LOW Options History — September 2015

In September 2015, LOW traded between $66.73 and $70.34. ATM implied volatility averaged 24.2%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 2.3% (HV 20d: 26.4%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2015-09-17: Highest Volume — 14,650 contracts
  • 2015-09-02: Largest IV drop — 19.2% change
  • 2015-09-01: Highest IV Rank — 70.7%
  • 2015-09-01: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.58$66.73$70.34$67.80$68.94
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV24.2%20.5%29.6%29.6%22.9%
Expected Move6.9%5.9%8.5%8.5%6.6%
HV 20d26.4%23.7%29.2%26.6%26.1%
HV 60d20.3%18.4%22.5%18.4%22.5%
IV Rank44.1%27.4%70.7%70.7%36.4%
IV Percentile78.9%52.4%98.0%98.0%68.7%
Term Structure1.2%-1.0%2.6%-1.0%2.5%
VWIV24.6%20.7%29.9%29.9%24.2%
Skew 25d5.4%4.2%6.4%6.4%5.3%
Skew 10d11.7%9.1%15.7%12.6%11.0%
Call IV 25d22.1%18.7%26.5%26.5%21.7%
Put IV 25d27.4%22.9%32.9%32.9%27.0%
Bid-Ask Spread %12.447.4519.499.1717.01
Gamma HHI0.140.110.260.110.14
Net GEX2.4M716.9K7.0M1.9M2.4M
Net DEX-44.4M-96.3M-1.6M-30.9M-56.8M
Net VEX-1.1M-1.2M-984.1K-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.326.060.740.65
Total Volume7,005.8572,19114,6505,6206,411
Total OI114,094.286104,535122,985110,705122,985

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$67.80$70.0029.6%8.5%26.6%70.7%29.9%6.4%-1.0%1.9M-30.9M-1.2M0.749.17N/AN/A3,2302,39059,95550,750
2015-09-02$68.93$70.0023.9%6.9%27.1%44.3%26.5%5.5%1.2%2.7M-55.2M-1.2M1.058.08N/AN/A2,1722,28160,49050,895
2015-09-03$69.21$70.0023.4%6.9%26.9%41.6%25.9%5.5%1.7%3.1M-63.8M-1.1M0.9013.73N/AN/A2,9032,61860,63850,836
2015-09-04$68.05$70.0026.4%7.5%27.6%55.9%25.4%5.8%0.6%2.4M-38.7M-1.1M1.0314.95N/AN/A2,8712,94860,89451,240
2015-09-08$69.31$70.0025.1%6.9%28.4%48.9%24.7%5.6%1.2%3.2M-62.1M-1.1M6.0615.99N/AN/A1,87811,38760,75952,167
2015-09-09$68.00$70.0025.3%7.2%29.2%49.7%23.3%5.7%0.9%1.2M-25.2M-1.1M0.558.10N/AN/A4,5892,51061,62854,078
2015-09-10$67.83$70.0025.3%7.3%29.1%50.1%26.0%5.6%0.6%1.2M-20.9M-1.1M0.959.65N/AN/A2,4992,37062,63754,406
2015-09-11$68.49$70.0025.0%7.2%26.5%48.4%24.4%5.3%0.9%1.6M-36.7M-1.1M0.537.45N/AN/A3,3631,78162,51954,907
2015-09-14$68.09$70.0025.0%7.2%26.1%48.7%26.3%5.9%0.8%1.0M-21.2M-1.0M0.849.63N/AN/A2,4142,01663,58255,010
2015-09-15$69.44$70.0022.7%6.5%27.1%37.6%23.6%5.5%1.6%3.3M-63.1M-1.1M0.9810.82N/AN/A1,1071,08462,89055,101
2015-09-16$70.06$70.0021.5%6.2%27.2%32.0%22.5%5.3%1.7%4.7M-88.4M-1.0M0.5510.63N/AN/A5,5243,04463,41855,319
2015-09-17$70.34$70.0020.5%5.9%26.2%27.4%20.7%4.2%2.1%7.0M-96.3M-1.0M0.3211.58N/AN/A11,0913,55963,43355,662
2015-09-18$68.25$70.0022.8%6.5%27.7%38.1%21.9%4.8%0.9%2.2M-27.9M-984.1K1.439.59N/AN/A3,4514,95067,02355,832
2015-09-21$69.40$70.0020.8%6.0%27.0%28.9%21.5%5.3%2.6%2.3M-63.0M-1.0M0.528.86N/AN/A4,4562,30955,57648,959
2015-09-22$68.13$70.0024.2%6.9%24.9%42.8%25.1%5.2%1.4%1.4M-32.1M-1.0M0.6310.94N/AN/A2,8601,80457,24849,856
2015-09-23$68.78$70.0021.3%6.1%24.2%28.8%22.6%4.8%2.0%2.0M-49.3M-1.0M0.5714.97N/AN/A3,3451,91757,74750,424
2015-09-24$68.53$70.0024.2%6.9%23.8%43.0%23.0%5.0%1.2%1.9M-36.9M-1.0M0.3717.19N/AN/A5,6202,06958,97850,895
2015-09-25$68.72$70.0024.1%6.9%23.7%42.1%23.2%4.6%1.3%2.6M-54.6M-1.0M1.0917.64N/AN/A1,9622,13959,71451,164
2015-09-28$67.18$70.0026.9%7.7%24.9%56.1%27.2%5.6%0.1%716.9K-7.3M-1.0M0.6319.49N/AN/A5,5613,51959,84652,023
2015-09-29$66.73$70.0026.5%7.6%24.5%53.8%28.3%5.8%0.8%1.0M-1.6M-1.0M3.1615.78N/AN/A3,1529,96962,12352,373
2015-09-30$68.94$70.0022.9%6.6%26.1%36.4%24.2%5.3%2.5%2.4M-56.8M-1.1M0.6517.01N/AN/A3,8772,53463,23059,755