LOW Options History — March 2013

In March 2013, LOW traded between $37.76 and $39.67. ATM implied volatility averaged 20.7%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 4.8% (HV 20d: 25.5%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2013-03-08: Highest Volume — 21,698 contracts
  • 2013-03-06: Largest IV drop — 19.0% change
  • 2013-03-04: Highest IV Rank — 21.5%
  • 2013-03-04: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.60$37.76$39.67$38.38$37.92
Max Pain$36.10$36.00$38.00$38.00$36.00
ATM IV20.7%17.9%27.1%24.0%19.0%
Expected Move6.0%5.5%7.0%6.8%5.5%
HV 20d25.5%14.2%28.6%28.4%14.2%
HV 60d22.4%21.7%23.2%23.0%21.7%
IV Rank6.4%0.0%21.5%13.7%2.7%
IV Percentile12.5%0.0%73.8%48.0%0.8%
Term Structure1.7%0.3%3.5%0.3%1.4%
VWIV21.2%18.9%25.2%24.5%19.4%
Skew 25d2.7%2.2%3.4%3.1%3.0%
Skew 10d6.5%4.6%9.0%8.8%7.7%
Call IV 25d20.1%18.3%23.1%23.0%18.5%
Put IV 25d22.8%21.0%26.5%26.1%21.5%
Bid-Ask Spread %8.043.0911.377.9111.11
Gamma HHI0.160.130.210.130.15
Net GEX11.3M9.3M15.8M9.9M9.3M
Net DEX-324.0M-440.2M-232.3M-296.4M-234.2M
Net VEX-1.9M-2.0M-1.8M-2.0M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.252.250.560.46
Total Volume7,689.82,16921,69810,1755,578
Total OI364,498.15331,807394,333381,721347,725

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$38.38$38.0024.0%6.8%28.4%13.7%24.5%3.1%0.3%9.9M-296.4M-2.0M0.567.91N/AN/A6,5043,671227,441154,280
2013-03-04$38.43$36.0027.1%7.0%28.2%21.5%25.2%3.4%0.8%9.4M-295.1M-2.0M0.737.28N/AN/A4,0542,963223,884148,169
2013-03-05$38.76$36.0026.6%6.6%27.7%20.1%23.6%2.9%1.4%11.6M-343.9M-2.0M0.606.24N/AN/A3,9312,348226,212148,294
2013-03-06$38.83$36.0021.5%6.5%27.4%7.3%24.0%2.9%1.8%11.9M-350.5M-1.9M1.227.15N/AN/A2,2302,712226,620148,400
2013-03-07$38.70$36.0021.1%6.3%27.3%6.2%22.7%2.7%2.1%11.1M-337.2M-1.9M0.717.29N/AN/A1,8731,332226,060149,430
2013-03-08$39.31$36.0017.9%6.0%27.9%0.0%21.1%2.3%2.6%13.8M-409.6M-1.8M1.703.09N/AN/A8,03913,659226,828149,264
2013-03-11$39.67$36.0019.8%6.0%27.9%4.7%21.4%2.2%2.2%15.8M-440.2M-1.9M0.377.05N/AN/A3,7741,413229,748159,279
2013-03-12$39.04$36.0020.8%6.0%28.6%7.1%21.1%2.4%2.4%13.5M-382.7M-1.9M0.257.14N/AN/A8,1992,043230,839159,288
2013-03-13$39.40$36.0018.1%5.9%28.0%0.4%20.9%2.3%2.7%14.7M-425.2M-1.9M1.006.58N/AN/A5,2415,267233,253159,754
2013-03-14$39.20$36.0019.8%5.7%28.0%4.7%20.0%2.5%3.3%13.0M-405.3M-1.8M0.557.37N/AN/A3,2571,798234,131160,202
2013-03-15$38.81$36.0019.2%5.5%28.2%3.2%19.4%2.5%3.5%11.4M-359.8M-1.9M0.328.21N/AN/A9,4482,991235,922158,380
2013-03-18$38.74$36.0019.4%5.6%27.9%3.7%20.3%2.6%1.0%11.0M-333.3M-1.8M0.698.50N/AN/A6,8374,710200,472131,335
2013-03-19$38.24$36.0020.6%5.9%28.1%6.7%21.1%3.0%0.9%10.1M-282.2M-1.9M0.838.34N/AN/A5,2834,363203,239134,209
2013-03-20$38.41$36.0019.7%5.6%27.3%4.4%19.1%2.6%1.4%10.3M-298.7M-1.8M0.468.69N/AN/A3,3861,559203,395135,651
2013-03-21$37.76$36.0020.2%5.8%26.5%5.6%20.2%3.4%0.9%9.3M-232.3M-1.8M0.868.58N/AN/A2,8792,471205,107136,469
2013-03-22$37.83$36.0019.8%5.7%26.5%4.8%20.0%3.0%1.1%9.8M-239.9M-1.8M0.808.93N/AN/A1,202967205,897136,686
2013-03-25$38.12$36.0020.2%5.8%19.0%5.6%21.3%2.6%0.9%10.1M-265.8M-1.8M2.259.30N/AN/A3,4807,833205,661136,052
2013-03-26$38.22$36.0019.2%5.5%17.9%3.2%19.6%2.7%1.3%10.3M-269.3M-1.8M0.6610.75N/AN/A1,8161,202206,631139,307
2013-03-27$38.18$36.0019.3%5.5%14.6%3.5%18.9%2.5%1.3%10.5M-279.1M-1.8M0.6411.37N/AN/A2,1291,354207,346139,103
2013-03-28$37.92$36.0019.0%5.5%14.2%2.7%19.4%3.0%1.4%9.3M-234.2M-1.8M0.4611.11N/AN/A3,8301,748207,882139,843