LOW Options History — December 2014 In December 2014, LOW traded between $63.24 and $68.80. ATM implied volatility averaged 19.4%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.5% (HV 20d: 21.9%). Max pain ranged from $55.00 to $67.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.05.
Notable Days 2014-12-23 : Highest Volume — 19,860 contracts2014-12-08 : Largest IV spike — 27.3% change2014-12-10 : Highest IV Rank — 47.9%2014-12-16 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $66.11 $63.24 $68.80 $63.24 $68.80 Max Pain $58.57 $55.00 $67.50 $55.00 $67.50 ATM IV 19.4% 16.6% 24.3% 18.2% 17.5% Expected Move 5.8% 5.2% 6.8% 5.6% 5.2% HV 20d 21.9% 16.8% 27.6% 24.1% 16.8% HV 60d 20.4% 19.6% 21.0% 20.0% 20.8% IV Rank 25.8% 13.5% 47.9% 20.6% 17.2% IV Percentile 51.1% 19.8% 84.9% 41.7% 34.1% Term Structure 1.0% -0.2% 3.2% 0.1% 1.0% VWIV 21.3% 18.3% 25.2% 20.0% 18.6% Skew 25d 2.6% 1.3% 3.5% 1.6% 3.1% Skew 10d 6.4% 4.3% 9.7% 4.3% 7.0% Call IV 25d 18.2% 16.3% 21.8% 17.7% 17.2% Put IV 25d 20.7% 18.5% 25.2% 19.3% 20.3% Bid-Ask Spread % 15.99 8.75 22.01 16.09 8.75 Gamma HHI 0.27 0.21 0.31 0.30 0.22 Net GEX 8.0M 4.9M 10.3M 9.1M 5.3M Net DEX -493.2M -570.7M -428.4M -428.4M -490.7M Net VEX -772.5K -922.2K -645.2K -830.5K -656.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.05 0.13 10.02 0.42 1.06 Total Volume 11,439.591 2,530 19,860 9,044 8,444 Total OI 187,371.409 164,709 205,082 184,721 168,942
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-12-01 $63.24 $55.00 18.2% 5.6% 24.1% 20.6% 20.0% 1.6% 0.1% 9.1M -428.4M -830.5K 0.42 16.09 N/A N/A 6,381 2,663 94,459 90,262 2014-12-02 $63.97 $55.00 17.2% 5.5% 24.2% 16.0% 20.9% 2.0% 0.5% 8.9M -455.4M -829.6K 0.79 16.44 N/A N/A 3,774 2,967 94,794 90,564 2014-12-03 $64.33 $55.00 17.3% 5.5% 24.0% 16.6% 20.7% 1.3% 0.0% 8.6M -466.2M -820.1K 0.62 15.66 N/A N/A 4,790 2,971 94,896 91,410 2014-12-04 $64.55 $55.00 17.4% 5.6% 23.6% 17.0% 21.0% 1.3% 0.1% 9.1M -473.2M -820.9K 0.55 13.68 N/A N/A 3,909 2,142 95,441 92,074 2014-12-05 $64.74 $55.00 16.6% 5.6% 23.6% 13.5% 22.0% 2.4% 2.1% 9.6M -487.1M -803.1K 0.50 14.85 N/A N/A 5,276 2,660 98,183 93,823 2014-12-08 $66.08 $55.00 21.2% 5.9% 24.0% 33.8% 21.8% 2.0% 1.2% 8.1M -528.0M -745.2K 0.30 16.06 N/A N/A 12,206 3,604 98,199 94,210 2014-12-09 $65.83 $55.00 22.3% 5.9% 24.3% 38.9% 21.0% 2.4% 1.1% 10.2M -531.3M -799.3K 2.30 14.99 N/A N/A 5,428 12,466 102,540 94,936 2014-12-10 $65.14 $55.00 24.3% 6.3% 25.0% 47.9% 23.3% 2.5% 0.9% 10.0M -506.1M -822.9K 1.03 17.36 N/A N/A 7,545 7,766 102,613 94,953 2014-12-11 $65.64 $55.00 21.5% 6.3% 25.0% 35.3% 22.6% 2.4% 0.4% 9.6M -526.9M -815.4K 0.74 19.58 N/A N/A 9,714 7,210 104,062 97,484 2014-12-12 $64.88 $55.00 21.8% 6.6% 25.8% 36.6% 24.3% 2.9% 1.2% 10.1M -485.6M -884.1K 0.84 22.01 N/A N/A 5,212 4,400 105,662 98,362 2014-12-15 $65.38 $55.00 21.7% 6.7% 25.7% 36.4% 23.8% 2.7% 1.3% 10.3M -503.0M -871.4K 0.53 18.39 N/A N/A 7,088 3,722 106,375 98,352 2014-12-16 $64.29 $55.00 22.7% 6.8% 26.9% 40.6% 25.2% 3.4% 1.2% 9.2M -449.2M -922.2K 1.01 18.31 N/A N/A 4,205 4,238 105,294 99,318 2014-12-17 $65.98 $55.00 21.8% 6.7% 27.6% 36.5% 23.9% 2.9% 1.2% 9.8M -524.7M -855.6K 0.76 18.76 N/A N/A 6,223 4,701 105,815 99,267 2014-12-18 $66.61 $55.00 19.4% 6.3% 18.0% 25.9% 21.7% 2.8% 2.7% 9.1M -570.7M -717.1K 4.50 18.65 N/A N/A 2,563 11,530 105,046 99,032 2014-12-19 $66.90 $55.00 18.3% 6.1% 18.0% 20.8% 22.4% 3.5% 3.2% 8.6M -568.6M -747.1K 0.13 19.60 N/A N/A 4,201 533 105,046 99,315 2014-12-22 $67.82 $0.00 18.4% 5.5% 18.0% 21.4% 19.3% 2.5% 0.5% 4.9M -462.9M -691.2K 3.17 21.54 N/A N/A 3,687 11,672 83,939 80,770 2014-12-23 $67.94 $67.50 17.5% 5.3% 18.0% 17.5% 18.3% 2.7% 0.8% 5.0M -465.7M -667.6K 1.93 12.40 N/A N/A 6,783 13,077 83,768 81,600 2014-12-24 $67.51 $67.50 17.2% 5.3% 17.7% 16.2% 19.1% 3.1% 1.3% 5.4M -467.7M -704.6K 10.02 12.45 N/A N/A 1,269 12,714 85,809 81,648 2014-12-26 $67.65 $67.50 17.3% 5.3% 17.6% 16.6% 19.7% 2.7% 1.1% 5.5M -472.9M -689.2K 8.13 14.29 N/A N/A 1,564 12,713 85,889 81,673 2014-12-29 $68.68 $67.50 18.8% 5.4% 17.6% 23.0% 19.1% 3.2% -0.2% 5.1M -494.2M -656.4K 5.42 11.48 N/A N/A 2,355 12,775 86,255 81,887 2014-12-30 $68.55 $67.50 18.2% 5.4% 17.0% 20.4% 19.0% 2.9% 0.2% 5.3M -490.9M -645.2K 0.44 10.41 N/A N/A 1,762 768 85,957 82,247 2014-12-31 $68.80 $67.50 17.5% 5.2% 16.8% 17.2% 18.6% 3.1% 1.0% 5.3M -490.7M -656.0K 1.06 8.75 N/A N/A 4,100 4,344 86,234 82,708
« Nov 2014 | All History | Jan 2015 » Home LOW History December 2014