LOW Options History — February 2012

In February 2012, LOW traded between $26.82 and $28.38. ATM implied volatility averaged 23.9%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 6.8% (HV 20d: 17.1%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2012-02-22: Highest Volume — 33,834 contracts
  • 2012-02-09: Largest IV spike — 20.5% change
  • 2012-02-15: Highest IV Rank — 16.8%
  • 2012-02-15: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.26$26.82$28.38$26.88$28.38
Max Pain$26.90$26.00$27.00$26.00$27.00
ATM IV23.9%20.6%26.2%23.7%21.6%
Expected Move7.0%6.1%7.5%6.8%6.2%
HV 20d17.1%12.0%22.6%22.6%17.5%
HV 60d23.8%21.8%26.0%26.0%22.2%
IV Rank11.2%3.2%16.8%10.8%5.6%
IV Percentile25.6%2.4%45.2%22.6%7.1%
Term Structure0.0%-1.4%3.1%2.3%1.1%
VWIV24.9%21.8%26.7%23.8%21.8%
Skew 25d4.1%0.1%6.1%4.0%1.8%
Skew 10d9.8%0.3%14.4%11.0%5.5%
Call IV 25d23.2%21.1%25.3%23.0%21.1%
Put IV 25d27.3%22.4%29.5%27.0%23.0%
Bid-Ask Spread %7.575.0112.296.189.88
Gamma HHI0.200.170.240.210.21
Net GEX5.1M4.0M8.0M5.3M8.0M
Net DEX-184.8M-250.8M-156.5M-172.2M-250.8M
Net VEX-1.3M-1.4M-1.3M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.092.330.090.43
Total Volume10,154.51,41333,8348,18714,112
Total OI268,296.7242,400298,641264,955298,641

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$26.88$26.0023.7%6.8%22.6%10.8%23.8%4.0%2.3%5.3M-172.2M-1.4M0.096.18N/AN/A7,504683152,529112,426
2012-02-02$26.82$26.0022.5%6.5%18.7%7.9%23.2%3.5%3.1%4.1M-162.5M-1.3M1.017.04N/AN/A1,0461,054146,653112,644
2012-02-03$27.20$27.0021.9%7.3%19.2%6.4%25.1%5.2%-0.5%4.6M-183.3M-1.3M0.277.05N/AN/A2,828777146,339113,106
2012-02-06$27.01$27.0022.9%7.3%19.4%8.8%26.5%5.3%-0.7%4.8M-174.8M-1.3M1.137.58N/AN/A662751147,484113,302
2012-02-07$26.96$27.0022.2%7.3%19.1%7.0%25.5%5.1%-0.5%4.6M-171.2M-1.3M0.346.95N/AN/A3,1611,066147,609113,806
2012-02-08$26.88$27.0020.6%7.1%18.7%3.2%25.6%4.8%-0.1%4.5M-167.6M-1.3M0.336.40N/AN/A5,9321,980145,544113,793
2012-02-09$26.91$27.0024.8%7.1%18.6%13.5%25.1%5.0%-0.1%4.5M-168.1M-1.3M1.2910.76N/AN/A1,6032,074147,427115,127
2012-02-10$27.09$27.0026.1%7.5%18.6%16.5%26.4%5.1%-0.4%4.8M-178.7M-1.3M0.796.77N/AN/A3,4482,718147,776116,181
2012-02-13$27.39$27.0025.8%7.4%18.9%15.9%25.8%5.4%-0.5%6.2M-201.9M-1.3M0.295.01N/AN/A2,871839150,004117,671
2012-02-14$27.19$27.0025.8%7.4%18.1%15.8%26.7%6.1%-0.3%5.8M-186.9M-1.3M0.385.65N/AN/A6,4052,460149,949117,997
2012-02-15$27.43$27.0026.2%7.5%16.2%16.8%26.2%5.3%-0.3%5.9M-196.8M-1.3M0.767.81N/AN/A2,6151,984149,591119,122
2012-02-16$27.31$27.0025.6%7.3%16.2%15.2%25.5%5.6%0.2%5.1M-191.1M-1.3M0.936.56N/AN/A1,7251,608149,627120,290
2012-02-17$27.68$27.0023.5%6.7%12.5%10.3%24.4%5.1%0.7%4.5M-211.0M-1.3M0.415.24N/AN/A4,6411,894150,454121,258
2012-02-21$27.76$27.0023.2%6.7%12.0%9.6%24.4%4.1%0.3%4.2M-193.1M-1.3M0.575.68N/AN/A9,2435,297138,392104,008
2012-02-22$26.95$27.0025.8%7.4%14.9%15.8%25.6%4.1%-0.5%4.0M-156.5M-1.3M2.338.71N/AN/A10,16123,673142,739107,383
2012-02-23$27.06$27.0025.0%7.2%14.9%13.8%24.7%3.3%-1.0%4.3M-162.6M-1.4M0.517.30N/AN/A7,8904,018149,714124,029
2012-02-24$27.16$27.0025.4%7.3%15.0%14.9%25.8%1.7%-1.4%4.9M-168.6M-1.4M0.798.91N/AN/A14,67411,624154,027124,116
2012-02-27$27.34$27.0023.8%6.8%15.1%10.8%23.5%2.0%-0.5%6.0M-189.3M-1.4M0.2712.29N/AN/A17,9534,852161,814128,675
2012-02-28$27.71$27.0021.4%6.1%15.7%5.1%22.3%0.1%-0.0%6.9M-209.6M-1.4M0.959.58N/AN/A7,8257,439163,934130,753
2012-02-29$28.38$27.0021.6%6.2%17.5%5.6%21.8%1.8%1.1%8.0M-250.8M-1.4M0.439.88N/AN/A9,8924,220166,468132,173