LOW Options History — March 2014

In March 2014, LOW traded between $48.36 and $50.63. ATM implied volatility averaged 20.2%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.3% (HV 20d: 21.5%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2014-03-25: Highest Volume — 20,121 contracts
  • 2014-03-06: Largest IV drop — 15.3% change
  • 2014-03-03: Highest IV Rank — 54.1%
  • 2014-03-25: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.45$48.36$50.63$50.19$48.90
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV20.2%18.4%25.0%25.0%20.4%
Expected Move7.0%6.9%7.1%7.1%6.9%
HV 20d21.5%12.1%25.7%25.7%12.1%
HV 60d20.4%19.5%21.4%21.4%19.7%
IV Rank25.1%14.5%54.1%54.1%26.3%
IV Percentile29.3%6.0%84.5%84.5%32.9%
Term Structure1.5%-0.4%3.0%-0.4%0.9%
VWIV25.3%22.2%29.0%29.0%27.1%
Skew 25d1.8%1.0%2.4%2.0%1.5%
Skew 10d4.4%2.2%5.7%5.0%2.6%
Call IV 25d19.3%18.3%21.4%21.4%18.5%
Put IV 25d21.1%20.0%23.4%23.4%20.0%
Bid-Ask Spread %4.153.564.934.933.61
Gamma HHI0.200.150.260.150.21
Net GEX8.6M6.9M10.5M8.2M8.1M
Net DEX-195.6M-249.8M-124.6M-236.2M-161.7M
Net VEX-954.4K-1.0M-880.6K-1.0M-899.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.113.870.790.71
Total Volume4,687.0481,17120,1218,2431,648
Total OI171,197.524148,246179,692171,397165,017

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$50.19$38.0025.0%7.1%25.7%54.1%29.0%2.0%-0.4%8.2M-236.2M-1.0M0.794.93N/AN/A4,6133,63094,34577,052
2014-03-04$50.63$38.0022.2%7.0%24.7%37.2%0.0%1.6%0.2%8.5M-249.8M-1.0M1.894.43N/AN/A1,2722,40994,66178,475
2014-03-05$50.35$38.0023.2%7.0%23.8%42.9%24.5%1.6%0.4%8.3M-238.1M-1.0M0.353.56N/AN/A4,7911,69994,88079,396
2014-03-06$50.09$38.0019.6%7.0%23.9%21.8%26.6%1.0%0.9%8.5M-228.6M-1.0M0.753.60N/AN/A2,8452,14295,46180,179
2014-03-07$50.42$38.0019.0%7.0%23.0%17.9%26.3%1.7%2.1%8.4M-242.3M-975.9K0.113.93N/AN/A8,9771,00994,27880,021
2014-03-10$49.99$38.0020.9%7.0%22.8%29.5%0.0%1.8%2.1%8.9M-228.1M-970.6K0.644.20N/AN/A1,17075194,96779,615
2014-03-11$49.46$38.0022.5%7.0%23.4%39.2%24.7%1.8%2.1%9.4M-208.1M-958.5K0.734.74N/AN/A1,22289895,33579,788
2014-03-12$49.38$38.0019.3%7.0%23.1%19.6%26.9%1.9%2.1%9.3M-203.3M-954.1K0.623.95N/AN/A91356895,69879,890
2014-03-13$48.71$38.0020.7%7.0%23.8%28.0%25.2%1.9%1.6%8.2M-168.6M-961.1K1.643.72N/AN/A1,3662,23995,99579,752
2014-03-14$49.09$38.0020.8%7.0%23.8%29.1%23.4%1.9%1.6%8.9M-188.6M-948.7K1.334.11N/AN/A1,8872,50895,92380,781
2014-03-17$49.48$38.0020.3%7.0%23.6%25.9%0.0%1.7%2.2%10.1M-210.5M-923.0K3.873.95N/AN/A1,0223,95695,53680,961
2014-03-18$49.83$38.0018.9%7.0%23.3%17.7%0.0%1.7%3.0%10.5M-228.5M-918.9K0.653.79N/AN/A97562995,93383,562
2014-03-19$49.58$38.0018.9%7.0%23.2%17.7%24.1%2.0%2.9%10.1M-207.5M-947.1K0.224.73N/AN/A1,84441195,89283,800
2014-03-20$49.55$38.0018.9%7.0%23.2%17.3%22.2%1.9%2.9%10.4M-204.5M-926.0K0.503.72N/AN/A77939294,75583,463
2014-03-21$49.25$38.0018.8%7.0%23.3%16.9%24.5%2.1%3.0%9.2M-192.3M-906.7K0.254.82N/AN/A6,5881,62294,72483,566
2014-03-24$49.18$38.0018.7%6.9%23.3%16.4%24.7%1.8%0.9%7.3M-160.6M-891.3K0.924.36N/AN/A1,3411,23084,43963,807
2014-03-25$48.36$38.0019.2%7.1%23.4%19.1%26.1%2.4%0.5%6.9M-124.6M-880.6K1.854.85N/AN/A7,06513,05684,94164,483
2014-03-26$48.53$38.0019.0%6.9%12.9%18.3%25.1%2.1%0.3%7.2M-135.6M-983.7K0.884.20N/AN/A2,4102,11689,24173,632
2014-03-27$48.54$38.0018.9%6.9%12.8%17.6%27.7%2.3%0.7%6.9M-134.7M-986.7K0.694.03N/AN/A1,6481,14389,76775,044
2014-03-28$48.92$38.0018.4%6.9%12.2%14.5%22.4%1.9%0.8%7.6M-154.5M-983.5K0.554.02N/AN/A1,06458090,57075,523
2014-03-31$48.90$38.0020.4%6.9%12.1%26.3%27.1%1.5%0.9%8.1M-161.7M-899.4K0.713.61N/AN/A96268689,67775,340