LOW Options History — November 2013

In November 2013, LOW traded between $47.33 and $51.95. ATM implied volatility averaged 21.3%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 3.5% (HV 20d: 24.8%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2013-11-20: Highest Volume — 85,215 contracts
  • 2013-11-14: Largest IV spike — 43.9% change
  • 2013-11-14: Highest IV Rank — 23.8%
  • 2013-11-20: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.35$47.33$51.95$49.18$47.48
Max Pain$30.90$30.00$33.00$30.00$33.00
ATM IV21.3%18.8%27.1%20.4%19.5%
Expected Move7.8%7.7%7.9%7.8%7.7%
HV 20d24.8%20.1%30.9%23.7%29.9%
HV 60d23.0%20.6%24.7%23.1%24.6%
IV Rank9.6%3.6%23.8%7.6%5.2%
IV Percentile31.1%3.6%86.5%21.0%9.9%
Term Structure0.3%-1.7%3.6%3.6%1.4%
VWIV29.2%24.3%34.0%27.8%29.3%
Skew 25d1.9%-1.0%3.2%-1.0%0.8%
Skew 10d4.0%-4.9%7.5%-4.9%0.7%
Call IV 25d22.6%19.1%26.3%22.8%19.9%
Put IV 25d24.5%19.6%28.5%21.8%20.6%
Bid-Ask Spread %7.422.7213.233.329.01
Gamma HHI0.190.130.270.250.13
Net GEX6.4M976.5K9.6M6.4M2.9M
Net DEX-346.5M-505.6M-176.5M-348.4M-236.3M
Net VEX-1.4M-1.4M-1.2M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.156.790.502.99
Total Volume16,867.152,22285,2153,4083,042
Total OI280,751.3265,738324,029269,121276,998

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$49.18$30.0020.4%7.8%23.7%7.6%27.8%-1.0%3.6%6.4M-348.4M-1.4M0.503.32N/AN/A2,2781,130132,598136,523
2013-11-04$49.77$30.0022.4%7.8%22.8%12.4%27.2%3.2%-0.4%8.1M-387.9M-1.4M1.013.28N/AN/A1,1031,119130,327135,411
2013-11-05$50.18$30.0022.7%7.8%21.9%13.1%33.1%2.9%-0.4%8.9M-419.7M-1.3M0.172.97N/AN/A4,716810130,782135,896
2013-11-06$49.97$30.0019.1%7.8%22.0%4.3%29.3%2.8%-0.3%9.0M-402.1M-1.4M0.222.72N/AN/A2,760611133,480136,390
2013-11-07$49.07$30.0020.2%7.9%21.6%6.9%32.0%3.1%-0.8%7.7M-355.4M-1.4M0.517.43N/AN/A9,7394,939134,239136,522
2013-11-08$48.72$30.0019.8%7.7%20.6%5.9%34.0%3.1%-0.6%6.2M-323.9M-1.4M0.279.15N/AN/A5,7751,583132,343139,672
2013-11-11$49.10$30.0020.3%7.7%20.8%7.2%31.9%3.0%-0.7%8.1M-354.6M-1.4M0.867.82N/AN/A1,9041,645132,559139,396
2013-11-12$50.12$30.0020.1%7.8%21.7%6.8%27.3%1.6%-1.1%9.6M-414.8M-1.3M0.158.15N/AN/A11,2891,725132,833140,310
2013-11-13$51.28$30.0018.8%7.9%23.0%3.6%24.3%2.2%-1.1%9.5M-466.8M-1.3M0.678.01N/AN/A5,9664,002136,649140,545
2013-11-14$51.95$30.0027.1%7.8%23.0%23.8%26.5%2.7%-1.7%8.9M-505.6M-1.2M6.795.49N/AN/A9,85366,885136,636142,725
2013-11-15$51.77$30.0025.7%7.9%20.1%20.5%32.3%2.4%-0.8%7.0M-470.7M-1.4M0.5810.49N/AN/A7,6284,452140,249180,669
2013-11-18$50.89$30.0026.4%7.8%21.4%22.1%28.8%2.4%-1.3%6.4M-398.6M-1.4M0.868.84N/AN/A4,6033,976133,352143,786
2013-11-19$50.44$30.0025.6%7.8%21.8%20.2%28.4%1.4%-0.5%6.3M-369.6M-1.4M0.7313.23N/AN/A27,47320,081134,839145,711
2013-11-20$47.33$30.0021.3%7.9%30.9%9.7%28.9%1.9%1.3%976.5K-176.5M-1.4M1.709.76N/AN/A31,58753,628151,268158,031
2013-11-21$48.20$33.0020.0%7.9%30.3%6.5%26.0%1.6%1.5%3.8M-259.9M-1.4M0.6511.59N/AN/A7,9325,175153,610170,419
2013-11-22$47.90$33.0019.1%7.8%30.3%4.3%0.0%1.5%1.8%3.7M-243.6M-1.4M0.596.17N/AN/A7,0134,147152,475141,452
2013-11-25$47.75$33.0019.0%7.8%30.2%3.9%25.8%0.9%1.7%5.4M-256.8M-1.3M2.977.84N/AN/A2,5217,478134,421132,086
2013-11-26$48.01$33.0018.8%7.8%30.0%3.6%29.6%0.4%2.0%4.3M-273.1M-1.3M0.344.69N/AN/A2,539872135,429138,836
2013-11-27$47.89$33.0019.1%7.7%29.9%4.2%31.5%0.5%2.1%4.6M-265.3M-1.3M0.648.43N/AN/A2,0481,316136,498139,061
2013-11-29$47.48$33.0019.5%7.7%29.9%5.2%29.3%0.8%1.4%2.9M-236.3M-1.3M2.999.01N/AN/A7622,280137,395139,603