LOW Options History — June 2014

In June 2014, LOW traded between $45.42 and $47.99. ATM implied volatility averaged 18.0%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.5% (HV 20d: 18.5%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.92.

Notable Days

  • 2014-06-27: Highest Volume — 27,575 contracts
  • 2014-06-09: Largest IV spike — 19.8% change
  • 2014-06-03: Highest IV Rank — 31.8%
  • 2014-06-13: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.70$45.42$47.99$47.01$47.99
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV18.0%14.9%21.3%20.6%17.1%
Expected Move6.6%6.5%6.7%6.6%6.5%
HV 20d18.5%13.8%21.8%21.8%14.8%
HV 60d19.9%19.3%20.3%19.7%20.2%
IV Rank13.1%0.0%31.8%27.6%13.3%
IV Percentile14.3%0.0%55.6%42.1%5.2%
Term Structure1.6%-0.3%3.8%-0.3%1.5%
VWIV23.9%22.1%27.3%23.0%25.1%
Skew 25d2.0%1.3%2.6%2.6%1.8%
Skew 10d4.8%3.2%7.9%6.5%5.5%
Call IV 25d16.8%15.6%18.3%17.6%15.8%
Put IV 25d18.9%17.1%20.6%20.3%17.6%
Bid-Ask Spread %5.404.656.115.115.71
Gamma HHI0.170.120.530.120.14
Net GEX-3.9M-31.0M4.7M616.4K4.0M
Net DEX-26.2M-110.1M65.4M-49.5M-110.1M
Net VEX-938.5K-986.0K-895.4K-926.5K-928.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.920.2315.050.950.29
Total Volume8,125.0481,73327,5752,3905,938
Total OI171,801.143151,118188,181151,118173,067

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$47.01$38.0020.6%6.6%21.8%27.6%23.0%2.6%-0.3%616.4K-49.5M-926.5K0.955.11N/AN/A1,2251,16569,07982,039
2014-06-03$47.22$38.0021.3%6.6%21.1%31.8%0.0%2.4%-0.1%1.5M-61.4M-916.8K0.495.32N/AN/A4,5702,24969,64682,471
2014-06-04$47.17$38.0021.1%6.6%19.7%30.9%24.2%2.4%0.2%2.4M-65.0M-919.5K0.664.73N/AN/A1,04568873,32883,939
2014-06-05$47.40$38.0017.7%6.6%19.5%10.0%23.8%2.1%0.6%3.4M-73.5M-935.3K0.565.40N/AN/A1,28771873,75584,017
2014-06-06$47.77$38.0017.0%6.6%19.5%6.8%22.4%2.5%2.4%4.5M-91.7M-918.2K1.335.58N/AN/A1,8782,50074,38984,198
2014-06-09$47.61$38.0020.4%6.6%19.1%29.0%22.4%2.5%2.2%4.7M-84.7M-896.8K6.175.67N/AN/A2,10913,00774,87181,650
2014-06-10$47.59$38.0019.2%6.6%18.7%21.1%24.2%2.4%2.4%2.8M-71.5M-936.7K2.954.96N/AN/A1,9205,67375,89793,033
2014-06-11$46.91$38.0017.4%6.6%19.0%9.6%23.5%2.0%2.3%-1.0M-33.3M-983.0K9.035.29N/AN/A7556,81977,02097,309
2014-06-12$45.55$38.0018.7%6.7%21.4%18.0%26.4%2.3%1.7%-8.3M48.1M-986.0K1.815.29N/AN/A3,5436,40777,136103,038
2014-06-13$45.45$38.0018.7%6.7%20.9%17.9%24.1%2.1%2.2%-9.3M65.4M-955.4K1.975.45N/AN/A1,3612,68078,429107,239
2014-06-16$45.42$38.0018.8%6.7%20.1%18.3%23.3%2.1%1.9%-10.2M55.6M-951.9K0.455.77N/AN/A2,7981,25876,988104,411
2014-06-17$45.84$38.0018.1%6.7%20.3%14.3%23.3%1.8%2.2%-8.6M30.2M-959.0K0.675.38N/AN/A2,0501,36678,138105,002
2014-06-18$45.84$38.0017.6%6.7%20.3%11.0%23.5%1.9%2.6%-9.2M30.9M-953.9K0.324.65N/AN/A2,06066078,412105,385
2014-06-19$45.90$38.0016.2%6.6%20.3%1.3%23.3%1.6%3.8%-10.5M27.2M-914.1K8.105.86N/AN/A8486,87177,125104,840
2014-06-20$46.02$38.0016.4%6.5%16.6%2.5%27.3%2.2%3.1%-31.0M25.0M-930.5K6.395.70N/AN/A1,4038,95977,507110,674
2014-06-23$46.08$38.0016.9%6.5%16.5%6.3%22.1%1.7%0.5%-7.8M18.7M-895.4K2.505.86N/AN/A4,21110,51068,94793,708
2014-06-24$46.51$38.0016.0%6.5%15.9%0.1%24.0%1.7%1.1%-8.9M-1.0M-904.4K0.766.11N/AN/A10,4187,94671,03199,926
2014-06-25$46.70$38.0016.2%6.5%13.8%1.3%23.8%1.9%1.2%-5.7M-31.4M-962.7K0.235.41N/AN/A6,0861,39979,16098,122
2014-06-26$47.20$38.0016.7%6.5%14.1%4.8%25.3%1.3%0.9%-392.8K-79.3M-976.5K0.695.20N/AN/A3,9422,72983,49097,450
2014-06-27$47.42$38.0014.9%6.5%14.2%0.0%23.9%1.6%1.5%4.6M-98.2M-956.5K15.054.99N/AN/A1,71825,85784,09697,862
2014-06-30$47.99$38.0017.1%6.5%14.8%13.3%25.1%1.8%1.5%4.0M-110.1M-928.8K0.295.71N/AN/A4,6111,32782,00191,066