LOW Options History — December 2012

In December 2012, LOW traded between $34.46 and $36.04. ATM implied volatility averaged 24.5%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.6% (HV 20d: 23.9%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.46.

Notable Days

  • 2012-12-18: Highest Volume — 14,349 contracts
  • 2012-12-28: Largest IV spike — 8.9% change
  • 2012-12-28: Highest IV Rank — 67.5%
  • 2012-12-28: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.19$34.46$36.04$36.04$35.52
Max Pain$30.65$30.00$34.00$33.00$30.00
ATM IV24.5%22.2%28.8%25.1%27.4%
Expected Move7.1%6.5%8.3%7.2%7.9%
HV 20d23.9%19.0%29.6%28.7%19.3%
HV 60d23.5%22.6%24.1%23.1%24.1%
IV Rank39.1%23.7%67.5%43.3%58.2%
IV Percentile50.1%19.4%88.1%56.7%82.1%
Term Structure0.6%-1.4%1.7%-0.3%-1.2%
VWIV25.7%23.3%33.3%25.6%33.3%
Skew 25d4.0%3.3%5.4%3.4%5.4%
Skew 10d8.8%6.4%12.5%6.4%12.1%
Call IV 25d23.2%21.7%27.0%24.0%26.0%
Put IV 25d27.2%25.0%31.7%27.3%31.4%
Bid-Ask Spread %8.703.4411.217.809.01
Gamma HHI0.210.120.340.240.15
Net GEX6.8M-2.7M13.0M7.2M4.9M
Net DEX-413.0M-495.8M-360.3M-479.6M-394.2M
Net VEX-1.0M-1.1M-975.0K-998.7K-986.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.336.430.465.81
Total Volume9,057.62,32614,34913,91712,176
Total OI387,488.8334,991412,356386,377341,906

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$36.04$33.0025.1%7.2%28.7%43.3%25.6%3.4%-0.3%7.2M-479.6M-998.7K0.467.80N/AN/A9,5504,367188,576197,801
2012-12-04$35.62$33.0024.0%6.9%29.1%35.5%24.4%3.8%0.1%7.1M-451.3M-1.1M0.748.57N/AN/A6,0124,424192,806199,588
2012-12-05$35.20$33.0024.6%7.1%29.6%39.7%24.6%3.6%0.3%7.5M-420.8M-1.1M1.9111.21N/AN/A3,6566,977194,126201,346
2012-12-06$35.17$34.0022.8%6.5%28.9%28.0%23.3%3.3%1.2%6.8M-407.3M-1.1M0.5610.23N/AN/A9,1875,158194,077203,666
2012-12-07$35.11$30.0022.7%6.9%27.5%26.9%24.3%4.5%1.0%8.6M-423.4M-1.1M0.799.25N/AN/A3,1902,519201,580203,904
2012-12-10$34.81$30.0023.2%6.8%26.4%30.4%24.4%4.0%1.4%7.6M-390.7M-1.1M1.719.06N/AN/A3,6546,262202,410204,949
2012-12-11$34.82$30.0022.3%6.7%26.2%24.2%23.6%3.8%1.4%8.5M-402.2M-1.1M0.549.06N/AN/A7,4754,018202,100207,535
2012-12-12$34.73$30.0022.2%6.8%26.2%23.7%23.7%4.0%1.5%6.6M-383.4M-1.0M0.649.04N/AN/A4,1432,633200,544207,891
2012-12-13$34.53$30.0023.7%6.8%26.4%33.7%25.2%4.2%1.7%7.9M-378.9M-1.0M2.199.89N/AN/A2,1824,784201,853207,568
2012-12-14$34.46$30.0024.4%7.0%25.2%38.5%24.2%3.9%1.5%5.6M-360.3M-1.0M6.438.29N/AN/A1,84811,878202,011210,345
2012-12-17$35.85$30.0023.3%6.7%27.8%31.0%24.5%3.7%1.7%13.0M-470.1M-1.1M0.4010.85N/AN/A8,6933,452202,307200,895
2012-12-18$35.83$30.0024.3%7.0%19.0%37.6%24.3%3.4%1.1%11.7M-495.8M-975.0K0.379.05N/AN/A10,5063,843204,002201,415
2012-12-19$35.11$30.0024.9%7.1%20.1%41.8%25.0%3.5%0.8%8.3M-432.0M-996.1K0.337.54N/AN/A4,8861,626207,198203,414
2012-12-20$35.38$30.0024.9%7.1%20.2%41.3%25.6%3.6%0.9%8.8M-449.0M-985.3K0.678.33N/AN/A1,391935206,994202,345
2012-12-21$35.04$30.0024.6%7.0%19.6%39.4%25.5%4.0%1.3%-2.7M-416.4M-996.7K0.837.53N/AN/A4,7493,934205,305202,670
2012-12-24$35.24$30.0025.4%7.3%19.6%44.9%27.2%4.1%-0.3%4.9M-384.5M-981.0K2.193.44N/AN/A7481,640172,484162,507
2012-12-26$35.20$30.0025.4%7.3%19.6%44.7%27.5%4.5%-0.1%4.9M-381.6M-977.4K0.607.81N/AN/A6,2963,765172,408162,918
2012-12-27$35.13$30.0026.4%7.6%19.1%51.8%28.1%4.5%-0.7%4.6M-374.7M-1.0M0.808.29N/AN/A1,6031,280172,648165,120
2012-12-28$34.98$30.0028.8%8.3%19.1%67.5%29.2%4.7%-1.4%4.4M-363.3M-1.0M1.159.69N/AN/A2,6523,060172,924165,640
2012-12-31$35.52$30.0027.4%7.9%19.3%58.2%33.3%5.4%-1.2%4.9M-394.2M-986.1K5.819.01N/AN/A1,78910,387174,260167,646