LOW Options History — January 2013

In January 2013, LOW traded between $34.76 and $38.58. ATM implied volatility averaged 22.0%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.6% (HV 20d: 21.4%). Max pain ranged from $30.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2013-01-17: Highest Volume — 388,012 contracts
  • 2013-01-07: Largest IV spike — 10.2% change
  • 2013-01-28: Highest IV Rank — 38.8%
  • 2013-01-28: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.66$34.76$38.58$36.19$38.19
Max Pain$35.05$30.00$36.00$30.00$36.00
ATM IV22.0%19.9%24.5%23.7%23.9%
Expected Move6.3%5.7%7.0%6.8%6.9%
HV 20d21.4%19.1%23.6%20.5%20.2%
HV 60d24.1%23.2%24.6%24.2%23.2%
IV Rank22.5%8.8%38.8%33.9%35.1%
IV Percentile22.1%1.6%56.7%42.1%50.0%
Term Structure2.5%0.2%3.8%0.2%3.8%
VWIV23.2%19.8%31.0%24.1%26.1%
Skew 25d3.6%2.4%5.8%4.9%3.0%
Skew 10d8.4%5.5%20.7%11.1%6.9%
Call IV 25d21.0%19.1%23.6%21.2%23.3%
Put IV 25d24.6%22.6%27.2%26.1%26.2%
Bid-Ask Spread %7.294.4311.6911.695.63
Gamma HHI0.230.130.850.170.17
Net GEX8.4M3.6M49.0M5.6M6.7M
Net DEX-311.4M-482.2M-167.2M-437.4M-226.3M
Net VEX-1.1M-1.3M-898.5K-914.1K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.019.761.820.65
Total Volume28,247.3334,342388,01210,3594,705
Total OI295,036.952175,248380,797348,563217,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$36.19$30.0023.7%6.8%20.5%33.9%24.1%4.9%0.2%5.6M-437.4M-914.1K1.8211.69N/AN/A3,6686,691174,618173,945
2013-01-03$35.85$30.0022.5%6.4%20.3%25.5%31.0%5.8%0.5%5.9M-377.8M-982.1K0.6811.04N/AN/A3,5002,368170,441173,780
2013-01-04$35.58$36.0020.6%6.1%20.0%13.2%21.6%4.2%2.3%6.2M-385.3M-903.5K0.788.90N/AN/A4,7553,720170,197174,670
2013-01-07$34.76$36.0022.7%6.3%21.8%27.0%22.2%4.4%1.8%4.6M-332.4M-905.6K0.927.72N/AN/A3,0442,795171,888176,500
2013-01-08$34.78$35.0022.1%6.3%21.8%23.4%24.4%4.2%2.2%4.8M-333.9M-898.5K9.766.28N/AN/A1,47814,426172,822177,307
2013-01-09$34.88$35.0020.9%6.1%21.6%15.5%21.1%3.7%2.4%4.9M-332.6M-927.9K0.825.73N/AN/A2,8752,347173,040184,974
2013-01-10$35.55$35.0019.9%5.7%22.6%8.8%20.1%3.7%2.8%7.7M-381.0M-924.9K0.776.83N/AN/A3,8182,951174,288185,566
2013-01-11$35.83$35.0020.1%5.8%22.7%10.1%19.8%3.1%2.7%7.1M-392.0M-934.7K0.155.75N/AN/A9,8631,494174,830186,459
2013-01-14$35.38$35.0021.7%6.2%23.1%20.6%21.9%3.3%1.9%8.2M-374.4M-981.7K0.557.15N/AN/A2,7961,546182,604186,351
2013-01-15$35.93$35.0020.9%6.0%23.6%15.4%21.0%3.3%2.3%9.1M-418.7M-960.6K0.639.00N/AN/A6,4064,005183,179187,070
2013-01-16$35.77$35.0020.3%5.8%19.1%11.5%22.0%3.6%2.6%8.7M-399.5M-1.0M0.609.55N/AN/A12,7137,677185,782189,336
2013-01-17$37.00$35.0021.1%6.0%22.6%16.3%21.9%3.1%2.2%10.9M-482.2M-1.1M0.019.86N/AN/A382,6015,411186,589194,208
2013-01-18$36.99$36.0022.1%6.3%21.0%22.8%23.1%3.1%2.6%49.0M-167.2M-1.1M0.659.08N/AN/A16,28810,564104,808197,251
2013-01-22$37.44$36.0021.4%6.1%21.2%18.4%22.0%3.6%2.9%3.6M-174.9M-1.1M0.985.47N/AN/A3,6823,610102,28372,965
2013-01-23$37.88$36.0020.5%5.9%20.9%12.9%21.1%2.9%3.0%4.1M-195.5M-1.1M0.404.43N/AN/A3,5561,405103,85675,523
2013-01-24$38.41$36.0021.5%6.2%21.2%19.3%21.2%2.4%3.1%4.6M-219.3M-1.1M0.216.50N/AN/A11,7542,418105,85576,094
2013-01-25$38.58$36.0023.2%6.7%21.1%30.6%23.9%2.4%3.4%5.7M-235.6M-1.2M0.567.40N/AN/A16,4069,241115,05577,692
2013-01-28$38.35$36.0024.5%7.0%21.3%38.8%25.3%2.9%2.8%6.6M-232.0M-1.3M1.474.48N/AN/A2,4423,581126,90782,269
2013-01-29$38.23$36.0024.2%6.9%21.3%36.8%27.2%3.7%2.9%6.2M-219.3M-1.3M1.055.40N/AN/A2,4662,588128,29484,283
2013-01-30$38.21$36.0024.1%6.9%20.9%36.2%26.1%3.5%3.1%6.3M-222.6M-1.3M0.795.13N/AN/A3,0922,448129,08885,724
2013-01-31$38.19$36.0023.9%6.9%20.2%35.1%26.1%3.0%3.8%6.7M-226.3M-1.3M0.655.63N/AN/A2,8561,849130,23187,154