LOW Options History — December 2015

In December 2015, LOW traded between $74.13 and $77.21. ATM implied volatility averaged 19.8%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.8% (HV 20d: 21.6%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2015-12-15: Highest Volume — 35,508 contracts
  • 2015-12-04: Largest IV drop — 12.9% change
  • 2015-12-14: Highest IV Rank — 42.9%
  • 2015-12-14: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.96$74.13$77.21$77.13$76.26
Max Pain$71.36$70.00$75.00$75.00$72.50
ATM IV19.8%17.2%23.2%18.8%18.4%
Expected Move5.7%4.9%6.6%5.4%5.3%
HV 20d21.6%18.0%25.9%24.1%18.0%
HV 60d21.0%18.9%22.1%21.9%18.9%
IV Rank23.6%9.0%42.9%17.9%15.7%
IV Percentile37.4%3.2%75.8%28.6%21.8%
Term Structure1.0%-0.3%2.5%-0.3%0.5%
VWIV20.2%18.2%24.1%19.1%19.8%
Skew 25d3.8%2.2%4.9%2.2%3.8%
Skew 10d8.1%4.7%11.3%4.7%7.3%
Call IV 25d18.4%16.5%21.4%18.1%17.8%
Put IV 25d22.2%20.3%26.3%20.3%21.5%
Bid-Ask Spread %7.615.8410.328.227.23
Gamma HHI0.340.240.460.350.28
Net GEX19.3M9.6M34.3M21.4M14.3M
Net DEX-235.2M-336.2M-93.0M-336.2M-220.2M
Net VEX-1.1M-1.2M-898.7K-980.8K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.193.290.572.06
Total Volume9,807.6822,36235,5082,3846,939
Total OI169,130.455157,424196,921157,424166,354

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$77.13$75.0018.8%5.4%24.1%17.9%19.1%2.2%-0.3%21.4M-336.2M-980.8K0.578.22N/AN/A1,51986587,49069,934
2015-12-02$76.32$75.0018.7%5.4%24.5%17.6%19.7%2.4%0.0%20.0M-281.6M-1.0M0.669.21N/AN/A2,8781,90187,87670,122
2015-12-03$75.10$70.0020.3%5.7%24.9%26.6%20.2%4.0%2.0%17.6M-212.0M-1.0M0.356.87N/AN/A19,1126,61187,84370,283
2015-12-04$76.74$70.0017.7%5.2%25.9%11.7%18.7%3.4%2.4%27.0M-332.8M-1.1M0.467.02N/AN/A5,0522,33396,96874,122
2015-12-07$76.45$70.0019.0%5.4%25.8%19.4%20.1%3.5%2.5%25.0M-285.5M-992.2K0.687.48N/AN/A1,40795591,93073,943
2015-12-08$77.21$70.0020.1%5.5%25.0%25.6%19.8%3.8%2.2%25.3M-332.4M-1.0M0.637.57N/AN/A4,6312,91092,27274,154
2015-12-09$76.11$70.0021.1%6.1%25.2%31.1%21.2%3.7%1.0%23.1M-269.8M-1.0M0.796.09N/AN/A3,1202,45893,23575,073
2015-12-10$76.05$70.0020.8%6.0%25.1%29.6%20.9%3.6%1.3%24.0M-268.5M-959.9K0.687.15N/AN/A2,7611,88293,16575,438
2015-12-11$74.92$70.0023.0%6.6%25.7%41.8%24.1%4.9%0.3%17.4M-174.8M-1.0M0.767.41N/AN/A3,2912,48593,19875,599
2015-12-14$75.49$70.0023.2%6.6%21.3%42.9%23.8%4.6%0.5%21.7M-219.1M-958.4K0.596.54N/AN/A6,5353,85493,67875,821
2015-12-15$74.97$70.0021.9%6.3%20.3%35.9%21.9%4.7%0.8%21.1M-189.8M-898.7K0.196.05N/AN/A29,8125,69694,21976,260
2015-12-16$76.14$70.0021.3%6.1%19.9%32.0%20.7%4.2%0.8%34.3M-315.2M-1.1M0.8310.32N/AN/A5,5934,630119,17676,618
2015-12-17$75.07$70.0020.2%5.8%20.6%26.2%20.3%4.2%1.8%27.4M-209.9M-1.1M0.248.84N/AN/A13,9253,393120,04376,878
2015-12-18$74.13$70.0020.2%5.8%21.2%26.0%20.5%4.2%2.4%11.2M-93.0M-1.1M3.296.91N/AN/A4,71815,523116,07977,019
2015-12-21$74.89$72.5020.1%5.8%18.5%25.4%19.8%3.8%0.1%9.6M-140.4M-1.1M0.566.17N/AN/A6,9983,93888,21270,795
2015-12-22$75.21$72.5019.3%5.5%18.0%21.1%19.4%3.8%0.4%11.0M-157.6M-1.1M0.889.48N/AN/A3,4223,02790,54171,715
2015-12-23$76.17$72.5019.1%5.5%18.3%19.5%18.2%3.6%0.2%13.6M-204.4M-1.1M0.707.78N/AN/A4,8363,36790,76672,006
2015-12-24$76.28$72.5017.2%4.9%18.2%9.0%18.8%4.0%1.4%13.8M-211.3M-1.2M0.937.83N/AN/A2,6852,50391,57573,390
2015-12-28$76.44$72.5018.4%5.3%18.2%15.5%19.7%3.8%0.6%14.4M-221.7M-1.1M1.109.68N/AN/A3,0443,33891,64073,738
2015-12-29$77.17$72.5018.1%5.2%18.2%14.1%18.8%3.6%0.7%15.9M-252.0M-1.1M0.537.65N/AN/A4,1782,22991,75373,978
2015-12-30$76.93$72.5018.0%5.2%18.1%13.7%19.9%3.6%0.6%15.7M-246.7M-1.1M0.925.84N/AN/A2,8222,59391,88974,082
2015-12-31$76.26$72.5018.4%5.3%18.0%15.7%19.8%3.8%0.5%14.3M-220.2M-1.1M2.067.23N/AN/A2,2674,67291,80174,553