LOW Options History — February 2013

In February 2013, LOW traded between $35.86 and $39.79. ATM implied volatility averaged 33.2%, placing in the 70.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 13.9% (HV 20d: 19.2%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.90.

Notable Days

  • 2013-02-25: Highest Volume — 65,020 contracts
  • 2013-02-22: Largest IV spike — 38.5% change
  • 2013-02-19: Highest IV Rank — 100.0%
  • 2013-02-21: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.44$35.86$39.79$38.56$38.15
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV33.2%23.0%58.2%23.0%25.1%
Expected Move9.1%6.9%12.0%8.0%6.9%
HV 20d19.2%13.9%28.3%19.8%28.3%
HV 60d21.6%18.4%23.5%23.2%23.0%
IV Rank70.2%16.5%100.0%29.0%16.5%
IV Percentile87.3%36.5%100.0%36.5%59.5%
Term Structure-4.1%-10.3%-0.3%-1.0%-0.3%
VWIV32.6%24.2%42.9%28.2%24.2%
Skew 25d3.4%1.8%5.6%2.9%2.4%
Skew 10d7.3%5.5%10.3%5.5%7.2%
Call IV 25d31.4%23.7%40.7%27.5%23.7%
Put IV 25d34.8%26.1%46.3%30.3%26.1%
Bid-Ask Spread %9.714.1916.448.519.56
Gamma HHI0.160.110.200.180.15
Net GEX5.3M-711.5K8.5M6.8M5.1M
Net DEX-217.0M-330.2M-6.7M-243.9M-173.7M
Net VEX-1.6M-1.7M-1.3M-1.3M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.061.640.180.06
Total Volume21,980.4746,60665,02013,12261,828
Total OI284,743.474218,998349,889218,998331,883

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$38.56$38.0023.0%8.0%19.8%29.0%28.2%2.9%-1.0%6.8M-243.9M-1.3M0.188.51N/AN/A11,1441,978131,48087,518
2013-02-04$37.94$38.0026.0%8.4%20.7%48.8%30.5%3.1%-1.4%6.8M-217.2M-1.3M1.048.01N/AN/A6,9717,263138,70388,010
2013-02-05$38.33$38.0025.5%8.7%18.3%45.8%30.9%3.9%-1.7%7.1M-236.7M-1.4M1.258.71N/AN/A11,06013,842143,88292,019
2013-02-06$38.67$38.0025.4%9.1%18.2%44.8%32.9%3.6%-2.6%6.7M-245.6M-1.5M1.365.78N/AN/A6,9539,463149,330103,601
2013-02-07$38.77$38.0031.6%9.0%18.3%85.7%31.6%3.8%-2.5%6.6M-249.5M-1.6M0.2612.22N/AN/A7,7462,016154,051111,121
2013-02-08$39.03$38.0031.6%9.1%17.5%86.0%31.9%3.2%-3.3%7.4M-275.2M-1.6M1.1713.85N/AN/A13,73316,094158,399111,962
2013-02-11$39.06$38.0031.5%9.0%17.5%85.6%32.3%2.8%-3.6%6.4M-276.8M-1.6M0.7612.58N/AN/A3,7522,854166,922124,104
2013-02-12$39.79$38.0031.0%8.9%17.0%82.0%31.3%1.8%-4.0%8.4M-330.2M-1.6M0.5510.60N/AN/A6,5793,637167,322125,328
2013-02-13$39.77$38.0032.8%9.4%16.8%93.9%33.9%2.9%-5.6%8.5M-328.6M-1.7M1.139.15N/AN/A4,4505,021170,327126,820
2013-02-14$39.57$38.0032.7%9.4%16.8%93.5%33.1%2.5%-5.4%7.8M-316.1M-1.6M1.378.81N/AN/A2,9203,989171,218126,674
2013-02-15$39.14$38.0033.4%9.6%13.9%97.9%33.8%3.5%-5.3%5.5M-282.1M-1.6M0.4411.05N/AN/A11,7325,164171,678128,688
2013-02-19$39.41$38.0036.8%10.6%13.9%100.0%38.8%4.0%-7.6%5.5M-261.3M-1.6M0.938.56N/AN/A7,6117,108154,613112,252
2013-02-20$38.64$38.0038.8%11.1%15.7%100.0%38.7%4.3%-9.7%4.8M-211.6M-1.7M0.928.52N/AN/A6,0165,523160,621116,909
2013-02-21$37.67$38.0042.0%12.0%17.9%100.0%42.9%5.6%-10.3%2.1M-144.1M-1.7M1.368.85N/AN/A10,42614,207164,036120,933
2013-02-22$37.67$38.0058.2%11.2%17.1%100.0%40.9%4.3%-8.9%3.2M-145.3M-1.7M1.6416.44N/AN/A22,68337,097169,106123,523
2013-02-25$35.86$38.0041.1%8.7%24.1%56.9%31.5%4.0%-2.1%-515.0K-6.7M-1.6M0.838.29N/AN/A35,61129,409180,556147,021
2013-02-26$36.59$38.0032.5%7.6%25.5%35.2%27.1%3.5%-0.9%-711.5K-43.5M-1.7M1.0010.82N/AN/A5,4055,401194,312155,577
2013-02-27$37.71$38.0031.2%7.1%28.0%31.8%25.4%3.0%-0.7%2.6M-134.2M-1.6M0.854.19N/AN/A5,9015,042178,208151,419
2013-02-28$38.15$38.0025.1%6.9%28.3%16.5%24.2%2.4%-0.3%5.1M-173.7M-1.7M0.069.56N/AN/A58,1353,693178,387153,496