LOW Options History — April 2013

In April 2013, LOW traded between $37.32 and $39.01. ATM implied volatility averaged 21.3%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.3% (HV 20d: 17.0%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2013-04-16: Highest Volume — 30,500 contracts
  • 2013-04-29: Largest IV spike — 15.5% change
  • 2013-04-01: Highest IV Rank — 15.6%
  • 2013-04-15: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.16$37.32$39.01$37.52$38.42
Max Pain$37.82$36.00$39.00$36.00$38.00
ATM IV21.3%18.6%24.2%24.2%21.4%
Expected Move5.8%5.3%6.6%5.7%5.7%
HV 20d17.0%14.4%18.8%14.4%18.3%
HV 60d21.0%20.5%21.6%21.5%21.0%
IV Rank8.4%1.7%15.6%15.6%8.7%
IV Percentile17.6%0.8%48.8%48.8%17.9%
Term Structure3.0%0.4%4.5%0.5%4.4%
VWIV20.7%18.9%23.6%20.5%19.9%
Skew 25d2.9%1.6%3.6%2.8%1.9%
Skew 10d6.7%4.9%8.7%7.3%5.2%
Call IV 25d19.7%18.2%22.2%19.5%19.4%
Put IV 25d22.6%20.9%25.8%22.4%21.3%
Bid-Ask Spread %9.354.6612.7211.279.40
Gamma HHI0.180.130.400.150.17
Net GEX7.8M-5.6M14.3M8.0M8.6M
Net DEX-238.1M-373.4M-127.1M-196.8M-180.6M
Net VEX-1.7M-1.8M-1.7M-1.7M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.232.400.480.48
Total Volume10,632.7733,36430,50025,1397,018
Total OI326,989.227224,250393,227346,293248,659

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$37.52$36.0024.2%5.7%14.4%15.6%20.5%2.8%0.5%8.0M-196.8M-1.7M0.4811.27N/AN/A16,9868,153206,385139,908
2013-04-02$38.02$36.0023.0%5.5%15.3%12.7%19.2%3.0%0.8%9.3M-239.5M-1.7M0.4411.56N/AN/A2,9301,290213,750145,205
2013-04-03$37.87$36.0023.8%5.5%14.9%14.7%21.5%2.7%0.6%8.2M-223.9M-1.7M1.4012.17N/AN/A2,9504,118213,391145,297
2013-04-04$38.63$36.0020.3%5.6%16.7%5.8%20.0%1.6%0.4%11.9M-314.9M-1.7M0.4612.72N/AN/A8,8204,028214,027146,526
2013-04-05$38.39$38.0020.1%5.9%16.8%5.5%20.8%3.0%2.9%11.0M-287.7M-1.7M0.277.66N/AN/A5,6191,539215,625148,732
2013-04-08$38.98$38.0023.0%5.9%16.7%12.6%21.2%2.6%2.7%12.3M-373.4M-1.7M0.254.69N/AN/A7,2971,847214,242148,247
2013-04-09$38.87$38.0022.0%5.8%16.4%10.2%20.1%2.8%3.8%13.7M-346.5M-1.7M2.404.69N/AN/A7,29617,507216,310148,638
2013-04-10$39.01$38.0018.6%5.7%15.5%1.7%19.7%2.8%3.9%14.1M-372.7M-1.8M0.434.66N/AN/A2,4011,027216,894152,934
2013-04-11$38.84$38.0019.9%5.7%15.1%5.0%20.6%3.1%3.9%13.6M-359.8M-1.7M0.536.12N/AN/A6,3773,363217,607153,254
2013-04-12$38.92$39.0020.6%5.9%15.1%6.7%21.3%3.3%3.1%14.3M-360.1M-1.7M1.007.06N/AN/A3,7333,751216,687153,954
2013-04-15$37.91$39.0023.1%6.6%17.4%12.7%23.6%3.6%2.9%8.0M-243.7M-1.7M1.7110.43N/AN/A4,9728,523217,237154,451
2013-04-16$37.99$39.0021.1%6.0%17.4%7.8%21.3%3.1%3.2%5.5M-245.3M-1.7M0.6612.20N/AN/A18,38812,112218,948159,605
2013-04-17$37.59$39.0021.5%6.2%17.2%8.9%21.7%3.4%3.3%3.0M-192.9M-1.7M0.2411.09N/AN/A6,2521,517228,087165,140
2013-04-18$37.32$38.0022.3%6.4%17.2%10.9%22.0%3.3%3.4%1.1M-183.4M-1.7M0.5011.36N/AN/A4,7752,373225,121164,432
2013-04-19$38.12$38.0021.1%6.0%18.0%7.8%21.3%2.9%3.5%-5.6M-277.3M-1.7M0.2310.18N/AN/A13,0613,013226,046163,904
2013-04-22$37.69$38.0020.2%5.8%18.4%5.7%21.1%2.8%3.7%5.0M-127.1M-1.7M0.759.22N/AN/A3,3802,528132,59491,656
2013-04-23$38.01$38.0020.0%5.7%18.5%5.2%19.5%3.2%3.6%5.7M-142.6M-1.7M0.6311.72N/AN/A2,6471,680134,56492,802
2013-04-24$37.71$38.0019.8%5.7%18.7%4.6%20.1%2.7%3.9%5.5M-128.6M-1.7M0.279.59N/AN/A3,096838136,27193,726
2013-04-25$37.79$38.0019.9%5.7%18.7%4.9%21.1%3.4%3.9%6.1M-135.8M-1.7M0.719.15N/AN/A6,1254,362138,90794,021
2013-04-26$37.70$38.0019.9%5.3%18.6%5.0%18.9%2.8%4.5%5.7M-138.2M-1.7M0.9910.56N/AN/A1,6891,675143,05997,093
2013-04-29$38.25$38.0023.0%5.9%18.8%12.7%20.6%2.2%3.5%6.6M-167.0M-1.7M0.408.17N/AN/A9,2203,645142,64797,180
2013-04-30$38.42$38.0021.4%5.7%18.3%8.7%19.9%1.9%4.4%8.6M-180.6M-1.8M0.489.40N/AN/A4,7422,276149,42199,238