LOW Options History — September 2013

In September 2013, LOW traded between $45.60 and $48.98. ATM implied volatility averaged 22.0%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 2.1% (HV 20d: 24.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2013-09-12: Highest Volume — 31,419 contracts
  • 2013-09-30: Largest IV spike — 22.8% change
  • 2013-09-03: Highest IV Rank — 25.8%
  • 2013-09-16: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.12$45.60$48.98$45.61$47.61
Max Pain$42.21$40.00$45.00$45.00$45.00
ATM IV22.0%19.5%27.9%27.9%24.5%
Expected Move7.2%6.0%8.2%6.7%7.9%
HV 20d24.1%19.7%30.6%30.6%19.7%
HV 60d22.6%21.9%23.1%22.8%22.3%
IV Rank11.3%5.1%25.8%25.8%17.6%
IV Percentile37.1%6.7%87.7%87.7%72.6%
Term Structure1.9%0.4%3.1%1.1%0.6%
VWIV26.4%21.3%34.3%24.1%27.4%
Skew 25d3.7%3.0%6.4%3.8%4.0%
Skew 10d10.9%6.4%16.4%8.2%10.9%
Call IV 25d20.1%16.9%22.5%22.5%20.7%
Put IV 25d23.8%22.6%26.3%26.3%24.7%
Bid-Ask Spread %5.493.0513.365.303.05
Gamma HHI0.220.130.440.190.14
Net GEX43.2M9.5M109.5M34.3M10.2M
Net DEX-614.8M-964.8M-458.6M-461.3M-501.8M
Net VEX-1.8M-2.1M-1.5M-2.1M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.131.280.660.56
Total Volume12,600.954,65831,4197,0994,658
Total OI385,617.05325,631440,450392,831327,577

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$45.61$45.0027.9%6.7%30.6%25.8%24.1%3.8%1.1%34.3M-461.3M-2.1M0.665.30N/AN/A4,2892,810256,877135,954
2013-09-04$45.97$45.0025.7%6.4%30.2%20.4%22.3%3.0%1.6%38.5M-516.2M-2.1M0.835.24N/AN/A2,7352,269258,519136,086
2013-09-05$45.86$45.0022.5%6.3%29.8%12.5%22.2%3.0%1.7%39.5M-497.8M-2.1M0.545.46N/AN/A3,6081,951259,338136,625
2013-09-06$45.60$42.0022.5%6.7%26.0%12.5%23.6%3.2%2.1%37.6M-458.6M-2.1M0.166.40N/AN/A13,0142,036260,399137,309
2013-09-09$46.63$42.0022.9%6.3%27.0%13.7%22.1%3.3%2.2%54.0M-631.8M-2.0M0.516.19N/AN/A7,6053,856270,278136,569
2013-09-10$47.15$42.0025.1%6.2%27.2%18.9%22.7%3.1%2.5%57.0M-719.5M-2.0M0.187.42N/AN/A25,1344,636269,744136,223
2013-09-11$47.37$42.0019.5%6.1%27.1%5.1%21.3%3.1%2.7%68.0M-780.1M-1.9M0.757.39N/AN/A3,7212,773276,245136,004
2013-09-12$46.99$42.0021.0%6.0%25.6%8.9%24.7%3.2%2.6%77.6M-727.4M-1.9M1.286.93N/AN/A13,77717,642277,808137,662
2013-09-13$46.86$42.0021.2%6.1%23.5%9.4%22.4%3.7%2.3%109.5M-662.5M-1.9M0.336.83N/AN/A13,9584,612287,328153,122
2013-09-16$46.84$0.0021.0%8.2%23.5%9.0%26.6%3.6%2.8%65.5M-640.9M-1.8M0.1313.36N/AN/A14,0851,774264,869153,851
2013-09-17$46.85$45.0020.8%8.0%23.3%8.4%31.3%3.7%2.7%69.7M-659.9M-1.8M0.345.27N/AN/A8,9933,028264,769154,959
2013-09-18$47.75$40.0020.3%8.0%23.8%7.1%29.0%3.3%2.6%69.3M-792.2M-1.8M0.358.05N/AN/A13,5794,755259,062156,608
2013-09-19$48.98$40.0020.4%7.8%21.7%7.5%29.6%6.4%2.8%22.6M-964.8M-1.5M0.383.12N/AN/A20,2867,664252,345158,571
2013-09-20$47.84$40.0020.4%8.0%20.5%7.4%29.2%4.2%3.1%61.1M-800.2M-1.7M1.133.10N/AN/A5,5426,249256,709164,638
2013-09-23$47.27$40.0021.8%8.0%20.7%10.8%32.7%4.2%0.4%9.5M-460.9M-1.7M0.583.31N/AN/A3,7142,158172,454153,177
2013-09-24$48.04$40.0021.0%8.0%21.5%8.8%26.1%4.1%0.7%9.7M-507.1M-1.7M0.273.39N/AN/A5,8011,572173,457153,446
2013-09-25$47.54$40.0020.6%8.0%20.3%8.0%28.5%4.1%0.8%10.4M-484.4M-1.6M0.483.19N/AN/A3,6411,761172,125154,138
2013-09-26$47.89$40.0020.3%7.9%20.2%7.1%27.3%3.9%0.9%10.2M-516.5M-1.6M0.673.56N/AN/A3,4672,313173,523154,406
2013-09-27$47.77$45.0020.0%7.9%20.3%6.4%34.3%3.8%1.2%10.2M-512.5M-1.5M0.583.18N/AN/A4,1582,395174,188155,379
2013-09-30$47.61$45.0024.5%7.9%19.7%17.6%27.4%4.0%0.6%10.2M-501.8M-1.5M0.563.05N/AN/A2,9951,663173,409154,168