LOW Options History — January 2014

In January 2014, LOW traded between $45.97 and $49.68. ATM implied volatility averaged 19.3%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.8% (HV 20d: 17.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2014-01-16: Highest Volume — 118,668 contracts
  • 2014-01-13: Largest IV spike — 21.3% change
  • 2014-01-31: Highest IV Rank — 16.6%
  • 2014-01-06: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.04$45.97$49.68$49.44$46.29
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV19.3%17.1%23.0%19.5%23.0%
Expected Move7.5%7.3%7.7%7.6%7.5%
HV 20d17.5%15.1%19.9%18.7%18.1%
HV 60d23.2%22.3%24.2%24.2%22.9%
IV Rank7.9%2.6%16.6%8.4%16.6%
IV Percentile19.7%0.8%68.3%13.1%68.3%
Term Structure3.5%1.1%4.8%1.1%4.8%
VWIV28.5%25.3%31.8%28.1%31.5%
Skew 25d2.0%1.2%4.4%2.9%1.6%
Skew 10d4.4%1.9%12.8%12.8%2.5%
Call IV 25d19.4%16.9%21.6%20.0%21.6%
Put IV 25d21.3%18.3%23.3%22.9%23.1%
Bid-Ask Spread %8.574.7811.599.878.89
Gamma HHI0.160.090.430.160.10
Net GEX8.5M-1.0M15.6M14.4M-222.4K
Net DEX-232.5M-495.1M-11.0M-423.2M-29.3M
Net VEX-1.1M-1.2M-978.3K-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.033.350.340.62
Total Volume14,722.4763,959118,6685,81411,621
Total OI220,036.667129,087293,862259,630167,136

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$49.44$35.0019.5%7.6%18.7%8.4%28.1%2.9%1.1%14.4M-423.2M-1.1M0.349.87N/AN/A4,3431,471145,267114,363
2014-01-03$48.95$35.0017.9%7.6%19.2%4.5%28.3%4.4%1.7%15.1M-394.2M-1.1M0.499.32N/AN/A3,8351,879146,165114,801
2014-01-06$48.26$35.0020.6%7.7%19.9%11.0%29.9%1.9%3.2%15.4M-353.3M-1.1M0.816.55N/AN/A6,0544,891146,303115,483
2014-01-07$48.38$35.0020.9%7.6%17.1%11.6%28.3%2.5%3.3%15.6M-357.0M-1.1M3.039.61N/AN/A4,58313,884148,904118,314
2014-01-08$48.55$35.0018.5%7.5%17.1%6.0%29.7%2.3%3.3%13.7M-362.7M-1.1M0.436.85N/AN/A4,0431,745152,143129,082
2014-01-09$48.75$35.0018.4%7.5%16.7%5.7%29.5%2.1%3.4%14.3M-413.4M-1.1M0.348.76N/AN/A6,2342,115153,545129,852
2014-01-10$49.68$35.0017.3%7.5%17.8%3.0%28.1%2.0%3.4%15.3M-495.1M-1.0M0.847.39N/AN/A3,4832,942155,639130,192
2014-01-13$48.66$35.0020.9%7.4%19.2%11.7%27.0%1.8%3.0%14.8M-405.5M-1.0M0.288.94N/AN/A6,9361,912155,349131,285
2014-01-14$48.90$35.0018.1%7.3%19.2%5.1%25.3%1.8%3.3%14.4M-416.6M-1.0M1.537.20N/AN/A3,3045,046155,398131,463
2014-01-15$48.29$35.0017.3%7.5%19.9%3.0%28.6%2.0%3.4%12.8M-357.6M-1.0M0.968.00N/AN/A6,0035,737154,023134,980
2014-01-16$48.18$35.0019.0%7.6%19.5%7.1%29.8%1.8%3.7%14.5M-345.7M-1.0M0.034.78N/AN/A114,9643,704154,296139,566
2014-01-17$47.61$35.0018.4%7.5%15.5%5.6%31.8%2.1%4.0%2.7M-21.9M-1.0M0.628.87N/AN/A7,3644,58096,622141,195
2014-01-21$47.82$35.0017.9%7.4%15.6%4.5%27.8%1.7%4.0%3.0M-78.2M-983.8K1.017.03N/AN/A3,7893,83671,61157,476
2014-01-22$47.75$35.0017.1%7.5%15.3%2.6%26.7%1.4%4.6%3.1M-79.5M-978.3K3.3511.59N/AN/A1,9956,68873,97260,290
2014-01-23$48.15$35.0017.7%7.5%15.3%4.0%0.0%1.6%4.3%3.3M-91.0M-1.0M0.7110.16N/AN/A2,9642,09574,57865,988
2014-01-24$47.83$35.0019.5%7.5%15.2%8.3%26.3%1.2%4.0%3.3M-80.0M-1.0M0.7610.25N/AN/A2,9602,25675,35767,465
2014-01-27$48.00$35.0020.2%7.4%15.1%9.9%28.1%1.7%3.6%2.5M-82.9M-1.1M0.5910.40N/AN/A3,3331,97174,57267,325
2014-01-28$46.96$35.0020.2%7.4%16.8%9.9%29.6%1.3%3.9%856.2K-44.6M-1.0M1.268.59N/AN/A11,88214,93876,44168,618
2014-01-29$45.97$35.0021.9%7.6%17.6%14.1%28.8%1.9%3.8%-1.0M-11.0M-1.1M0.6510.48N/AN/A8,3965,43783,23876,617
2014-01-30$46.50$35.0021.6%7.4%18.1%13.2%27.6%1.6%3.7%-366.7K-40.1M-1.2M1.416.43N/AN/A1,6462,31388,51277,344
2014-01-31$46.29$35.0023.0%7.5%18.1%16.6%31.5%1.6%4.8%-222.4K-29.3M-1.2M0.628.89N/AN/A7,1934,42888,82078,316