LOW Options History — January 2015

In January 2015, LOW traded between $66.08 and $70.44. ATM implied volatility averaged 21.0%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 2.9% (HV 20d: 23.9%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2015-01-15: Highest Volume — 39,055 contracts
  • 2015-01-05: Largest IV spike — 19.4% change
  • 2015-01-06: Highest IV Rank — 47.7%
  • 2015-01-14: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.20$66.08$70.44$67.78$67.89
Max Pain$65.88$65.00$67.50$67.50$65.00
ATM IV21.0%17.9%24.3%19.0%22.8%
Expected Move6.0%5.1%6.6%5.5%6.5%
HV 20d23.9%18.0%28.9%18.0%28.9%
HV 60d22.0%21.0%23.8%21.0%23.8%
IV Rank33.0%19.3%47.7%23.9%40.9%
IV Percentile65.2%38.1%84.5%54.4%76.6%
Term Structure2.2%-0.5%4.2%-0.5%2.9%
VWIV21.2%18.5%24.4%19.1%22.1%
Skew 25d3.5%2.5%4.1%2.5%3.7%
Skew 10d7.5%6.1%8.5%8.5%6.1%
Call IV 25d19.6%17.0%22.2%18.1%21.1%
Put IV 25d23.1%20.3%25.6%20.7%24.8%
Bid-Ask Spread %11.496.7617.1513.3311.93
Gamma HHI0.270.220.360.220.24
Net GEX4.7M2.0M6.5M5.2M3.4M
Net DEX-325.1M-520.5M-120.1M-460.1M-164.0M
Net VEX-982.2K-1.1M-768.7K-768.7K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.243.253.250.47
Total Volume10,308.52,35339,05513,6598,210
Total OI146,296.690,371205,498172,886104,277

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$67.78$67.5019.0%5.5%18.0%23.9%19.1%2.5%-0.5%5.2M-460.1M-768.7K3.2513.33N/AN/A3,21210,44787,61385,273
2015-01-05$66.08$67.5022.7%6.1%20.6%40.4%21.3%3.4%1.4%5.4M-406.3M-820.0K1.5712.10N/AN/A2,3663,72487,57786,536
2015-01-06$66.23$67.5024.3%6.4%20.6%47.7%21.8%3.8%1.3%5.5M-413.7M-812.4K0.8313.33N/AN/A7,2036,01188,08487,645
2015-01-07$68.20$67.5021.8%6.2%21.9%36.5%21.4%4.0%1.2%5.2M-472.6M-925.8K0.3413.59N/AN/A4,3261,48492,69491,866
2015-01-08$69.51$67.5019.1%5.7%22.6%24.6%19.8%3.9%2.1%4.8M-519.4M-886.2K1.649.30N/AN/A5,2318,55894,61692,413
2015-01-09$68.34$67.5020.5%6.0%23.2%30.9%20.5%3.5%2.1%5.3M-489.3M-953.1K2.689.21N/AN/A3,5799,60695,78692,855
2015-01-12$67.98$67.5022.5%6.3%23.3%39.8%22.7%4.1%1.3%5.5M-480.1M-957.0K0.7612.04N/AN/A13,63210,38296,92795,178
2015-01-13$67.77$65.0023.4%6.2%22.8%43.8%21.6%3.7%1.8%6.5M-520.5M-1.0M1.9114.25N/AN/A4,2948,189107,21598,283
2015-01-14$67.39$65.0022.9%6.6%22.9%41.6%24.4%3.8%1.1%5.9M-479.6M-1.0M3.2110.11N/AN/A3,18010,196104,40399,269
2015-01-15$66.31$65.0022.6%6.5%22.8%40.4%23.9%3.4%1.1%5.8M-435.3M-1.1M0.248.00N/AN/A31,5937,462103,970100,874
2015-01-16$67.99$65.0021.8%6.2%22.7%36.5%22.2%3.6%2.0%5.7M-169.7M-1.1M0.3211.95N/AN/A3,6851,19654,614101,321
2015-01-20$66.52$65.0021.3%6.1%23.9%34.5%22.1%3.4%2.5%2.0M-120.1M-1.0M1.307.44N/AN/A1,0211,33248,49841,873
2015-01-21$67.32$65.0020.7%5.9%24.3%31.9%21.3%3.5%2.7%2.5M-139.3M-1.0M0.8610.76N/AN/A2,8822,49348,87342,392
2015-01-22$69.58$65.0018.3%5.2%26.5%20.9%19.9%3.4%3.6%3.8M-197.2M-1.0M0.6812.43N/AN/A3,3082,23851,44544,148
2015-01-23$69.69$65.0017.9%5.1%26.5%19.3%18.5%2.9%3.8%4.0M-204.8M-992.4K0.9211.14N/AN/A2,8162,57752,25344,727
2015-01-26$70.44$65.0018.4%5.3%26.6%21.3%19.5%3.2%4.2%4.4M-218.6M-1.0M1.656.76N/AN/A1,3452,21652,74945,684
2015-01-27$69.85$65.0019.3%5.5%26.8%25.5%19.7%3.2%3.4%4.2M-202.5M-1.1M0.5911.23N/AN/A2,7701,63753,38846,575
2015-01-28$69.26$65.0020.2%5.8%26.6%29.4%21.7%3.3%3.4%4.1M-195.5M-1.1M0.8417.15N/AN/A3,0142,53754,75346,490
2015-01-29$69.96$65.0020.6%5.9%26.8%31.1%21.3%3.0%3.5%4.5M-214.3M-1.1M0.6313.70N/AN/A3,8122,40655,57647,219
2015-01-30$67.89$65.0022.8%6.5%28.9%40.9%22.1%3.7%2.9%3.4M-164.0M-1.1M0.4711.93N/AN/A5,5732,63756,52947,748