LOW Options History — October 2012

In October 2012, LOW traded between $30.29 and $32.79. ATM implied volatility averaged 23.5%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.9% (HV 20d: 18.6%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2012-10-19: Highest Volume — 112,560 contracts
  • 2012-10-11: Largest IV spike — 14.0% change
  • 2012-10-31: Highest IV Rank — 36.8%
  • 2012-10-31: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.66$30.29$32.79$30.31$32.38
Max Pain$30.62$28.00$32.00$28.00$32.00
ATM IV23.5%20.4%27.9%22.6%27.9%
Expected Move6.9%5.9%8.0%6.5%8.0%
HV 20d18.6%16.4%23.3%17.1%23.3%
HV 60d26.3%23.0%27.7%27.7%23.6%
IV Rank19.3%7.1%36.8%15.3%36.8%
IV Percentile32.2%2.0%75.0%20.2%75.0%
Term Structure1.3%-0.2%2.5%1.9%-0.2%
VWIV24.6%22.4%27.9%24.4%27.9%
Skew 25d4.2%3.3%5.2%4.2%5.1%
Skew 10d9.7%7.0%12.9%8.5%12.6%
Call IV 25d22.6%20.2%25.3%21.2%25.3%
Put IV 25d26.9%24.6%30.4%25.3%30.4%
Bid-Ask Spread %8.363.9615.4913.1010.25
Gamma HHI0.180.130.260.220.16
Net GEX6.1M-391.9K10.0M9.7M5.5M
Net DEX-381.7M-561.9M-201.3M-338.5M-275.8M
Net VEX-1.3M-1.4M-1.2M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.089.860.393.50
Total Volume17,676.0951,756112,5603,73526,281
Total OI403,472301,998472,076400,400323,858

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$30.31$28.0022.6%6.5%17.1%15.3%24.4%4.2%1.9%9.7M-338.5M-1.4M0.3913.10N/AN/A2,6841,051224,154176,246
2012-10-02$30.29$28.0022.2%6.4%17.1%13.8%23.5%4.1%1.7%10.0M-328.8M-1.4M0.7013.51N/AN/A1,031725225,108176,923
2012-10-03$30.70$28.0021.6%6.2%16.5%11.8%22.6%3.3%1.9%9.6M-378.9M-1.4M3.8313.66N/AN/A2,84910,907224,956177,151
2012-10-04$30.95$28.0020.7%5.9%16.4%8.5%22.4%4.3%2.5%9.1M-383.4M-1.4M0.1915.49N/AN/A3,915759226,130183,469
2012-10-05$31.77$30.0020.4%6.5%18.0%7.1%22.8%4.0%1.6%8.3M-452.1M-1.3M2.755.77N/AN/A8,64823,822225,825183,592
2012-10-08$31.55$30.0020.9%6.6%18.3%9.2%23.1%4.7%1.6%4.5M-425.7M-1.3M0.085.46N/AN/A24,4891,970230,488205,693
2012-10-09$31.13$30.0021.9%7.1%19.2%13.1%24.9%3.8%1.3%4.8M-390.6M-1.4M0.964.43N/AN/A12,72412,178236,959206,333
2012-10-10$30.89$31.0021.5%7.1%18.6%11.7%27.3%4.0%1.2%2.6M-358.1M-1.4M0.685.71N/AN/A6,2414,226236,681215,159
2012-10-11$30.77$31.0024.6%7.0%16.6%23.6%24.6%4.1%1.4%2.1M-345.7M-1.4M9.865.56N/AN/A1,21311,955237,447215,731
2012-10-12$31.18$31.0024.4%7.0%16.6%23.1%24.2%3.6%1.5%-391.9K-402.6M-1.4M1.498.43N/AN/A2,9834,433239,975228,484
2012-10-15$32.20$31.0024.6%7.1%19.3%23.9%25.6%4.2%0.8%5.8M-501.4M-1.3M2.926.07N/AN/A3,3339,729240,658215,939
2012-10-16$32.35$31.0023.7%6.8%19.1%20.2%23.9%4.0%1.3%5.3M-516.2M-1.2M0.5210.23N/AN/A4,2612,197239,807222,519
2012-10-17$32.79$31.0022.4%6.4%19.1%15.3%22.8%3.8%1.8%8.4M-561.9M-1.2M0.3310.71N/AN/A14,9944,968240,739223,370
2012-10-18$32.57$31.0023.5%6.7%19.2%19.3%24.4%4.0%1.2%8.0M-534.3M-1.2M1.3112.18N/AN/A6,3068,237241,138223,955
2012-10-19$32.64$32.0023.7%6.8%19.2%20.2%25.6%4.4%1.0%6.8M-529.2M-1.2M0.0911.09N/AN/A102,8449,716241,936230,140
2012-10-22$32.71$32.0023.7%6.8%18.2%20.4%26.2%4.1%0.9%6.0M-299.7M-1.2M0.495.56N/AN/A3,9871,966158,781143,217
2012-10-23$32.30$32.0025.7%7.4%18.9%28.2%25.5%4.8%0.8%6.0M-276.4M-1.2M1.134.31N/AN/A3,0743,459161,585144,065
2012-10-24$32.29$32.0025.7%7.4%18.8%28.3%25.1%4.8%0.8%5.9M-275.5M-1.3M1.533.96N/AN/A1,9022,904164,044146,318
2012-10-25$31.79$32.0024.8%7.1%19.9%24.7%24.2%5.2%1.3%5.7M-240.0M-1.3M1.664.96N/AN/A5,5169,169164,709148,544
2012-10-26$31.36$32.0026.4%7.6%20.7%31.1%25.5%4.7%0.5%4.8M-201.3M-1.3M1.505.10N/AN/A3,0154,537166,756154,330
2012-10-31$32.38$32.0027.9%8.0%23.3%36.8%27.9%5.1%-0.2%5.5M-275.8M-1.3M3.5010.25N/AN/A5,83720,444166,780157,078