-1.3M0.405.05N/AN/A3,6581,463138,748104,531
2012-01-26$26.95$26.0023.8%6.8%25.6%11.1%24.4%4.0%1.6%3.8M-165.3M-1.3M0.634.27N/AN/A3,3422,103140,244105,597
2012-01-27$26.91$26.0022.9%6.6%24.3%8.9%28.2%3.8%2.1%3.8M-166.6M-1.4M10.975.12N/AN/A93510,254142,537106,664
2012-01-30$26.82$26.0024.3%7.0%23.2%12.1%25.4%4.4%1.3%3.4M-157.4M-1.4M0.383.48N/AN/A1,925736142,709110,637
2012-01-31$26.83$26.0022.4%6.4%22.6%7.7%22.6%4.4%3.7%3.5M-159.4M-1.4M0.175.05N/AN/A16,4142,848142,643110,507