LOW Options History — September 2012

In September 2012, LOW traded between $28.10 and $30.26. ATM implied volatility averaged 23.5%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.5% (HV 20d: 23.9%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.57.

Notable Days

  • 2012-09-19: Highest Volume — 26,733 contracts
  • 2012-09-07: Largest IV drop — 6.6% change
  • 2012-09-04: Highest IV Rank — 28.4%
  • 2012-09-04: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.23$28.10$30.26$28.43$30.24
Max Pain$27.84$27.00$28.00$27.00$28.00
ATM IV23.5%22.0%26.0%26.0%22.3%
Expected Move6.8%6.3%7.5%7.5%6.4%
HV 20d23.9%17.0%30.5%29.6%17.3%
HV 60d30.1%27.8%32.2%32.2%27.8%
IV Rank18.6%13.1%28.4%28.4%14.3%
IV Percentile26.1%13.5%46.8%46.8%17.1%
Term Structure1.7%0.7%2.4%1.0%2.0%
VWIV24.2%22.1%28.7%28.7%22.4%
Skew 25d4.7%3.4%6.0%3.7%4.8%
Skew 10d11.5%7.2%17.7%9.2%15.2%
Call IV 25d22.3%21.0%24.7%24.2%21.5%
Put IV 25d27.0%24.4%28.8%27.9%26.3%
Bid-Ask Spread %8.375.2012.2010.2111.30
Gamma HHI0.180.150.230.150.20
Net GEX9.1M7.3M10.5M7.5M9.0M
Net DEX-275.1M-408.6M-169.8M-204.5M-311.2M
Net VEX-1.6M-1.8M-1.5M-1.8M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.101.211.160.91
Total Volume7,344.2633,14526,73311,6845,211
Total OI432,409.368386,985457,173440,234399,033

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$28.43$27.0026.0%7.5%29.6%28.4%28.7%3.7%1.0%7.5M-204.5M-1.8M1.1610.21N/AN/A5,4106,274238,020202,214
2012-09-05$28.10$27.0025.8%7.4%29.6%27.5%26.4%4.1%0.8%7.3M-169.8M-1.8M0.897.11N/AN/A2,0461,826238,564202,669
2012-09-06$28.38$27.0024.5%7.0%29.3%22.6%24.6%3.4%1.4%8.3M-206.0M-1.7M0.836.97N/AN/A1,8921,573238,573202,187
2012-09-07$28.32$28.0022.9%7.1%28.8%16.4%23.5%5.3%2.1%8.7M-200.2M-1.7M0.177.16N/AN/A3,864671239,319202,216
2012-09-10$28.69$28.0023.2%6.9%28.9%17.7%23.4%5.1%2.3%9.3M-242.6M-1.7M0.248.30N/AN/A7,8091,901240,994202,277
2012-09-11$28.60$28.0023.0%6.8%28.6%16.7%23.2%4.9%2.1%9.6M-231.6M-1.7M0.106.91N/AN/A7,951775241,797202,124
2012-09-12$28.22$28.0023.7%7.2%29.3%19.5%23.8%4.9%1.7%9.8M-193.9M-1.7M0.417.46N/AN/A2,232913245,410202,348
2012-09-13$29.02$28.0023.2%6.7%30.5%17.6%23.4%4.8%2.3%10.5M-281.0M-1.6M0.578.68N/AN/A3,0961,771245,648202,244
2012-09-14$29.40$28.0023.5%6.7%29.8%18.8%23.1%4.7%1.9%9.5M-314.7M-1.6M0.388.42N/AN/A5,9162,268245,753202,584
2012-09-17$29.23$28.0023.9%6.8%29.7%20.2%25.1%5.1%1.6%9.7M-292.8M-1.6M0.378.09N/AN/A2,7211,013245,576201,972
2012-09-18$29.18$28.0023.5%6.7%18.8%18.8%23.6%4.8%1.9%9.8M-292.7M-1.6M0.4812.20N/AN/A2,5201,202245,739202,283
2012-09-19$29.59$28.0023.0%6.6%19.0%16.8%24.7%4.2%1.8%9.4M-342.8M-1.5M0.238.17N/AN/A21,7664,967245,893202,748
2012-09-20$30.00$28.0022.6%6.5%17.0%15.3%23.6%4.0%2.2%10.1M-398.6M-1.5M0.388.96N/AN/A3,0701,176252,259204,914
2012-09-21$30.19$28.0022.0%6.3%17.0%13.1%22.1%3.4%2.4%10.2M-408.6M-1.5M0.409.13N/AN/A7,1752,878249,498203,203
2012-09-24$29.80$28.0022.2%6.4%17.8%13.6%24.2%6.0%0.7%8.8M-274.2M-1.5M0.945.20N/AN/A2,7302,578218,768168,217
2012-09-25$29.67$28.0023.4%6.7%18.0%18.3%24.6%5.8%0.8%8.5M-262.1M-1.5M0.677.84N/AN/A4,7053,173220,450169,966
2012-09-26$30.01$28.0023.9%6.8%18.2%20.1%25.4%5.5%1.1%8.9M-282.5M-1.6M1.216.13N/AN/A3,6394,411221,288172,017
2012-09-27$30.26$28.0023.1%6.6%17.6%17.2%24.5%4.6%1.6%8.9M-316.4M-1.5M0.4410.72N/AN/A4,4581,960222,542174,471
2012-09-28$30.24$28.0022.3%6.4%17.3%14.3%22.4%4.8%2.0%9.0M-311.2M-1.5M0.9111.30N/AN/A2,7262,485223,694175,339