LOW Options History — May 2015

In May 2015, LOW traded between $68.42 and $73.76. ATM implied volatility averaged 20.7%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.1% (HV 20d: 23.8%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.91.

Notable Days

  • 2015-05-01: Highest Volume — 39,372 contracts
  • 2015-05-20: Largest IV drop — 20.1% change
  • 2015-05-13: Highest IV Rank — 46.9%
  • 2015-05-05: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.33$68.42$73.76$70.69$70.09
Max Pain$73.63$70.00$75.00$72.50$70.00
ATM IV20.7%17.3%24.1%22.9%18.1%
Expected Move6.3%5.0%7.3%6.6%5.2%
HV 20d23.8%20.2%28.4%20.7%26.4%
HV 60d19.9%18.4%21.7%18.6%21.6%
IV Rank31.6%16.5%46.9%41.7%20.0%
IV Percentile63.8%30.2%86.1%81.7%41.3%
Term Structure-1.0%-2.4%2.2%2.2%0.3%
VWIV22.5%17.9%29.4%24.8%18.7%
Skew 25d3.3%1.7%5.2%5.2%1.9%
Skew 10d7.2%3.7%11.3%11.3%4.9%
Call IV 25d20.5%16.9%23.7%20.6%17.4%
Put IV 25d23.8%19.1%28.0%25.8%19.4%
Bid-Ask Spread %8.795.3714.3011.6814.30
Gamma HHI0.180.120.330.190.18
Net GEX-1.9M-8.8M3.5M-8.8M-536.8K
Net DEX-55.7M-131.2M56.7M11.6M-49.8M
Net VEX-1.4M-1.5M-1.3M-1.4M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.474.533.491.09
Total Volume12,705.73,59439,37239,3724,069
Total OI143,238.05118,023152,606142,505151,081

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$70.69$72.5022.9%6.6%20.7%41.7%24.8%5.2%2.2%-8.8M11.6M-1.4M3.4911.68N/AN/A8,77730,59563,91178,594
2015-05-04$71.25$75.0022.3%7.2%20.9%39.0%25.9%4.0%-2.1%-5.1M-36.8M-1.4M2.219.87N/AN/A1,3152,90666,45775,176
2015-05-05$70.43$72.5022.3%7.3%20.6%38.7%29.4%4.3%-2.1%-6.2M-7.2M-1.4M2.338.99N/AN/A2,1064,90567,30274,817
2015-05-06$70.63$75.0022.5%7.2%20.2%39.8%23.7%4.3%-1.8%-6.3M-15.9M-1.3M4.329.87N/AN/A2,70611,67767,38275,264
2015-05-07$72.38$75.0020.3%6.9%22.3%29.8%24.3%4.3%-1.7%-3.8M-64.7M-1.5M2.348.44N/AN/A3,7608,78267,68581,830
2015-05-08$73.26$75.0018.5%6.7%22.5%21.7%24.3%4.2%-1.4%419.9K-105.1M-1.4M3.067.74N/AN/A1,7945,48267,23782,555
2015-05-11$73.22$75.0020.9%6.8%22.0%32.7%24.3%3.7%-1.7%-2.3M-99.8M-1.3M1.817.94N/AN/A1,4372,59867,27781,527
2015-05-12$73.76$75.0020.2%6.5%22.2%29.5%23.6%3.5%-1.6%3.5M-131.2M-1.4M1.098.36N/AN/A2,2622,47467,73481,568
2015-05-13$73.15$75.0024.1%6.9%22.3%46.9%25.4%3.7%-2.0%-568.1K-109.7M-1.3M1.169.83N/AN/A4,3085,00468,21281,341
2015-05-14$72.25$75.0023.4%6.7%22.4%44.0%25.6%4.0%-2.0%-5.1M-62.8M-1.4M1.447.74N/AN/A5,9798,61169,71382,893
2015-05-15$73.06$75.0022.5%6.4%21.5%39.6%22.8%3.8%-1.5%368.7K-111.4M-1.3M0.705.37N/AN/A7,9615,59169,02583,000
2015-05-18$73.06$75.0023.7%6.8%21.4%45.2%23.7%4.1%-2.4%556.5K-104.0M-1.4M1.298.80N/AN/A2,6173,37855,68362,340
2015-05-19$71.83$75.0023.5%6.7%22.0%44.4%23.7%2.9%-2.4%175.2K-69.9M-1.4M1.139.16N/AN/A12,48714,11857,28364,134
2015-05-20$68.42$75.0018.8%5.4%27.8%23.1%18.5%2.3%-0.1%-3.4M56.7M-1.3M1.558.83N/AN/A15,26223,65863,48369,675
2015-05-21$68.78$72.5017.4%5.0%27.8%16.8%18.3%2.6%0.3%-1.9M-354.3K-1.4M2.259.67N/AN/A3,6998,32668,48768,048
2015-05-22$69.60$72.5017.3%5.0%28.3%16.5%17.9%2.3%0.1%-357.1K-30.7M-1.4M0.846.69N/AN/A5,8914,97269,72769,083
2015-05-26$69.60$72.5018.2%5.2%27.7%20.3%19.1%1.7%0.2%30.4K-35.9M-1.5M4.538.32N/AN/A2,31110,47672,63471,821
2015-05-27$70.75$70.0018.3%5.2%28.4%20.9%17.9%1.9%-0.0%-359.0K-75.2M-1.5M0.477.57N/AN/A5,5962,63072,59177,196
2015-05-28$70.48$70.0018.3%5.2%27.8%20.8%19.2%1.9%0.3%699.2K-71.2M-1.5M1.166.66N/AN/A1,6631,93174,81976,176
2015-05-29$70.09$70.0018.1%5.2%26.4%20.0%18.7%1.9%0.3%-536.8K-49.8M-1.5M1.0914.30N/AN/A1,9482,12174,78476,297