LOW Options History — May 2014

In May 2014, LOW traded between $44.63 and $47.78. ATM implied volatility averaged 19.8%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.0% (HV 20d: 21.8%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2014-05-20: Highest Volume — 25,914 contracts
  • 2014-05-15: Largest IV spike — 42.1% change
  • 2014-05-16: Highest IV Rank — 56.3%
  • 2014-05-16: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.05$44.63$47.78$46.37$47.08
Max Pain$36.71$35.00$38.00$38.00$38.00
ATM IV19.8%17.0%25.4%19.7%17.7%
Expected Move6.8%6.6%6.9%6.8%6.6%
HV 20d21.8%19.4%23.8%23.1%22.3%
HV 60d20.6%19.2%21.6%21.0%19.7%
IV Rank22.7%6.0%56.3%22.1%10.5%
IV Percentile28.4%0.8%85.7%23.4%6.0%
Term Structure-0.5%-3.0%4.1%3.2%0.4%
VWIV25.2%21.1%29.0%29.0%22.1%
Skew 25d2.9%2.0%4.4%2.0%2.5%
Skew 10d6.7%4.2%9.2%4.2%7.5%
Call IV 25d20.1%16.3%23.5%18.4%16.8%
Put IV 25d23.1%18.7%27.7%20.4%19.3%
Bid-Ask Spread %6.554.7812.584.945.45
Gamma HHI0.160.120.580.130.12
Net GEX1.6M-2.5M24.9M1.0M924.4K
Net DEX-24.2M-91.6M25.2M-29.5M-56.0M
Net VEX-877.4K-943.3K-841.5K-870.1K-943.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.204.250.204.25
Total Volume7,271.1431,22525,9141,2254,219
Total OI134,994.333120,267158,935120,267150,038

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$46.37$38.0019.7%6.8%23.1%22.1%29.0%2.0%3.2%1.0M-29.5M-870.1K0.204.94N/AN/A1,02020559,74960,518
2014-05-02$46.98$35.0018.4%6.8%23.7%14.8%26.4%2.7%4.1%6.0M-50.9M-853.0K0.474.97N/AN/A2,8511,32660,06360,542
2014-05-05$46.29$35.0022.1%6.8%23.8%36.5%28.0%2.7%-1.1%747.8K-25.4M-864.8K0.625.09N/AN/A1,43788959,96260,715
2014-05-06$45.39$35.0023.1%6.9%21.5%42.5%25.4%2.8%-1.3%-790.0K950.7K-850.9K0.415.60N/AN/A2,08285860,99061,381
2014-05-07$45.11$35.0019.8%6.9%21.6%23.1%26.0%3.0%-1.4%-1.4M10.4M-841.5K1.786.13N/AN/A2,4364,33061,29361,844
2014-05-08$45.02$35.0019.0%6.9%20.4%18.3%25.9%3.1%-1.4%-1.5M13.0M-847.8K0.545.72N/AN/A2,1871,17562,10163,226
2014-05-09$45.71$35.0017.4%6.9%20.7%8.7%0.0%3.0%-1.3%-147.7K-9.1M-871.6K0.345.52N/AN/A1,75559463,11363,933
2014-05-12$46.28$35.0018.1%6.7%20.9%12.8%25.3%2.9%-1.3%1.1M-28.6M-866.4K1.704.78N/AN/A1,7092,89962,57762,816
2014-05-13$45.76$35.0017.4%6.8%21.1%8.4%25.8%3.0%-1.5%-390.6K-9.6M-860.8K1.195.74N/AN/A1,5341,82163,39164,781
2014-05-14$45.17$35.0017.0%6.8%21.5%6.0%25.4%3.0%-1.7%-1.9M10.2M-859.6K1.195.82N/AN/A83098464,23666,022
2014-05-15$44.63$38.0024.1%6.8%21.8%48.9%24.4%3.3%-2.1%-2.5M25.2M-849.3K3.206.08N/AN/A3,15610,09764,01065,610
2014-05-16$45.36$38.0025.4%6.9%22.7%56.3%26.0%3.8%-2.6%-1.8M4.4M-886.6K0.9110.93N/AN/A7,1346,49865,13069,807
2014-05-19$45.55$38.0024.8%6.8%22.8%52.8%23.8%4.2%-2.6%-739.9K-8.7M-896.1K1.3511.73N/AN/A4,0025,40962,47669,732
2014-05-20$45.52$38.0024.5%6.8%21.6%51.1%25.5%4.4%-3.0%-1.3M-5.7M-893.5K0.5712.58N/AN/A16,4839,43164,95873,645
2014-05-21$45.41$38.0018.9%6.6%19.4%17.7%25.3%3.1%-0.1%-1.4M-4.2M-859.1K0.685.87N/AN/A7,1684,85875,77779,323
2014-05-22$46.89$38.0017.8%6.6%21.4%10.6%25.2%2.6%0.4%10.2M-79.2M-892.5K1.116.94N/AN/A8,7469,74374,63280,259
2014-05-23$47.06$38.0017.0%6.6%20.6%6.3%21.1%2.4%0.9%24.9M-91.6M-894.5K0.918.43N/AN/A4,7954,34576,15682,779
2014-05-27$47.78$38.0017.2%6.6%21.2%7.0%26.1%2.5%0.3%2.7M-79.0M-900.9K0.584.92N/AN/A2,8351,65866,10177,809
2014-05-28$46.71$38.0017.9%6.6%22.9%11.6%23.4%2.6%0.3%68.6K-41.4M-912.4K1.855.07N/AN/A1,4052,60567,44078,587
2014-05-29$47.01$38.0017.7%6.6%22.5%10.2%23.5%2.3%0.5%755.5K-53.6M-911.1K0.315.25N/AN/A3,9661,21967,69379,666
2014-05-30$47.08$38.0017.7%6.6%22.3%10.5%22.1%2.5%0.4%924.4K-56.0M-943.3K4.255.45N/AN/A8043,41569,43980,599