LOW Options History — November 2012

In November 2012, LOW traded between $31.40 and $36.09. ATM implied volatility averaged 25.6%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 1.0% (HV 20d: 26.6%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2012-11-16: Highest Volume — 57,854 contracts
  • 2012-11-19: Largest IV drop — 24.5% change
  • 2012-11-15: Highest IV Rank — 78.9%
  • 2012-11-15: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.54$31.40$36.09$32.96$36.09
Max Pain$32.05$32.00$33.00$32.00$33.00
ATM IV25.6%21.2%31.6%24.7%24.2%
Expected Move7.4%6.1%9.1%7.1%6.9%
HV 20d26.6%21.8%31.9%23.8%28.6%
HV 60d23.2%20.5%24.3%23.7%23.3%
IV Rank36.0%15.6%78.9%24.4%37.2%
IV Percentile51.4%7.1%92.1%48.4%47.2%
Term Structure0.3%-1.7%2.0%1.4%0.1%
VWIV26.7%20.8%32.3%28.3%24.5%
Skew 25d3.5%2.4%4.8%4.4%2.8%
Skew 10d7.7%5.0%11.3%8.5%5.9%
Call IV 25d24.6%20.3%29.9%23.3%22.9%
Put IV 25d28.1%22.8%33.5%27.7%25.7%
Bid-Ask Spread %7.043.1712.376.788.49
Gamma HHI0.190.110.640.190.24
Net GEX6.8M1.0M29.0M5.9M7.1M
Net DEX-330.5M-483.0M-145.4M-315.0M-483.0M
Net VEX-1.2M-1.4M-980.6K-1.2M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.154.994.991.12
Total Volume15,692.6673,55457,85417,62515,640
Total OI362,191.857333,365383,704333,365377,721

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$32.96$32.0024.7%7.1%23.8%24.4%28.3%4.4%1.4%5.9M-315.0M-1.2M4.996.78N/AN/A2,94414,681167,858165,507
2012-11-02$33.15$32.0025.4%7.3%23.6%27.0%27.2%4.5%1.1%5.0M-315.9M-1.3M0.153.17N/AN/A25,8603,845168,467172,253
2012-11-05$33.06$32.0027.4%7.9%23.6%34.7%27.4%4.4%-0.4%8.5M-349.8M-1.3M0.818.17N/AN/A3,8543,131189,262174,292
2012-11-06$33.29$32.0027.0%7.8%22.1%33.3%29.0%4.4%-0.5%6.6M-342.7M-1.3M0.605.73N/AN/A5,2823,188179,597176,439
2012-11-07$32.77$32.0024.9%7.8%22.8%25.2%28.7%3.9%-0.0%6.4M-301.9M-1.3M1.288.76N/AN/A2,8193,611180,009178,231
2012-11-08$32.10$32.0025.2%8.0%23.6%26.1%29.0%3.8%-0.0%5.8M-238.9M-1.3M0.657.03N/AN/A2,1551,399180,543177,177
2012-11-09$31.47$32.0027.4%8.4%24.6%34.9%27.8%4.8%-0.2%4.2M-183.6M-1.3M0.778.97N/AN/A4,3813,361181,028176,797
2012-11-12$31.98$32.0030.7%8.3%25.1%48.2%32.3%3.9%-0.6%5.8M-223.5M-1.3M3.007.36N/AN/A6,36919,107181,089176,701
2012-11-13$31.97$32.0030.0%8.6%24.7%60.5%29.7%3.6%-1.1%5.1M-225.4M-1.3M1.867.09N/AN/A5,43810,097182,372193,416
2012-11-14$31.98$32.0030.6%8.8%21.8%67.5%30.9%3.7%-1.7%4.1M-210.3M-1.4M2.977.38N/AN/A2,9348,719184,292199,075
2012-11-15$31.40$32.0031.6%9.1%22.7%78.9%31.2%3.6%-1.4%1.0M-145.4M-1.4M1.738.62N/AN/A3,3895,854183,883199,299
2012-11-16$31.98$32.0031.5%9.0%23.1%78.5%31.8%4.0%-1.4%29.0M-212.0M-1.3M0.8412.37N/AN/A31,41626,438183,460200,244
2012-11-19$33.96$32.0023.8%6.8%31.6%31.4%24.5%2.7%1.0%5.1M-352.4M-1.1M0.725.98N/AN/A14,70910,609166,799182,553
2012-11-20$34.45$32.0023.2%6.7%31.9%28.1%23.6%2.5%1.5%5.7M-384.4M-1.1M0.835.08N/AN/A7,6586,389168,275182,799
2012-11-21$34.55$32.0021.6%6.2%31.9%18.4%23.3%2.5%1.7%5.6M-391.1M-1.1M0.245.35N/AN/A7,4111,769170,252184,989
2012-11-23$35.15$32.0021.2%6.1%31.8%15.6%20.8%2.4%2.0%6.2M-436.1M-1.0M0.295.59N/AN/A3,8151,117174,359185,426
2012-11-26$35.35$32.0022.3%6.4%31.7%22.7%22.8%2.7%1.3%6.5M-450.2M-981.3K1.555.15N/AN/A2,3973,720176,620185,836
2012-11-27$35.34$32.0022.3%6.4%30.9%22.5%22.3%2.5%1.3%6.5M-449.7M-984.7K0.485.54N/AN/A2,8791,390176,934186,821
2012-11-28$35.77$32.0021.4%6.1%30.2%18.5%22.6%3.2%1.7%5.5M-467.0M-980.6K0.577.88N/AN/A9,2655,238177,968186,922
2012-11-29$35.61$32.0022.0%6.3%28.8%22.6%22.8%2.4%1.3%6.7M-462.2M-983.4K0.227.30N/AN/A28,9386,330180,940189,524
2012-11-30$36.09$33.0024.2%6.9%28.6%37.2%24.5%2.8%0.1%7.1M-483.0M-1.0M1.128.49N/AN/A7,3808,260185,575192,146