LOW Options History — June 2013

In June 2013, LOW traded between $39.45 and $42.36. ATM implied volatility averaged 25.1%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.4% (HV 20d: 25.5%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2013-06-06: Highest Volume — 40,399 contracts
  • 2013-06-05: Largest IV spike — 17.1% change
  • 2013-06-05: Highest IV Rank — 36.7%
  • 2013-06-06: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.75$39.45$42.36$42.36$40.90
Max Pain$38.40$38.00$40.00$40.00$38.00
ATM IV25.1%19.7%32.7%25.1%19.7%
Expected Move6.8%6.0%7.6%6.4%6.0%
HV 20d25.5%23.8%28.4%24.9%28.0%
HV 60d23.2%20.3%24.4%20.3%24.1%
IV Rank17.9%4.4%36.7%17.7%4.4%
IV Percentile57.7%3.6%96.4%63.1%3.6%
Term Structure1.4%-1.5%3.2%0.6%2.2%
VWIV24.1%21.5%27.1%22.5%21.6%
Skew 25d2.8%1.9%4.0%2.7%2.3%
Skew 10d5.5%3.5%7.0%6.0%5.6%
Call IV 25d23.0%20.4%26.3%21.3%20.4%
Put IV 25d25.8%22.7%28.3%24.0%22.7%
Bid-Ask Spread %7.585.5910.197.3010.19
Gamma HHI0.160.130.210.130.18
Net GEX11.2M8.0M14.0M11.1M13.1M
Net DEX-290.9M-388.2M-184.6M-388.2M-285.9M
Net VEX-2.0M-2.2M-1.9M-1.9M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.162.770.560.35
Total Volume11,692.952,25240,3993,0382,252
Total OI334,134.55303,097364,283310,076304,992

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$42.36$40.0025.1%6.4%24.9%17.7%22.5%2.7%0.6%11.1M-388.2M-1.9M0.567.30N/AN/A1,9421,096188,482121,594
2013-06-04$40.99$40.0027.9%6.7%25.9%24.9%23.0%2.6%0.3%9.3M-291.5M-2.0M0.749.06N/AN/A6,1554,538189,499121,670
2013-06-05$39.60$40.0032.7%7.3%28.4%36.7%26.1%1.9%-1.0%8.0M-190.4M-2.0M0.696.95N/AN/A9,9986,880192,632123,214
2013-06-06$40.70$40.0028.3%7.6%23.8%25.9%27.1%2.0%-1.5%9.7M-276.7M-2.0M2.099.19N/AN/A13,07227,327198,439125,944
2013-06-07$41.60$38.0026.4%6.9%24.8%21.0%25.0%2.8%1.7%11.8M-364.4M-2.2M0.896.99N/AN/A4,7334,192208,572137,866
2013-06-10$41.18$38.0028.8%6.9%24.9%27.0%23.8%2.9%2.0%10.4M-321.2M-2.1M0.357.53N/AN/A11,0943,902206,671139,333
2013-06-11$40.89$38.0029.4%7.1%25.0%28.4%25.3%2.9%1.5%9.9M-293.1M-2.1M0.166.96N/AN/A7,7531,229209,237141,426
2013-06-12$40.61$38.0026.6%7.2%24.2%21.6%25.3%2.8%1.3%10.2M-282.9M-2.1M0.398.34N/AN/A10,8464,212213,582129,892
2013-06-13$41.18$38.0024.1%6.9%24.4%15.3%24.9%2.9%2.1%11.1M-341.2M-2.1M0.577.65N/AN/A10,0925,741219,754131,409
2013-06-14$41.16$38.0024.1%6.9%24.2%15.4%25.4%2.8%2.0%9.0M-344.7M-2.1M1.535.82N/AN/A1,3282,033224,298135,813
2013-06-17$41.37$38.0024.2%6.9%24.4%15.7%24.9%2.5%1.8%13.3M-369.3M-2.1M0.227.53N/AN/A2,394517223,492133,932
2013-06-18$41.46$38.0023.1%6.6%24.3%12.9%23.1%2.5%2.7%14.0M-378.3M-2.0M0.185.59N/AN/A7,2931,281224,046134,016
2013-06-19$41.03$38.0022.4%6.4%24.5%11.1%22.4%2.7%3.2%13.4M-339.0M-2.0M0.947.44N/AN/A4,9664,690229,239134,543
2013-06-20$39.82$38.0024.5%7.0%25.9%16.2%24.7%3.6%2.2%9.1M-206.7M-2.0M0.328.33N/AN/A10,0123,231224,438132,791
2013-06-21$39.55$38.0023.4%6.7%25.9%13.7%24.5%3.8%2.5%10.2M-184.6M-1.9M2.776.06N/AN/A4,46412,385230,302133,981
2013-06-24$39.45$38.0024.8%7.1%25.9%17.1%23.5%4.0%0.8%12.1M-195.8M-1.9M0.959.40N/AN/A3,7343,531194,952109,611
2013-06-25$39.51$38.0023.8%6.8%25.7%14.6%23.8%2.7%0.6%12.0M-197.4M-1.9M0.286.24N/AN/A15,8084,396194,765111,811
2013-06-26$40.53$38.0021.9%6.3%27.6%10.0%22.7%2.7%1.2%12.4M-262.7M-1.9M0.386.85N/AN/A7,3632,815190,218112,879
2013-06-27$41.15$38.0021.6%6.2%28.2%9.1%21.5%2.6%1.7%12.9M-304.9M-2.0M0.248.17N/AN/A3,677887189,379113,977
2013-06-28$40.90$38.0019.7%6.0%28.0%4.4%21.6%2.3%2.2%13.1M-285.9M-1.9M0.3510.19N/AN/A1,673579190,661114,331