LOW Options History — April 2014

In April 2014, LOW traded between $45.91 and $49.52. ATM implied volatility averaged 20.6%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.1% (HV 20d: 18.5%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2014-04-01: Highest Volume — 11,875 contracts
  • 2014-04-07: Largest IV spike — 31.1% change
  • 2014-04-07: Highest IV Rank — 56.8%
  • 2014-04-11: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.15$45.91$49.52$49.43$45.91
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV20.6%17.4%25.5%20.8%24.1%
Expected Move6.9%6.8%7.1%6.8%6.9%
HV 20d18.5%12.3%23.3%12.4%22.6%
HV 60d20.7%19.5%21.6%19.8%21.1%
IV Rank27.4%8.8%56.8%29.1%48.5%
IV Percentile35.5%2.4%86.5%43.7%79.8%
Term Structure2.1%0.2%3.5%0.2%2.7%
VWIV26.0%22.2%29.7%29.1%24.1%
Skew 25d2.2%1.2%2.8%1.2%2.6%
Skew 10d5.2%3.2%7.5%3.7%7.0%
Call IV 25d18.9%17.1%20.3%18.8%18.9%
Put IV 25d21.1%19.5%22.7%20.0%21.4%
Bid-Ask Spread %5.054.076.874.576.20
Gamma HHI0.180.130.400.230.13
Net GEX2.7M-6.1M9.8M8.6M335.5K
Net DEX-59.2M-192.0M-5.8M-185.4M-21.1M
Net VEX-856.0K-949.4K-772.6K-894.5K-821.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.203.430.511.73
Total Volume4,904.0482,12811,87511,8753,585
Total OI154,647.238102,332188,412166,030117,938

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$49.43$38.0020.8%6.8%12.4%29.1%0.0%1.2%0.2%8.6M-185.4M-894.5K0.514.57N/AN/A7,8634,01290,17075,860
2014-04-02$49.52$38.0021.2%6.8%12.3%31.5%29.1%1.5%0.6%9.1M-192.0M-934.7K0.824.07N/AN/A1,5011,22496,11382,293
2014-04-03$49.05$38.0019.9%6.8%12.6%23.4%25.9%1.5%0.5%9.8M-173.2M-949.4K0.204.09N/AN/A2,71254796,70479,764
2014-04-04$48.44$38.0019.4%7.0%12.9%20.7%27.7%2.1%2.0%8.4M-132.8M-930.0K1.745.43N/AN/A1,1592,01897,01579,869
2014-04-07$46.77$38.0025.5%7.0%17.4%56.8%27.7%2.1%1.5%4.1M-38.7M-879.7K0.795.39N/AN/A3,2872,58596,32080,664
2014-04-08$46.73$38.0024.2%7.0%17.2%49.4%25.6%2.8%1.7%3.7M-35.7M-859.5K1.224.66N/AN/A5,0386,13596,75581,696
2014-04-09$47.54$38.0019.1%7.0%18.6%18.5%27.1%2.5%1.9%4.7M-74.4M-911.8K0.954.15N/AN/A2,2592,14599,07585,657
2014-04-10$46.79$38.0020.2%7.1%18.8%25.0%27.2%2.5%2.0%4.1M-42.1M-875.5K3.435.18N/AN/A1,7976,15799,65884,274
2014-04-11$46.31$38.0020.9%7.1%18.6%29.3%25.2%2.4%1.7%2.2M-5.8M-870.6K1.504.74N/AN/A1,3301,999100,20886,477
2014-04-14$46.64$38.0020.3%7.0%18.6%26.0%27.2%2.5%1.8%1.2M-20.2M-834.4K1.164.64N/AN/A2,3532,735100,13386,321
2014-04-15$46.71$38.0020.4%7.0%18.3%26.3%25.1%2.6%1.8%517.2K-22.9M-820.2K2.516.16N/AN/A1,2593,155100,56487,848
2014-04-16$46.73$38.0019.4%7.0%18.3%20.3%26.7%2.4%2.4%-1.4M-19.2M-797.6K0.384.43N/AN/A1,53859099,60688,643
2014-04-17$46.80$38.0018.6%6.9%18.4%15.6%29.7%2.4%2.7%-6.1M-22.6M-786.1K0.434.99N/AN/A3,3281,43899,82988,293
2014-04-21$46.68$38.0018.1%6.8%18.3%12.9%26.6%2.1%2.9%359.4K-31.3M-772.6K0.395.12N/AN/A2,52498249,39552,937
2014-04-22$47.54$38.0017.4%6.8%19.8%8.8%25.3%2.6%3.3%1.6M-53.3M-818.0K0.734.42N/AN/A2,6221,90551,27153,284
2014-04-23$46.22$38.0018.6%6.8%21.3%16.0%26.5%2.4%3.2%106.9K-21.7M-813.3K0.556.87N/AN/A4,5132,50252,19754,174
2014-04-24$47.16$38.0018.1%6.8%22.6%12.8%0.0%2.4%3.5%1.8M-52.8M-832.2K0.345.17N/AN/A2,73894055,70356,207
2014-04-25$46.38$38.0019.1%6.8%23.3%18.7%22.2%2.5%3.2%954.4K-31.3M-836.3K1.175.22N/AN/A1,7812,09156,84256,580
2014-04-28$46.38$38.0023.5%6.8%23.0%45.3%23.7%2.4%2.5%833.7K-30.4M-864.8K0.235.64N/AN/A3,63985556,79357,530
2014-04-29$46.43$38.0022.9%6.8%23.0%41.7%22.4%1.9%2.8%1.3M-36.0M-874.0K0.494.81N/AN/A1,44070458,87758,055
2014-04-30$45.91$38.0024.1%6.9%22.6%48.5%24.1%2.6%2.7%335.5K-21.1M-821.4K1.736.20N/AN/A1,3112,27459,36658,572