LOW Options History — April 2012

In April 2012, LOW traded between $30.33 and $32.08. ATM implied volatility averaged 22.1%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.1% (HV 20d: 16.0%). Max pain ranged from $26.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2012-04-20: Highest Volume — 37,631 contracts
  • 2012-04-10: Largest IV spike — 12.7% change
  • 2012-04-10: Highest IV Rank — 15.0%
  • 2012-04-10: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.46$30.33$32.08$31.38$31.47
Max Pain$30.15$26.00$31.00$26.00$31.00
ATM IV22.1%20.0%24.9%22.0%22.5%
Expected Move6.4%5.7%7.2%6.3%6.5%
HV 20d16.0%10.9%18.2%17.1%18.2%
HV 60d17.9%16.8%19.1%17.8%17.8%
IV Rank8.3%3.3%15.0%8.1%9.3%
IV Percentile16.8%2.0%40.9%16.3%22.6%
Term Structure1.5%0.4%2.6%0.9%1.6%
VWIV23.2%20.6%28.6%28.6%22.5%
Skew 25d3.7%2.6%4.5%4.0%2.6%
Skew 10d8.5%6.0%13.1%13.0%6.3%
Call IV 25d21.1%19.5%23.4%20.9%21.3%
Put IV 25d24.8%22.8%28.0%24.9%23.9%
Bid-Ask Spread %6.814.478.708.456.31
Gamma HHI0.230.160.320.200.19
Net GEX6.6M3.9M10.8M6.1M5.8M
Net DEX-329.7M-418.8M-232.1M-346.7M-244.2M
Net VEX-1.5M-1.5M-1.4M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.034.694.690.66
Total Volume9,829.43,03137,63125,6893,384
Total OI331,950.75259,740379,164340,958266,777

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$31.38$26.0022.0%6.3%17.1%8.1%28.6%4.0%0.9%6.1M-346.7M-1.5M4.698.45N/AN/A4,51521,174184,200156,758
2012-04-03$31.07$27.0020.8%6.0%16.5%5.2%22.9%2.9%1.7%5.1M-334.7M-1.5M1.258.70N/AN/A1,3481,683187,389166,716
2012-04-04$31.27$27.0021.5%6.2%11.9%7.0%22.8%3.9%1.5%5.5M-340.1M-1.5M0.787.16N/AN/A3,8853,033187,259166,961
2012-04-05$31.35$27.0020.7%5.9%10.9%5.1%21.6%3.0%2.4%5.7M-357.0M-1.5M0.556.34N/AN/A2,2701,245187,742166,504
2012-04-09$31.09$31.0022.1%6.8%10.9%8.3%24.1%3.9%0.8%5.4M-336.8M-1.5M0.825.61N/AN/A3,2542,653188,265167,110
2012-04-10$30.33$31.0024.9%7.2%14.5%15.0%25.6%4.5%0.5%3.9M-282.7M-1.5M1.436.00N/AN/A3,8975,578189,829168,274
2012-04-11$31.02$31.0022.4%6.9%15.9%9.2%24.2%4.4%0.8%5.5M-327.5M-1.5M0.486.93N/AN/A3,1981,526190,252169,310
2012-04-12$31.50$31.0023.3%6.7%16.5%11.3%24.0%4.0%1.0%6.7M-359.6M-1.5M0.235.87N/AN/A5,7341,336190,352169,935
2012-04-13$31.69$31.0023.2%6.7%16.4%11.1%23.9%3.8%1.0%7.6M-387.7M-1.4M0.626.80N/AN/A2,6311,636192,959169,920
2012-04-16$32.05$31.0023.9%6.9%16.3%12.8%24.5%4.2%0.4%8.5M-410.4M-1.4M0.607.34N/AN/A6,4043,872193,609170,420
2012-04-17$32.08$31.0022.9%6.6%16.3%10.2%23.2%4.2%1.1%8.6M-415.8M-1.4M0.328.29N/AN/A8,1722,640196,427171,405
2012-04-18$31.96$31.0022.3%6.4%16.4%8.9%22.8%4.0%1.3%9.3M-412.7M-1.4M0.038.34N/AN/A22,253762198,413172,314
2012-04-19$32.00$31.0022.2%6.4%16.2%8.7%22.5%3.3%1.6%10.8M-418.8M-1.5M0.287.54N/AN/A8,0412,235204,115172,428
2012-04-20$31.65$31.0020.4%5.9%16.8%4.4%21.6%3.9%2.2%9.6M-386.1M-1.5M0.207.21N/AN/A31,2336,398205,653173,511
2012-04-23$31.12$31.0022.2%6.4%17.8%8.6%23.4%3.6%1.6%5.4M-232.1M-1.5M1.024.47N/AN/A2,9222,970153,164106,576
2012-04-24$31.38$31.0021.7%6.2%17.3%7.4%22.3%3.4%1.9%5.6M-240.7M-1.5M0.875.80N/AN/A3,8733,376154,080108,788
2012-04-25$31.73$31.0020.0%5.7%17.7%3.3%20.6%3.4%2.6%5.9M-259.9M-1.5M0.356.20N/AN/A3,5961,253154,602108,567
2012-04-26$31.43$31.0021.3%6.1%18.1%6.5%21.3%2.8%2.2%5.9M-246.8M-1.5M0.316.58N/AN/A2,790869156,230108,889
2012-04-27$31.61$31.0020.8%5.9%18.2%5.1%21.1%3.5%2.3%6.2M-254.1M-1.5M3.736.29N/AN/A1,8927,057156,049107,263
2012-04-30$31.47$31.0022.5%6.5%18.2%9.3%22.5%2.6%1.6%5.8M-244.2M-1.5M0.666.31N/AN/A2,0431,341156,160110,617