LOW Options History — April 2016

In April 2016, LOW traded between $74.95 and $77.30. ATM implied volatility averaged 20.6%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 8.7% (HV 20d: 11.9%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 2.00.

Notable Days

  • 2016-04-19: Highest Volume — 26,798 contracts
  • 2016-04-04: Largest IV spike — 28.7% change
  • 2016-04-29: Highest IV Rank — 46.4%
  • 2016-04-29: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.14$74.95$77.30$76.60$76.02
Max Pain$74.76$70.00$75.00$70.00$75.00
ATM IV20.6%14.8%25.8%14.8%25.8%
Expected Move6.2%4.2%7.4%4.2%7.4%
HV 20d11.9%10.5%14.0%11.2%13.9%
HV 60d24.9%19.2%28.6%28.6%19.2%
IV Rank24.5%0.0%46.4%0.0%46.4%
IV Percentile40.0%0.0%81.7%0.0%81.7%
Term Structure-1.5%-4.3%4.9%4.9%-4.3%
VWIV21.7%17.2%25.5%17.2%25.5%
Skew 25d4.2%2.9%5.0%2.9%4.7%
Skew 10d8.6%5.9%10.2%5.9%9.1%
Call IV 25d19.8%14.5%22.9%14.5%22.9%
Put IV 25d24.1%17.4%27.6%17.4%27.6%
Bid-Ask Spread %6.534.429.997.007.36
Gamma HHI0.320.200.540.410.20
Net GEX23.5M7.5M50.4M32.9M10.9M
Net DEX-372.2M-668.2M-142.0M-587.4M-165.1M
Net VEX-1.3M-1.5M-1.1M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.596.191.040.89
Total Volume11,298.3334,23526,7986,1245,322
Total OI132,149.33390,025176,529157,257100,283

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$76.60$70.0014.8%4.2%11.2%0.0%17.2%2.9%4.9%32.9M-587.4M-1.2M1.047.00N/AN/A3,0083,116115,91241,345
2016-04-04$76.18$75.0019.0%6.2%11.7%17.9%20.8%4.3%-1.1%36.9M-549.1M-1.3M0.957.06N/AN/A3,2853,129116,45241,672
2016-04-05$75.82$75.0019.3%6.3%12.1%19.0%21.9%4.6%-1.4%38.2M-538.1M-1.2M1.534.42N/AN/A1,9643,006116,90641,977
2016-04-06$76.19$75.0018.6%6.3%12.1%16.4%21.6%4.5%-1.2%37.5M-538.5M-1.3M1.587.81N/AN/A2,1063,323117,06742,407
2016-04-07$75.32$75.0020.2%6.5%12.9%22.9%22.3%4.9%-1.5%43.8M-488.7M-1.3M1.697.07N/AN/A2,8954,904117,41243,070
2016-04-08$74.95$75.0017.5%6.4%13.1%11.6%22.4%4.9%-1.5%48.8M-466.8M-1.2M1.336.96N/AN/A2,7223,615118,01944,315
2016-04-11$75.25$75.0019.9%6.5%11.1%21.4%22.5%5.0%-1.7%50.4M-492.7M-1.2M1.635.90N/AN/A2,5474,148117,79644,531
2016-04-12$75.79$75.0020.5%6.4%11.0%24.2%22.1%4.8%-1.6%43.8M-544.8M-1.2M2.396.62N/AN/A1,5923,805118,05845,833
2016-04-13$76.76$75.0020.1%5.8%11.6%22.6%20.6%4.2%-1.0%22.4M-645.8M-1.1M0.936.48N/AN/A9,3488,729118,05746,204
2016-04-14$76.48$75.0019.9%5.7%11.5%21.8%20.7%4.1%-1.1%28.6M-624.5M-1.3M1.156.12N/AN/A3,3053,814124,08851,472
2016-04-15$77.22$75.0019.8%5.7%11.7%21.3%20.8%4.2%-1.2%7.5M-668.2M-1.2M0.595.97N/AN/A16,8139,909124,54351,986
2016-04-18$77.30$75.0020.2%5.8%10.5%23.0%20.1%4.1%-1.4%9.6M-191.0M-1.5M1.206.49N/AN/A6,9238,30060,33040,819
2016-04-19$76.33$75.0020.4%5.9%11.5%23.8%21.0%4.0%-1.6%9.5M-166.8M-1.5M1.036.76N/AN/A13,22113,57761,49641,406
2016-04-20$76.42$75.0020.7%5.9%11.5%24.8%20.6%3.9%-1.7%9.0M-164.0M-1.3M4.225.78N/AN/A3,31713,99855,70234,323
2016-04-21$75.78$75.0022.3%6.4%11.8%31.6%21.9%3.7%-1.9%8.7M-148.6M-1.3M2.085.45N/AN/A6,47613,46956,49834,961
2016-04-22$76.06$75.0022.3%6.4%11.8%31.8%22.5%3.8%-1.9%10.6M-164.2M-1.3M6.166.23N/AN/A1,93311,91361,35735,083
2016-04-25$76.06$75.0023.0%6.6%11.8%34.8%22.9%4.0%-2.5%10.7M-164.7M-1.3M6.195.98N/AN/A1,92111,88961,72935,281
2016-04-26$76.29$75.0021.8%6.3%11.5%29.7%21.3%4.1%-2.7%10.9M-171.5M-1.3M3.445.96N/AN/A3,47311,95261,89635,467
2016-04-27$76.92$75.0022.0%6.3%11.7%30.6%22.5%4.0%-2.6%12.1M-193.1M-1.3M1.009.99N/AN/A2,1152,12063,62635,873
2016-04-28$75.27$75.0024.0%6.9%14.0%39.1%23.7%4.3%-3.5%10.5M-142.0M-1.3M1.035.76N/AN/A2,1022,16163,68836,196
2016-04-29$76.02$75.0025.8%7.4%13.9%46.4%25.5%4.7%-4.3%10.9M-165.1M-1.3M0.897.36N/AN/A2,8152,50763,88336,400