LOW Options History — December 2013

In December 2013, LOW traded between $46.50 and $49.55. ATM implied volatility averaged 20.5%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 5.4% (HV 20d: 25.8%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2013-12-03: Highest Volume — 31,921 contracts
  • 2013-12-27: Largest IV drop — 16.8% change
  • 2013-12-03: Highest IV Rank — 15.3%
  • 2013-12-03: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.78$46.50$49.55$46.83$49.55
Max Pain$33.00$33.00$33.00$33.00$33.00
ATM IV20.5%16.0%23.6%21.6%16.8%
Expected Move7.7%7.6%7.8%7.7%7.6%
HV 20d25.8%19.0%31.1%30.0%19.0%
HV 60d24.5%23.7%25.0%24.7%24.5%
IV Rank8.1%0.0%15.3%10.3%1.9%
IV Percentile31.7%0.0%67.5%46.0%0.4%
Term Structure2.2%0.9%3.3%2.1%1.9%
VWIV28.0%24.5%33.8%25.2%28.7%
Skew 25d1.9%0.8%3.1%1.0%2.0%
Skew 10d4.1%1.2%9.9%1.2%5.2%
Call IV 25d20.3%19.0%21.7%19.7%19.2%
Put IV 25d22.3%20.7%24.1%20.7%21.2%
Bid-Ask Spread %7.893.7213.027.138.56
Gamma HHI0.190.140.310.140.17
Net GEX4.6M-3.9M13.6M2.3M13.4M
Net DEX-272.5M-452.5M-155.4M-189.4M-452.5M
Net VEX-1.2M-1.4M-1.0M-1.3M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.072.081.700.22
Total Volume8,018.9522,20931,9217,8399,673
Total OI281,865.095243,175305,548274,947254,051

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$46.83$33.0021.6%7.7%30.0%10.3%25.2%1.0%2.1%2.3M-189.4M-1.3M1.707.13N/AN/A2,9014,938136,942138,005
2013-12-03$46.50$33.0023.6%7.8%29.5%15.3%33.8%1.2%2.3%235.0K-161.2M-1.3M2.0811.02N/AN/A10,35021,571138,011141,701
2013-12-04$46.86$33.0023.4%7.8%29.5%14.9%29.4%1.2%2.1%-390.1K-161.4M-1.4M1.957.84N/AN/A4,2738,346141,668153,583
2013-12-05$46.61$33.0020.4%7.8%29.5%7.4%28.7%0.8%2.4%-2.1M-155.4M-1.3M1.919.97N/AN/A2,3064,415141,232150,372
2013-12-06$47.98$33.0018.9%7.8%31.1%3.8%31.3%1.7%2.4%4.7M-266.0M-1.3M0.693.72N/AN/A5,2943,639141,975153,846
2013-12-09$47.76$33.0021.1%7.8%31.1%9.1%28.3%2.0%2.4%2.1M-252.9M-1.3M0.455.83N/AN/A1,717765141,560151,302
2013-12-10$47.36$33.0021.0%7.8%31.0%8.8%27.1%2.2%2.5%325.6K-213.9M-1.3M0.846.09N/AN/A1,4401,207142,328151,597
2013-12-11$47.31$33.0019.9%7.8%29.8%6.2%28.4%1.9%2.3%-49.4K-212.0M-1.2M0.475.06N/AN/A1,981938142,854151,913
2013-12-12$46.89$33.0021.5%7.7%28.3%10.1%29.1%2.1%2.5%-1.7M-182.5M-1.2M1.074.33N/AN/A2,0302,165143,762152,038
2013-12-13$47.11$33.0021.7%7.7%27.8%10.5%26.6%2.2%2.4%-709.8K-201.3M-1.2M1.404.70N/AN/A9221,287144,609152,917
2013-12-16$47.13$33.0022.2%7.8%27.8%11.8%27.3%2.3%1.9%-665.6K-207.9M-1.2M0.497.17N/AN/A2,6121,272143,744153,008
2013-12-17$46.65$33.0022.1%7.8%27.5%11.7%26.0%2.4%2.5%-3.9M-163.9M-1.2M0.319.14N/AN/A7,6772,408144,563153,421
2013-12-18$48.32$33.0021.3%7.7%30.8%9.6%26.7%2.1%2.8%6.8M-324.4M-1.1M0.4713.02N/AN/A7,7493,662148,392154,420
2013-12-19$48.39$33.0021.3%7.7%20.5%9.6%28.2%2.4%2.9%6.8M-338.0M-1.2M0.6810.24N/AN/A3,2422,194150,473155,075
2013-12-20$47.97$33.0020.4%7.8%19.7%7.5%27.2%2.9%3.3%4.4M-304.1M-1.1M1.098.00N/AN/A1,5931,736150,203154,701
2013-12-23$48.40$33.0020.7%7.8%19.9%8.1%26.5%2.9%0.9%11.7M-331.7M-1.2M0.079.71N/AN/A13,653974131,219111,956
2013-12-24$48.70$33.0019.3%7.6%19.9%4.7%31.9%1.2%1.7%12.4M-380.8M-1.1M0.258.90N/AN/A7,6311,883133,037112,252
2013-12-26$49.03$33.0019.2%7.6%20.0%4.5%24.5%1.4%1.8%13.1M-416.0M-1.1M0.278.44N/AN/A6,1351,631137,523112,807
2013-12-27$48.83$33.0016.0%7.6%20.0%0.0%27.4%3.1%1.7%13.6M-374.3M-1.2M0.308.08N/AN/A2,289678139,868113,472
2013-12-30$49.25$33.0017.5%7.6%19.8%3.6%24.7%1.6%1.4%13.4M-432.7M-1.0M0.168.67N/AN/A6,2141,007139,718113,049
2013-12-31$49.55$33.0016.8%7.6%19.0%1.9%28.7%2.0%1.9%13.4M-452.5M-1.0M0.228.56N/AN/A7,9011,772140,265113,786