LOW Options History — May 2012

In May 2012, LOW traded between $25.49 and $32.10. ATM implied volatility averaged 28.7%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 1.4% (HV 20d: 27.3%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.30.

Notable Days

  • 2012-05-15: Highest Volume — 45,670 contracts
  • 2012-05-04: Largest IV spike — 12.0% change
  • 2012-05-17: Highest IV Rank — 36.2%
  • 2012-05-17: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.89$25.49$32.10$31.61$26.72
Max Pain$29.59$28.00$31.00$31.00$28.00
ATM IV28.7%21.3%33.7%21.3%27.8%
Expected Move8.2%6.1%9.7%6.1%8.0%
HV 20d27.3%15.5%45.2%18.2%44.3%
HV 60d22.9%17.6%30.6%17.6%30.5%
IV Rank24.1%6.4%36.2%6.4%21.9%
IV Percentile56.4%9.1%78.2%9.1%55.6%
Term Structure-0.7%-3.9%2.3%2.0%2.3%
VWIV29.1%22.1%34.6%22.1%29.1%
Skew 25d5.0%2.5%6.7%3.0%5.0%
Skew 10d10.2%7.2%13.1%8.6%7.9%
Call IV 25d27.0%20.8%31.3%20.9%27.0%
Put IV 25d32.0%23.3%37.4%23.9%32.0%
Bid-Ask Spread %8.635.7916.377.536.77
Gamma HHI0.160.130.210.200.13
Net GEX2.5M-426.0K6.1M5.6M1.5M
Net DEX-100.9M-284.8M60.4M-250.9M-5.7M
Net VEX-1.5M-1.7M-1.3M-1.5M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.224.610.500.97
Total Volume15,3612,39245,6703,80215,749
Total OI309,812.273268,138362,715271,403362,715

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$31.61$31.0021.3%6.1%18.2%6.4%22.1%3.0%2.0%5.6M-250.9M-1.5M0.507.53N/AN/A2,5371,265157,946113,457
2012-05-02$32.10$31.0021.7%6.2%18.6%7.3%22.6%2.5%2.1%6.1M-284.8M-1.4M0.597.96N/AN/A1,615947159,668113,725
2012-05-03$31.66$31.0021.8%6.3%19.2%7.7%22.9%3.5%2.0%5.7M-249.1M-1.5M1.127.63N/AN/A1,1261,266157,865110,273
2012-05-04$31.09$31.0024.4%7.4%20.3%13.9%25.0%4.1%-0.9%4.9M-214.8M-1.5M0.517.26N/AN/A7,4563,766158,359111,398
2012-05-07$30.79$31.0025.6%7.5%20.4%16.8%26.7%4.2%-1.0%4.7M-202.0M-1.5M0.296.59N/AN/A4,4081,260163,595113,110
2012-05-08$30.67$30.0027.3%7.9%18.4%20.7%28.7%4.7%-1.4%4.4M-191.7M-1.5M3.515.79N/AN/A4,15414,567162,329113,709
2012-05-09$30.34$30.0028.7%8.2%16.8%24.2%27.4%5.0%-1.6%2.5M-165.0M-1.5M0.979.63N/AN/A3,6583,541163,334122,736
2012-05-10$30.18$30.0028.8%8.3%15.7%24.5%28.7%4.9%-2.0%2.3M-154.6M-1.5M0.338.47N/AN/A6,1832,019163,977122,091
2012-05-11$29.62$30.0028.4%8.1%16.4%23.4%28.8%5.0%-1.7%1.8M-122.6M-1.5M2.788.06N/AN/A3,1808,851168,559123,603
2012-05-14$29.56$30.0030.4%8.7%15.5%28.3%30.3%5.4%-2.8%1.1M-113.4M-1.5M1.818.80N/AN/A4,8538,789169,848129,782
2012-05-15$29.03$30.0032.0%9.2%16.2%32.1%31.6%5.8%-3.9%-33.5K-70.6M-1.5M1.7916.37N/AN/A16,38629,284172,212134,094
2012-05-16$29.32$30.0031.6%9.1%17.0%31.1%31.2%5.2%-2.5%-426.0K-86.8M-1.7M4.619.25N/AN/A2,48911,483185,518147,135
2012-05-17$28.37$30.0033.7%9.7%19.7%36.2%32.5%6.1%-2.6%1.8M-30.0M-1.6M0.787.41N/AN/A5,4004,215185,702144,534
2012-05-18$28.48$30.0033.3%9.6%19.9%35.2%33.7%6.7%-1.6%2.7M-43.4M-1.7M2.5213.82N/AN/A8,17620,613184,595142,411
2012-05-21$25.60$30.0031.4%9.0%41.1%30.5%31.1%6.0%-2.0%-68.8K60.4M-1.3M0.7813.41N/AN/A25,11019,675174,255135,176
2012-05-22$25.49$28.0032.5%9.3%40.6%33.2%31.4%6.1%-0.6%601.2K54.4M-1.4M0.5312.95N/AN/A13,1746,945184,308139,020
2012-05-23$26.19$28.0031.7%9.1%42.1%31.3%32.2%6.1%-0.4%1.5M10.5M-1.5M1.326.06N/AN/A7,62410,035191,228138,112
2012-05-24$27.10$28.0029.4%8.4%44.8%25.9%29.2%5.3%0.7%1.8M-37.3M-1.6M0.476.49N/AN/A16,6047,822192,963145,314
2012-05-25$27.24$28.0029.3%8.4%44.8%25.6%31.2%5.2%0.6%2.1M-42.0M-1.7M1.056.07N/AN/A4,8725,140198,105150,590
2012-05-29$27.49$28.0029.6%8.5%45.2%26.3%29.8%4.8%0.6%2.1M-54.3M-1.7M0.226.83N/AN/A8,8561,927199,322153,176
2012-05-30$26.99$28.0030.3%8.7%45.2%28.0%34.6%5.6%0.3%1.8M-26.0M-1.6M1.156.69N/AN/A5,0795,843202,426153,595
2012-05-31$26.72$28.0027.8%8.0%44.3%21.9%29.1%5.0%2.3%1.5M-5.7M-1.6M0.976.77N/AN/A7,9927,757204,629158,086