LOW Options History — November 2015

In November 2015, LOW traded between $70.00 and $77.61. ATM implied volatility averaged 24.0%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.8% (HV 20d: 18.2%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2015-11-17: Highest Volume — 55,753 contracts
  • 2015-11-11: Largest IV drop — 30.2% change
  • 2015-11-10: Highest IV Rank — 100.0%
  • 2015-11-13: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.08$70.00$77.61$73.81$76.60
Max Pain$73.13$70.00$75.00$70.00$75.00
ATM IV24.0%17.8%33.2%24.1%18.9%
Expected Move6.5%5.1%8.6%6.9%5.4%
HV 20d18.2%12.0%24.1%14.0%24.1%
HV 60d22.8%22.1%23.6%23.3%22.2%
IV Rank50.6%13.3%100.0%55.4%18.3%
IV Percentile66.8%13.5%100.0%82.5%30.6%
Term Structure-1.4%-5.0%0.7%-3.5%-0.1%
VWIV22.5%18.4%29.0%24.9%19.6%
Skew 25d3.9%2.4%5.7%4.4%2.6%
Skew 10d8.2%5.4%14.3%8.7%6.3%
Call IV 25d20.9%16.8%27.8%23.2%18.4%
Put IV 25d24.8%19.4%32.5%27.6%21.0%
Bid-Ask Spread %9.486.3516.908.989.41
Gamma HHI0.250.170.340.210.34
Net GEX13.7M4.7M24.8M8.5M21.6M
Net DEX-215.7M-404.8M-54.9M-172.5M-317.6M
Net VEX-956.2K-1.0M-897.7K-897.7K-980.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.262.750.401.09
Total Volume13,204.72,61555,7537,7908,870
Total OI131,468.7109,762164,679109,762152,732

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$73.81$70.0024.1%6.9%14.0%55.4%24.9%4.4%-3.5%8.5M-172.5M-897.7K0.408.98N/AN/A5,5592,23157,43252,330
2015-11-03$73.98$70.0024.6%7.1%13.4%58.2%26.0%4.3%-4.1%9.3M-178.6M-909.0K0.528.76N/AN/A3,8632,02159,06652,608
2015-11-04$73.13$70.0026.5%7.6%14.1%70.5%27.2%4.0%-5.0%8.8M-151.0M-925.9K0.8710.98N/AN/A3,2712,83959,69153,432
2015-11-05$73.63$75.0027.1%6.3%12.0%74.3%22.0%4.0%-1.0%9.2M-167.3M-912.2K1.087.76N/AN/A2,3582,54160,06253,831
2015-11-06$73.14$75.0026.9%6.2%12.3%72.8%21.2%4.0%-0.9%8.8M-142.2M-940.8K2.758.22N/AN/A1,2673,48959,75054,104
2015-11-09$72.02$75.0030.8%6.4%13.0%97.7%21.9%4.0%-1.2%7.3M-105.1M-914.1K1.159.83N/AN/A1,2171,39859,46056,061
2015-11-10$73.29$75.0033.2%6.6%14.0%100.0%21.4%4.0%-1.7%8.6M-150.0M-924.5K0.769.29N/AN/A6,3444,82960,35155,886
2015-11-11$72.90$75.0023.2%6.6%13.2%43.6%21.9%3.4%-2.0%9.1M-151.2M-926.7K0.7616.90N/AN/A6,3814,82962,40955,923
2015-11-12$72.66$75.0025.0%7.2%12.7%54.0%25.5%4.5%-1.7%8.1M-138.4M-926.5K0.957.32N/AN/A6,8646,49662,67756,980
2015-11-13$70.00$72.5029.9%8.6%18.3%81.1%28.6%4.7%-2.9%4.7M-54.9M-954.2K0.3311.10N/AN/A16,8265,48164,82057,144
2015-11-16$71.64$72.5029.1%8.3%20.1%76.7%29.0%5.7%-2.9%9.3M-118.8M-997.8K0.8713.59N/AN/A6,3705,57070,77358,303
2015-11-17$73.09$72.5028.2%8.1%21.2%71.8%26.6%5.4%-2.8%11.5M-182.0M-986.0K0.3312.60N/AN/A41,97013,78372,67660,859
2015-11-18$73.53$72.5020.8%6.0%21.3%30.4%21.4%4.0%-0.1%24.8M-238.4M-1.0M0.668.96N/AN/A16,48410,84795,05965,760
2015-11-19$73.50$72.5020.5%5.9%21.1%28.5%19.5%3.9%0.7%20.7M-237.1M-985.6K0.468.76N/AN/A6,4342,98994,66568,102
2015-11-20$75.74$72.5019.1%5.5%23.6%20.5%19.1%3.5%0.3%19.6M-404.8M-971.5K0.319.61N/AN/A13,3734,18696,81467,865
2015-11-23$76.67$72.5017.8%5.1%23.8%13.3%18.4%3.3%0.6%20.5M-325.4M-964.5K0.496.35N/AN/A6,6583,26779,31757,760
2015-11-24$77.39$72.5018.1%5.2%23.7%14.8%18.5%2.9%0.4%22.0M-363.2M-935.4K0.266.67N/AN/A5,9031,51681,42658,998
2015-11-25$77.61$72.5017.8%5.1%23.7%13.6%18.8%2.6%0.4%21.7M-368.1M-993.3K1.447.38N/AN/A8,03911,54083,10759,405
2015-11-27$77.34$75.0018.4%5.3%23.7%17.0%18.4%2.4%0.3%19.8M-347.7M-1.0M0.367.03N/AN/A4,5511,64085,28966,447
2015-11-30$76.60$75.0018.9%5.4%24.1%18.3%19.6%2.6%-0.1%21.6M-317.6M-980.4K1.099.41N/AN/A4,2404,63086,18566,547