LOW Options History — August 2014

In August 2014, LOW traded between $47.59 and $52.70. ATM implied volatility averaged 17.4%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.7% (HV 20d: 15.8%). Max pain ranged from $43.00 to $57.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2014-08-19: Highest Volume — 52,353 contracts
  • 2014-08-14: Largest IV spike — 38.9% change
  • 2014-08-19: Highest IV Rank — 54.7%
  • 2014-08-07: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.53$47.59$52.70$47.59$52.51
Max Pain$45.95$43.00$57.50$43.00$48.00
ATM IV17.4%14.2%23.2%18.6%14.3%
Expected Move6.2%5.5%6.8%6.6%5.5%
HV 20d15.8%10.7%18.2%11.2%16.6%
HV 60d15.2%14.6%16.4%15.4%14.6%
IV Rank21.7%3.5%54.7%28.5%3.7%
IV Percentile22.2%0.4%83.3%26.2%0.8%
Term Structure-0.4%-3.3%2.9%2.9%1.4%
VWIV22.3%18.0%26.1%24.5%19.4%
Skew 25d2.6%1.4%3.5%3.4%2.0%
Skew 10d6.2%3.0%8.7%7.1%4.9%
Call IV 25d18.4%14.3%22.6%18.1%14.3%
Put IV 25d21.0%16.0%24.9%21.4%16.3%
Bid-Ask Spread %8.295.4823.307.638.73
Gamma HHI0.210.160.290.170.22
Net GEX7.1M5.6M9.1M7.3M5.6M
Net DEX-181.1M-228.2M-91.2M-91.2M-211.4M
Net VEX-946.4K-1.0M-899.5K-963.1K-906.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.043.190.960.95
Total Volume10,388.811,02852,3539,3882,474
Total OI152,523.524135,208163,874135,208163,874

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$47.59$43.0018.6%6.6%11.2%28.5%24.5%3.4%2.9%7.3M-91.2M-963.1K0.967.63N/AN/A4,7804,60871,84663,362
2014-08-04$47.91$43.0018.2%6.6%11.5%25.9%24.4%3.0%-1.2%8.2M-106.5M-992.0K0.626.75N/AN/A77148075,11467,073
2014-08-05$47.64$43.0018.8%6.6%11.3%29.4%24.4%3.3%-1.4%8.0M-94.8M-1.0M0.666.76N/AN/A61841075,42167,283
2014-08-06$48.10$43.0018.7%6.7%11.8%28.9%25.2%3.4%-1.4%8.8M-113.7M-991.3K0.047.09N/AN/A8,52030175,85267,409
2014-08-07$47.92$43.0018.4%6.8%10.7%27.3%23.6%3.4%-1.4%7.9M-101.3M-1.0M0.716.47N/AN/A7,9925,68376,07067,501
2014-08-08$49.72$43.0016.9%6.7%16.7%18.6%23.8%3.2%-1.2%7.6M-183.0M-994.7K0.337.71N/AN/A8,8092,92977,91871,060
2014-08-11$49.86$43.0017.2%6.6%16.5%20.3%25.4%3.5%-1.3%8.0M-193.4M-983.3K0.707.84N/AN/A2,3941,67780,23872,647
2014-08-12$49.83$43.0016.4%6.6%16.4%16.1%26.1%3.3%-1.4%8.2M-191.4M-985.5K3.196.49N/AN/A8042,56880,70973,516
2014-08-13$49.85$43.0015.2%6.6%16.5%8.7%24.1%3.2%-1.4%8.2M-192.9M-964.4K1.436.39N/AN/A1,3271,90080,62675,012
2014-08-14$50.41$43.0021.0%6.5%16.3%42.4%22.4%3.0%-1.2%6.2M-216.5M-923.1K2.016.48N/AN/A6921,38879,78574,671
2014-08-15$50.00$43.0021.8%6.5%16.5%46.9%26.0%3.3%-2.1%9.1M-197.2M-941.6K0.1023.30N/AN/A13,6821,35879,84275,402
2014-08-18$50.45$0.0022.8%6.0%16.5%52.2%19.7%2.9%-2.6%6.6M-178.1M-945.9K0.3012.96N/AN/A13,4364,02174,40569,424
2014-08-19$51.52$57.5023.2%5.8%17.7%54.7%20.6%1.9%-3.3%6.3M-213.0M-930.4K0.3110.05N/AN/A39,96412,38975,94471,507
2014-08-20$52.33$52.5016.4%5.7%18.2%15.6%21.5%1.4%0.5%7.3M-224.3M-904.6K0.645.48N/AN/A16,05710,30778,21178,855
2014-08-21$52.67$48.0014.8%5.6%18.2%6.6%19.1%1.6%1.2%7.0M-228.2M-901.4K0.255.76N/AN/A19,7614,86776,95281,116
2014-08-22$52.53$48.0014.8%5.6%17.9%6.9%19.6%1.7%1.1%5.7M-208.0M-909.9K1.027.52N/AN/A2,0982,14575,73081,976
2014-08-25$52.70$48.0015.0%5.6%17.8%8.0%20.2%2.1%1.1%6.2M-218.4M-905.0K1.887.70N/AN/A2,0513,86376,42882,415
2014-08-26$52.58$48.0014.6%5.6%18.0%5.7%20.3%1.8%1.1%5.7M-213.2M-906.0K0.776.42N/AN/A3,0752,36977,14984,472
2014-08-27$52.52$48.0014.6%5.6%18.0%5.3%18.0%1.9%0.9%5.7M-211.7M-913.3K0.888.19N/AN/A1,1641,02978,07484,544
2014-08-28$52.54$48.0014.2%5.5%16.9%3.5%20.4%1.7%1.4%5.9M-214.8M-899.5K0.558.33N/AN/A2,1941,21078,58584,976
2014-08-29$52.51$48.0014.3%5.5%16.6%3.7%19.4%2.0%1.4%5.6M-211.4M-906.3K0.958.73N/AN/A1,2691,20578,75285,122