LOW Options History — October 2015

In October 2015, LOW traded between $68.81 and $74.15. ATM implied volatility averaged 22.0%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.1% (HV 20d: 23.1%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2015-10-22: Highest Volume — 9,787 contracts
  • 2015-10-13: Largest IV spike — 24.1% change
  • 2015-10-27: Highest IV Rank — 60.6%
  • 2015-10-27: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.69$68.81$74.15$68.81$73.94
Max Pain$69.43$67.50$70.00$70.00$70.00
ATM IV22.0%17.9%25.0%23.1%23.2%
Expected Move6.5%6.0%7.2%6.6%6.6%
HV 20d23.1%15.9%26.6%25.4%15.9%
HV 60d23.3%22.4%23.6%22.4%23.3%
IV Rank37.6%12.1%60.6%37.2%49.1%
IV Percentile60.9%14.7%86.5%70.2%74.6%
Term Structure-1.2%-3.0%2.9%2.6%-2.6%
VWIV22.9%20.2%25.3%24.4%23.7%
Skew 25d4.7%3.6%5.7%5.7%3.6%
Skew 10d9.9%7.7%12.1%10.6%8.0%
Call IV 25d21.0%19.6%22.6%22.1%22.6%
Put IV 25d25.8%24.1%27.8%27.8%26.2%
Bid-Ask Spread %12.388.4917.8517.8510.52
Gamma HHI0.220.140.360.140.21
Net GEX6.9M2.5M10.1M2.5M7.9M
Net DEX-161.9M-227.9M-55.0M-55.0M-171.6M
Net VEX-992.7K-1.1M-913.3K-1.1M-913.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.281.270.840.37
Total Volume6,291.6822,7569,7874,1737,762
Total OI116,308.31899,638128,232123,934107,962

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$68.81$70.0023.1%6.6%25.4%37.2%24.4%5.7%2.6%2.5M-55.0M-1.1M0.8417.85N/AN/A2,2741,89964,21559,719
2015-10-02$70.13$70.0022.2%6.4%26.3%33.2%23.5%5.7%2.9%4.3M-99.2M-1.1M1.2716.30N/AN/A2,3092,93364,46359,591
2015-10-05$71.77$67.5019.7%6.7%26.6%21.0%24.0%5.4%-0.9%6.0M-151.1M-1.1M0.789.95N/AN/A1,5501,20664,64759,312
2015-10-06$71.10$67.5023.2%7.1%26.2%38.0%25.3%5.2%-1.5%5.4M-128.7M-1.1M0.969.59N/AN/A2,4912,39065,40259,875
2015-10-07$71.59$67.5019.5%6.6%25.2%20.1%24.8%5.3%-1.0%5.9M-147.7M-1.1M1.2613.47N/AN/A2,0042,52565,43960,006
2015-10-08$73.16$67.5020.6%6.6%26.0%25.1%24.2%5.0%-0.9%6.8M-200.9M-1.1M1.1112.09N/AN/A2,4012,65965,64860,002
2015-10-09$73.16$67.5019.4%6.5%25.9%19.3%22.8%5.3%-1.1%7.2M-205.3M-993.9K0.9014.08N/AN/A2,6902,42665,66360,448
2015-10-12$73.77$70.0017.9%6.0%25.7%12.1%22.3%4.4%-0.8%7.7M-227.9M-948.8K0.9510.42N/AN/A2,5272,40566,06660,809
2015-10-13$72.94$70.0022.2%6.4%25.6%33.1%22.9%5.3%-1.1%7.6M-198.9M-999.0K0.6811.72N/AN/A3,3732,28966,09261,083
2015-10-14$71.94$70.0022.4%6.4%26.1%34.3%23.7%5.1%-1.3%7.2M-167.6M-975.0K0.7213.38N/AN/A4,7163,38266,42661,495
2015-10-15$72.72$70.0021.9%6.3%26.3%31.7%23.1%5.1%-1.2%8.6M-186.9M-998.7K0.9110.68N/AN/A2,5432,31866,01562,217
2015-10-16$72.79$70.0021.7%6.2%23.5%39.9%20.2%5.0%-1.1%10.1M-201.4M-945.6K0.2812.18N/AN/A7,3692,04666,03262,175
2015-10-19$73.35$70.0022.4%6.4%23.0%44.0%20.8%4.3%-1.7%6.3M-155.5M-924.9K0.299.27N/AN/A5,5901,60351,44648,192
2015-10-20$72.68$70.0022.7%6.5%22.1%45.9%20.9%4.5%-1.7%6.6M-136.0M-938.5K0.328.49N/AN/A4,5871,48052,46348,703
2015-10-21$72.65$70.0022.4%6.4%22.0%44.3%21.4%4.2%-1.5%6.5M-135.1M-933.4K0.3514.04N/AN/A4,3211,49452,25349,191
2015-10-22$73.35$70.0022.5%6.4%22.0%44.9%21.5%3.7%-1.5%7.2M-153.7M-924.9K0.3513.31N/AN/A7,2382,54953,02049,419
2015-10-23$73.56$70.0022.9%6.6%22.0%47.5%21.5%5.0%-1.6%7.0M-153.7M-991.8K0.4814.97N/AN/A5,2362,51853,94750,560
2015-10-26$74.15$70.0022.9%6.6%19.7%47.8%22.9%4.3%-2.5%7.4M-176.6M-929.5K0.3111.24N/AN/A6,0951,86454,59950,842
2015-10-27$73.60$70.0025.0%7.2%19.8%60.6%22.4%4.4%-3.0%7.5M-158.5M-991.4K0.4214.73N/AN/A5,3912,23855,94451,055
2015-10-28$74.03$70.0023.5%6.7%16.9%51.2%24.3%4.0%-2.5%8.0M-175.8M-941.8K0.4912.62N/AN/A4,6862,30656,46051,898
2015-10-29$73.92$70.0022.7%6.5%16.9%46.3%23.2%3.8%-2.2%8.2M-173.8M-917.3K0.3711.39N/AN/A4,9041,83056,28151,708
2015-10-30$73.94$70.0023.2%6.6%15.9%49.1%23.7%3.6%-2.6%7.9M-171.6M-913.3K0.3710.52N/AN/A5,6612,10156,04751,915