LOW Options History — November 2014

In November 2014, LOW traded between $56.94 and $63.83. ATM implied volatility averaged 22.4%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.2% (HV 20d: 19.2%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.60.

Notable Days

  • 2014-11-17: Highest Volume — 53,939 contracts
  • 2014-11-19: Largest IV drop — 29.2% change
  • 2014-11-12: Highest IV Rank — 76.5%
  • 2014-11-18: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.83$56.94$63.83$57.47$63.83
Max Pain$52.89$50.00$55.00$52.50$55.00
ATM IV22.4%15.4%30.7%25.6%15.9%
Expected Move5.8%5.3%6.0%6.0%5.3%
HV 20d19.2%11.4%23.8%21.6%23.8%
HV 60d17.1%15.0%19.9%15.8%19.9%
IV Rank39.4%8.0%76.5%53.5%10.3%
IV Percentile62.7%6.3%99.2%92.5%9.1%
Term Structure-1.3%-4.6%1.4%-4.6%0.6%
VWIV21.8%19.0%25.9%21.4%19.6%
Skew 25d2.7%1.4%3.6%3.1%1.9%
Skew 10d6.7%4.7%8.8%8.8%6.1%
Call IV 25d20.0%15.2%25.0%24.6%16.0%
Put IV 25d22.7%16.6%28.5%27.7%17.9%
Bid-Ask Spread %12.436.1723.378.7517.40
Gamma HHI0.370.230.770.350.27
Net GEX13.7M4.4M65.0M4.4M9.3M
Net DEX-349.3M-678.5M-209.8M-223.7M-448.6M
Net VEX-877.3K-987.1K-714.4K-909.4K-829.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.031.270.821.10
Total Volume15,0894,62353,9397,8074,719
Total OI166,593139,714224,437139,714183,028

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$57.47$52.5025.6%6.0%21.6%53.5%21.4%3.1%-4.6%4.4M-223.7M-909.4K0.828.75N/AN/A4,2823,52566,99572,719
2014-11-04$57.25$52.5025.7%6.0%21.4%54.2%23.0%3.1%-4.5%4.7M-212.8M-972.1K0.597.92N/AN/A3,3511,98767,69172,741
2014-11-05$56.94$52.5025.3%5.9%20.4%52.2%24.0%3.6%-4.4%4.6M-209.8M-937.4K0.857.54N/AN/A3,3472,85367,80572,704
2014-11-06$57.61$52.5025.8%6.0%20.3%54.6%23.6%3.5%-4.6%4.5M-229.1M-903.5K0.766.17N/AN/A3,8332,90967,99273,541
2014-11-07$57.58$52.5026.2%5.9%20.1%56.3%25.9%3.1%-0.7%4.5M-223.6M-945.1K0.347.96N/AN/A6,1892,13068,36373,973
2014-11-10$57.86$52.5028.6%5.9%17.5%67.1%22.5%3.2%-1.0%5.1M-242.8M-877.1K0.477.57N/AN/A4,1651,96369,81974,188
2014-11-11$57.97$50.0029.1%5.9%17.5%69.4%24.5%3.3%-1.1%4.8M-255.1M-923.1K0.628.03N/AN/A3,1191,93172,81474,082
2014-11-12$58.27$52.5030.7%5.9%13.6%76.5%21.3%3.3%-1.0%5.5M-261.6M-835.4K0.469.99N/AN/A6,5902,99970,80074,421
2014-11-13$58.57$52.5021.9%5.8%13.6%36.9%20.9%3.4%-1.6%5.2M-263.1M-909.3K1.2712.16N/AN/A4,0415,12372,61375,390
2014-11-14$58.58$52.5023.5%5.9%12.6%44.1%22.9%2.9%-2.4%5.1M-262.7M-923.1K0.0321.37N/AN/A6,42018972,96677,702
2014-11-17$58.88$52.5025.0%5.9%11.6%50.9%23.8%2.5%-3.2%6.6M-290.3M-891.1K0.1823.13N/AN/A45,7768,16378,30877,753
2014-11-18$58.49$52.5024.4%6.0%11.4%48.3%21.5%2.0%-2.5%16.0M-308.5M-987.1K0.5323.37N/AN/A23,90412,620114,69481,721
2014-11-19$62.26$52.5017.3%5.5%23.2%16.3%20.5%2.2%0.5%46.7M-594.6M-782.4K0.6014.71N/AN/A21,96513,085126,90988,837
2014-11-20$62.43$52.5016.3%5.5%22.9%12.1%20.6%2.2%1.1%65.0M-588.9M-934.5K0.5410.72N/AN/A11,3016,090130,11992,532
2014-11-21$63.25$52.5016.9%5.6%23.0%14.5%20.1%2.5%0.8%35.1M-678.5M-747.4K0.4712.65N/AN/A15,3597,285130,55993,878
2014-11-24$63.64$55.0016.6%5.6%22.9%13.1%19.0%2.4%0.8%10.3M-462.2M-793.2K0.6311.86N/AN/A2,8301,79393,76080,468
2014-11-25$63.04$55.0016.0%5.5%23.6%10.6%20.1%2.0%1.2%11.4M-461.8M-714.4K0.5111.80N/AN/A15,9648,13594,57480,873
2014-11-26$62.86$55.0015.4%5.4%23.6%8.0%19.6%1.4%1.4%11.3M-419.4M-853.8K0.5813.12N/AN/A10,5886,16894,04783,888
2014-11-28$63.83$55.0015.9%5.3%23.8%10.3%19.6%1.9%0.6%9.3M-448.6M-829.8K1.1017.40N/AN/A2,2492,47094,27188,757