LOW Options History — July 2014

In July 2014, LOW traded between $47.20 and $48.47. ATM implied volatility averaged 16.6%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.0% (HV 20d: 11.6%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2014-07-18: Highest Volume — 14,133 contracts
  • 2014-07-07: Largest IV spike — 29.8% change
  • 2014-07-08: Highest IV Rank — 27.5%
  • 2014-07-07: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.80$47.20$48.47$48.13$47.85
Max Pain$40.14$38.00$43.00$38.00$43.00
ATM IV16.6%13.6%18.4%17.2%18.0%
Expected Move6.4%6.3%6.5%6.5%6.5%
HV 20d11.6%9.5%14.8%14.8%11.1%
HV 60d17.4%15.4%20.1%20.1%15.4%
IV Rank16.4%0.0%27.5%14.2%25.2%
IV Percentile6.7%0.0%20.2%6.0%20.2%
Term Structure2.5%1.6%3.6%1.6%2.8%
VWIV23.1%20.6%25.4%23.5%22.3%
Skew 25d2.1%1.4%2.6%1.8%2.6%
Skew 10d5.5%3.1%7.9%5.3%5.5%
Call IV 25d16.0%14.0%17.5%15.4%17.5%
Put IV 25d18.1%15.7%20.1%17.3%20.1%
Bid-Ask Spread %6.155.058.355.058.35
Gamma HHI0.170.140.360.140.17
Net GEX5.0M-3.8M13.2M4.2M7.5M
Net DEX-100.1M-130.4M-59.1M-119.7M-104.2M
Net VEX-945.9K-1.0M-887.0K-1.0M-951.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.115.970.511.16
Total Volume5,112.6361,80814,1332,6602,853
Total OI161,154.682121,492193,466179,581134,507

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$48.13$38.0017.2%6.5%14.8%14.2%23.5%1.8%1.6%4.2M-119.7M-1.0M0.515.05N/AN/A1,76689485,66893,913
2014-07-02$48.12$38.0015.4%6.5%14.7%2.7%22.4%1.4%2.2%4.3M-119.7M-1.0M0.495.81N/AN/A1,59077585,89893,943
2014-07-03$48.23$38.0013.6%6.5%14.7%0.0%0.0%1.6%2.2%4.7M-124.0M-1.0M0.365.61N/AN/A1,32947986,35494,376
2014-07-07$48.21$38.0017.7%6.5%14.5%23.2%25.2%2.4%2.1%5.5M-126.2M-972.4K2.025.75N/AN/A1,3792,79286,80294,236
2014-07-08$47.82$38.0018.4%6.5%14.7%27.5%23.4%2.6%2.1%2.5M-103.1M-968.9K0.185.82N/AN/A4,03174087,31296,457
2014-07-09$47.86$38.0016.9%6.5%14.7%18.6%25.4%2.5%2.0%2.5M-102.7M-958.5K1.026.48N/AN/A6,1076,25387,97896,831
2014-07-10$47.20$38.0017.9%6.5%14.6%24.3%23.1%2.4%1.9%-841.1K-59.1M-969.2K1.936.07N/AN/A3,5736,90789,84099,479
2014-07-11$47.44$38.0017.7%6.5%9.6%23.4%24.8%2.3%2.0%-3.8M-76.7M-949.4K5.975.52N/AN/A1,0926,51590,265103,201
2014-07-14$47.22$38.0017.3%6.5%9.8%21.0%23.8%2.3%2.1%2.3M-79.2M-910.3K2.466.02N/AN/A2,4886,12588,51595,738
2014-07-15$47.51$38.0016.5%6.5%9.9%16.4%23.9%2.1%2.4%6.1M-101.8M-887.0K0.745.74N/AN/A1,8151,34889,19593,821
2014-07-16$47.66$38.0016.4%6.4%9.5%16.1%22.3%1.9%2.4%7.8M-108.3M-893.0K0.775.29N/AN/A2,5481,97389,59794,628
2014-07-17$47.30$38.0017.6%6.4%10.1%22.7%23.5%1.9%2.0%5.2M-93.4M-894.2K0.846.13N/AN/A4,1343,48389,60593,850
2014-07-18$47.81$40.0016.4%6.4%10.6%15.7%22.3%2.1%2.5%13.2M-116.2M-938.0K0.156.39N/AN/A12,3121,82190,86995,891
2014-07-21$47.58$43.0016.1%6.3%10.9%13.8%23.4%1.8%3.4%5.4M-78.9M-927.7K0.336.45N/AN/A2,62087161,87259,620
2014-07-22$47.79$43.0015.5%6.3%10.9%10.7%24.4%2.4%3.6%5.4M-87.2M-940.1K0.265.65N/AN/A2,63069663,55260,086
2014-07-23$47.91$43.0015.5%6.3%10.6%10.7%22.0%2.3%3.5%5.7M-93.8M-931.0K0.216.61N/AN/A1,83339264,83160,464
2014-07-24$48.00$43.0015.6%6.4%10.5%11.5%24.1%2.0%3.4%6.0M-99.0M-929.4K1.186.04N/AN/A8461,00265,37060,557
2014-07-25$47.70$43.0015.9%6.4%10.2%12.8%20.6%2.3%3.1%6.1M-86.4M-953.0K1.526.20N/AN/A1,5622,37165,83460,904
2014-07-28$47.69$43.0016.4%6.4%10.1%15.7%21.3%1.9%2.8%6.2M-87.0M-938.1K0.385.52N/AN/A1,49556866,59762,468
2014-07-29$48.04$43.0016.6%6.4%9.5%16.8%22.1%2.2%3.0%6.3M-104.0M-942.3K0.116.93N/AN/A5,80164267,50862,660
2014-07-30$48.47$43.0016.7%6.4%10.0%17.8%22.5%2.3%2.9%8.0M-130.4M-930.2K0.307.90N/AN/A1,55547271,51762,794
2014-07-31$47.85$43.0018.0%6.5%11.1%25.2%22.3%2.6%2.8%7.5M-104.2M-951.7K1.168.35N/AN/A1,3191,53471,52462,983