LOW Options History — August 2015

In August 2015, LOW traded between $67.67 and $74.37. ATM implied volatility averaged 24.9%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.0% (HV 20d: 17.9%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2015-08-18: Highest Volume — 42,020 contracts
  • 2015-08-24: Largest IV spike — 33.2% change
  • 2015-08-24: Highest IV Rank — 78.1%
  • 2015-08-24: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.23$67.67$74.37$68.91$69.32
Max Pain$68.81$67.50$70.00$67.50$70.00
ATM IV24.9%17.4%31.2%22.7%25.1%
Expected Move6.8%5.0%8.9%6.5%7.2%
HV 20d17.9%12.8%25.5%14.1%25.5%
HV 60d16.4%14.2%18.1%16.7%18.1%
IV Rank49.1%14.4%78.1%39.1%50.2%
IV Percentile83.4%22.2%99.6%79.4%89.7%
Term Structure-1.7%-3.8%0.6%-3.5%-0.6%
VWIV24.5%19.1%35.3%24.2%28.3%
Skew 25d4.0%2.4%8.2%3.4%5.6%
Skew 10d9.2%5.0%24.9%7.2%13.5%
Call IV 25d22.5%16.9%29.4%22.4%24.0%
Put IV 25d26.5%19.5%37.6%25.7%29.6%
Bid-Ask Spread %9.285.2814.517.397.46
Gamma HHI0.210.110.330.260.12
Net GEX4.4M1.6M13.5M1.6M2.8M
Net DEX-140.9M-362.1M-34.7M-62.3M-63.8M
Net VEX-1.2M-1.3M-1.1M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.401.570.401.06
Total Volume11,502.0481,70142,0203,0065,124
Total OI137,342.381104,985168,018131,968110,111

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$68.91$67.5022.7%6.5%14.1%39.1%24.2%3.4%-3.5%1.6M-62.3M-1.2M0.407.39N/AN/A2,14086664,41067,558
2015-08-04$69.29$67.5022.9%6.6%13.3%40.0%23.6%3.5%-3.6%1.8M-79.9M-1.2M0.775.60N/AN/A4,8873,74664,33567,828
2015-08-05$69.97$67.5023.6%6.8%13.0%43.1%23.7%3.0%-3.6%3.2M-116.8M-1.2M0.485.28N/AN/A6,8013,28365,58468,897
2015-08-06$69.36$67.5024.2%5.8%13.4%46.1%20.7%3.5%-0.2%2.5M-88.1M-1.2M0.599.75N/AN/A8,0014,75667,41469,918
2015-08-07$69.50$67.5026.4%5.9%13.0%56.2%20.6%3.3%-0.7%3.6M-103.2M-1.3M0.698.58N/AN/A5,1983,60571,14571,952
2015-08-10$69.52$67.5028.4%5.9%12.8%65.1%21.1%2.9%-0.9%3.7M-108.9M-1.2M1.008.86N/AN/A4,0884,07572,60873,277
2015-08-11$69.42$67.5030.1%6.1%12.8%73.1%21.5%3.1%-1.1%3.7M-99.8M-1.2M1.1910.04N/AN/A77692572,86673,242
2015-08-12$68.96$67.5022.1%6.3%13.1%36.2%22.5%3.1%-1.5%2.2M-75.4M-1.2M1.577.00N/AN/A4,3706,84172,82973,642
2015-08-13$71.32$67.5022.8%6.5%17.6%39.6%23.2%2.4%-1.8%5.0M-190.6M-1.2M0.539.49N/AN/A14,4077,68473,26075,741
2015-08-14$72.12$67.5023.0%6.6%17.2%40.6%23.3%2.4%-2.1%8.1M-243.7M-1.2M0.459.24N/AN/A7,2923,31179,13076,507
2015-08-17$72.47$70.0023.3%6.7%16.1%41.6%24.0%2.7%-2.3%8.3M-254.6M-1.2M1.129.12N/AN/A5,5356,19979,55077,070
2015-08-18$72.96$70.0023.1%6.6%15.8%40.6%23.0%2.6%-2.1%9.3M-286.4M-1.1M1.027.83N/AN/A20,78521,23579,53278,814
2015-08-19$74.37$70.0017.4%5.0%16.2%14.4%19.1%2.6%0.6%13.5M-362.1M-1.1M0.8711.93N/AN/A10,9219,52183,29084,728
2015-08-20$73.38$70.0020.5%5.9%17.5%28.9%20.6%2.8%-0.3%7.6M-320.6M-1.1M1.309.11N/AN/A5,9567,72081,21685,388
2015-08-21$71.35$70.0023.4%6.7%20.6%42.2%24.0%4.2%-0.9%3.3M-247.4M-1.1M0.7411.82N/AN/A8,9756,60880,81285,360
2015-08-24$68.89$70.0031.2%8.9%24.5%78.1%35.3%8.2%-3.8%2.4M-53.7M-1.2M0.7714.51N/AN/A5,0793,90357,05547,930
2015-08-25$67.67$70.0030.6%8.8%25.1%75.4%31.7%7.3%-2.5%1.9M-34.7M-1.1M0.8014.37N/AN/A3,3842,70957,01348,120
2015-08-26$68.60$70.0029.5%8.5%25.1%70.3%30.9%6.0%-2.6%2.6M-57.6M-1.2M1.359.80N/AN/A3,8085,13659,13548,871
2015-08-27$68.95$70.0025.1%7.2%25.1%50.3%28.7%6.4%-0.6%2.7M-61.9M-1.2M1.248.80N/AN/A2,6463,29159,21449,217
2015-08-28$68.44$70.0027.4%7.9%25.1%60.6%25.1%5.4%-1.1%2.3M-47.2M-1.2M1.298.96N/AN/A2,6033,35359,56250,059
2015-08-31$69.32$70.0025.1%7.2%25.5%50.2%28.3%5.6%-0.6%2.8M-63.8M-1.2M1.067.46N/AN/A2,4912,63359,68550,426