LOW Options History — June 2012

In June 2012, LOW traded between $26.36 and $28.63. ATM implied volatility averaged 26.7%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 14.5% (HV 20d: 41.2%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2012-06-01: Highest Volume — 14,514 contracts
  • 2012-06-11: Largest IV spike — 22.1% change
  • 2012-06-01: Highest IV Rank — 32.9%
  • 2012-06-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.49$26.36$28.63$26.36$28.44
Max Pain$27.86$27.00$28.00$28.00$27.00
ATM IV26.7%22.4%32.3%32.3%23.1%
Expected Move8.0%6.4%9.3%9.3%6.6%
HV 20d41.2%30.6%51.2%44.3%33.9%
HV 60d31.9%29.3%34.6%29.6%34.6%
IV Rank19.4%9.0%32.9%32.9%10.8%
IV Percentile46.1%17.9%70.2%70.2%23.0%
Term Structure1.4%0.7%2.6%0.7%2.6%
VWIV28.0%22.6%32.6%32.6%24.3%
Skew 25d5.8%4.6%7.3%5.4%4.8%
Skew 10d12.2%9.3%18.3%12.0%12.8%
Call IV 25d25.2%20.8%29.7%29.7%20.8%
Put IV 25d31.0%25.5%36.1%35.1%25.5%
Bid-Ask Spread %8.695.6915.696.8415.69
Gamma HHI0.170.130.330.130.21
Net GEX2.4M-2.9M5.0M1.1M3.9M
Net DEX-52.8M-135.2M25.8M17.6M-111.9M
Net VEX-1.6M-1.7M-1.5M-1.7M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.305.251.060.63
Total Volume6,477.4761,49414,51414,5149,051
Total OI372,066.095346,422395,482374,085365,260

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$26.36$28.0032.3%9.3%44.3%32.9%32.6%5.4%0.7%1.1M17.6M-1.7M1.066.84N/AN/A7,0417,473210,221163,864
2012-06-04$26.66$28.0029.6%9.0%44.7%26.3%31.8%7.3%0.9%1.1M3.9M-1.7M1.5315.20N/AN/A3,8885,951212,319167,821
2012-06-05$26.43$28.0029.8%9.1%44.7%26.7%30.7%7.0%1.2%886.8K25.8M-1.6M0.7610.51N/AN/A1,7181,298212,183170,716
2012-06-06$27.48$28.0026.3%8.3%47.7%18.3%29.5%6.7%1.9%1.9M-48.2M-1.7M0.3011.15N/AN/A4,1981,257212,701170,192
2012-06-07$27.69$28.0024.9%7.8%47.9%15.0%27.2%6.2%2.3%2.7M-69.3M-1.7M0.345.69N/AN/A5,0171,687214,333170,170
2012-06-08$27.92$28.0023.5%7.9%48.1%11.8%27.0%5.8%1.8%3.0M-88.0M-1.7M0.316.65N/AN/A1,926602215,241170,164
2012-06-11$26.98$28.0028.7%8.6%49.0%24.2%28.9%6.3%1.2%2.2M-14.2M-1.6M1.247.01N/AN/A3,2894,077216,092170,200
2012-06-12$27.44$28.0026.3%8.6%49.6%18.3%29.7%6.3%1.4%2.9M-48.4M-1.6M0.796.50N/AN/A2,8852,274217,542171,587
2012-06-13$26.88$28.0026.7%8.9%49.7%19.5%31.2%6.6%0.9%2.8M-4.7M-1.6M2.056.75N/AN/A2,8595,873218,486172,911
2012-06-14$27.77$28.0029.7%8.5%51.2%26.5%30.9%6.5%0.9%2.5M-73.8M-1.7M3.017.39N/AN/A1,3414,031219,869175,613
2012-06-15$28.05$28.0028.0%8.0%50.1%22.6%27.9%6.2%1.8%-2.9M-101.6M-1.7M0.779.74N/AN/A4,4423,418219,743174,596
2012-06-18$28.43$28.0025.4%7.3%50.3%16.3%24.9%4.6%1.2%4.4M-120.6M-1.7M0.557.66N/AN/A4,5492,499197,462148,960
2012-06-19$28.54$28.0022.9%6.6%30.8%10.3%22.6%5.0%1.4%4.5M-127.0M-1.6M0.337.68N/AN/A5,1751,724197,771150,039
2012-06-20$28.63$28.0022.4%6.4%30.6%9.0%24.8%5.2%1.6%5.0M-135.2M-1.7M0.437.84N/AN/A2,163920200,951150,333
2012-06-21$27.50$28.0027.2%7.8%33.6%20.5%27.0%5.6%0.9%3.4M-58.7M-1.6M2.858.31N/AN/A1,4294,075202,157150,767
2012-06-22$27.31$28.0026.5%7.6%31.5%18.9%25.8%5.4%1.3%2.9M-44.6M-1.6M5.257.05N/AN/A1,2026,311201,573151,940
2012-06-25$26.93$28.0027.3%7.8%31.9%20.8%27.9%5.5%1.0%2.0M-11.5M-1.5M0.588.47N/AN/A1,470846202,167157,643
2012-06-26$27.26$28.0027.4%7.9%32.0%21.0%28.9%5.9%1.5%2.3M-32.2M-1.6M1.627.71N/AN/A2,2103,580202,657158,068
2012-06-27$27.30$27.0026.5%7.6%31.3%18.9%26.0%5.0%1.5%2.4M-35.2M-1.5M0.528.81N/AN/A983511203,673160,536
2012-06-28$27.24$27.0026.2%7.5%31.1%18.0%27.3%4.8%1.8%2.3M-30.3M-1.5M0.929.85N/AN/A5,6155,169204,105160,762
2012-06-29$28.44$27.0023.1%6.6%33.9%10.8%24.3%4.8%2.6%3.9M-111.9M-1.6M0.6315.69N/AN/A5,5483,503204,986160,274