LOW Options History — January 2016

In January 2016, LOW traded between $68.11 and $75.48. ATM implied volatility averaged 25.9%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.1% (HV 20d: 24.8%). Max pain ranged from $72.50 to $80.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2016-01-14: Highest Volume — 17,140 contracts
  • 2016-01-07: Largest IV spike — 20.6% change
  • 2016-01-08: Highest IV Rank — 85.8%
  • 2016-01-20: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.01$68.11$75.48$75.18$70.24
Max Pain$74.87$72.50$80.00$80.00$72.50
ATM IV25.9%22.7%30.7%24.2%22.7%
Expected Move7.0%6.1%8.2%6.2%6.5%
HV 20d24.8%16.0%29.3%17.8%29.0%
HV 60d22.2%18.6%24.2%19.1%24.2%
IV Rank58.3%40.4%85.8%48.6%40.4%
IV Percentile84.9%63.5%98.8%82.9%63.5%
Term Structure1.0%-0.7%2.9%1.0%2.9%
VWIV24.0%21.0%27.4%21.5%24.1%
Skew 25d5.9%4.6%7.5%5.1%5.4%
Skew 10d12.7%10.0%16.2%10.9%11.9%
Call IV 25d22.1%19.0%25.1%19.6%20.4%
Put IV 25d28.0%23.9%32.5%24.7%25.8%
Bid-Ask Spread %8.975.5910.927.4910.73
Gamma HHI0.190.150.320.270.16
Net GEX4.7M1.1M11.4M10.3M4.7M
Net DEX-3.7M-154.6M171.3M-136.1M-16.0M
Net VEX-876.7K-1.0M-780.4K-1.0M-865.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.251.110.741.11
Total Volume8,763.5263,70417,1408,6193,704
Total OI134,134.89580,833181,370169,07095,156

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$75.18$80.0024.2%6.2%17.8%48.6%21.5%5.1%1.0%10.3M-136.1M-1.0M0.747.49N/AN/A4,9453,67491,96477,106
2016-01-05$75.48$77.5023.0%6.1%16.0%41.9%21.0%4.9%1.3%11.4M-154.6M-1.0M0.668.15N/AN/A3,7382,48392,36477,775
2016-01-06$73.96$77.5023.8%6.1%17.4%46.6%21.5%4.6%1.2%7.2M-78.9M-961.4K0.9710.47N/AN/A3,8893,78692,06677,939
2016-01-07$72.40$77.5028.7%6.9%18.1%74.5%24.0%5.4%0.2%3.8M-2.4M-921.2K0.4610.69N/AN/A7,8623,59492,43078,521
2016-01-08$70.74$77.5030.7%7.3%19.1%85.8%24.2%5.3%0.1%1.2M65.7M-841.9K0.669.87N/AN/A4,9443,25992,46479,392
2016-01-11$72.84$75.0030.2%6.9%22.4%82.9%25.7%5.6%0.4%3.4M-18.0M-864.1K0.619.87N/AN/A5,9283,64492,85779,370
2016-01-12$73.35$75.0029.3%6.9%22.1%77.7%22.5%5.3%0.1%4.1M-49.4M-894.4K0.4510.41N/AN/A7,4313,32094,09680,374
2016-01-13$69.73$75.0026.8%7.7%27.9%63.4%26.1%5.7%-0.7%1.1M103.0M-789.1K0.5210.92N/AN/A9,2094,80896,72880,626
2016-01-14$69.84$75.0026.2%7.5%28.0%60.2%25.6%6.1%-0.3%6.8M93.6M-806.3K0.476.82N/AN/A11,6955,44599,89681,474
2016-01-15$69.04$75.0027.3%7.8%27.2%66.4%27.4%6.7%-0.5%2.2M171.3M-780.4K0.547.92N/AN/A7,5754,11594,68881,397
2016-01-19$69.49$75.0026.3%7.5%27.2%60.7%24.9%6.2%0.5%2.5M5.8M-801.2K0.288.12N/AN/A7,4442,08755,45825,375
2016-01-20$68.11$75.0028.6%8.2%27.7%73.9%26.0%7.5%0.4%2.5M15.2M-799.5K0.258.45N/AN/A10,4452,58659,45925,829
2016-01-21$69.47$72.5025.5%7.3%28.5%56.1%25.8%6.9%1.3%4.1M-9.4M-882.9K0.477.87N/AN/A4,7022,18961,94426,476
2016-01-22$70.59$72.5023.4%6.7%29.3%44.2%21.4%6.2%1.8%5.2M-24.2M-893.7K0.375.59N/AN/A5,1051,86463,02226,749
2016-01-25$69.95$72.5024.3%7.0%28.7%49.5%24.8%6.5%2.0%4.9M-17.6M-877.0K0.957.22N/AN/A3,3253,14664,53527,323
2016-01-26$69.98$72.5023.8%6.8%28.7%46.3%23.5%6.3%2.0%4.7M-12.8M-890.7K0.5110.40N/AN/A3,9702,02664,99028,429
2016-01-27$69.50$72.5023.7%6.8%28.6%45.8%23.8%6.2%2.5%4.4M-5.0M-875.8K0.6310.61N/AN/A2,7571,75066,28128,787
2016-01-28$69.22$72.5023.2%6.7%28.1%43.1%22.1%6.5%2.8%4.1M-107.8K-853.3K0.638.81N/AN/A2,4951,56866,36228,861
2016-01-29$70.24$72.5022.7%6.5%29.0%40.4%24.1%5.4%2.9%4.7M-16.0M-865.2K1.1110.73N/AN/A1,7551,94966,34728,809