LOW Options History — May 2016

In May 2016, LOW traded between $75.07 and $80.30. ATM implied volatility averaged 23.2%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.5% (HV 20d: 18.7%). Max pain ranged from $75.00 to $77.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2016-05-18: Highest Volume — 38,906 contracts
  • 2016-05-18: Largest IV drop — 27.2% change
  • 2016-05-09: Highest IV Rank — 80.1%
  • 2016-05-04: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.47$75.07$80.30$76.18$80.25
Max Pain$75.83$75.00$77.50$75.00$77.50
ATM IV23.2%15.7%33.8%27.1%16.3%
Expected Move6.2%4.5%8.2%7.8%4.7%
HV 20d18.7%13.7%24.3%13.8%22.4%
HV 60d16.6%15.3%19.2%19.2%16.6%
IV Rank35.7%4.0%80.1%51.7%6.4%
IV Percentile51.4%0.8%98.0%86.9%2.8%
Term Structure-1.3%-5.9%1.5%-5.1%0.8%
VWIV21.8%15.7%28.1%26.3%18.4%
Skew 25d4.1%2.8%5.1%5.1%2.8%
Skew 10d8.4%5.1%10.7%9.8%6.3%
Call IV 25d19.8%14.4%25.4%23.7%15.2%
Put IV 25d23.9%17.3%30.3%28.8%17.9%
Bid-Ask Spread %9.214.7359.754.736.81
Gamma HHI0.260.200.420.210.28
Net GEX15.3M9.5M27.1M11.3M23.7M
Net DEX-233.6M-400.9M-129.9M-169.2M-342.1M
Net VEX-1.5M-1.7M-1.3M-1.3M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.321.890.891.28
Total Volume12,118.7143,95638,9065,2269,757
Total OI129,656.429101,192173,907101,192153,404

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$76.18$75.0027.1%7.8%13.8%51.7%26.3%5.1%-5.1%11.3M-169.2M-1.3M0.894.73N/AN/A2,7652,46164,22836,964
2016-05-03$75.73$75.0027.7%7.9%13.8%54.4%28.1%5.1%-5.5%10.9M-154.4M-1.3M1.496.26N/AN/A1,6302,43264,59837,513
2016-05-04$75.89$75.0028.5%8.2%13.8%57.8%26.6%4.9%-5.9%10.9M-158.8M-1.3M1.896.29N/AN/A2,4244,58564,80137,853
2016-05-05$75.07$75.0029.6%6.6%13.7%62.5%22.3%5.0%-1.5%9.8M-129.9M-1.3M1.256.77N/AN/A3,0983,87465,49239,515
2016-05-06$75.51$75.0029.2%6.5%13.7%60.9%22.1%4.7%-1.3%9.9M-140.4M-1.3M1.526.09N/AN/A1,5682,38865,33340,821
2016-05-09$75.83$75.0033.8%6.8%13.7%80.1%24.1%4.3%-2.0%10.3M-151.2M-1.3M1.176.20N/AN/A2,4872,90465,38240,971
2016-05-10$77.03$75.0031.9%6.4%14.6%72.3%22.9%4.5%-1.7%11.6M-192.2M-1.3M0.556.01N/AN/A4,9452,72065,95841,461
2016-05-11$75.15$75.0025.1%7.2%16.5%43.4%24.5%4.8%-2.3%9.5M-133.2M-1.3M0.455.63N/AN/A9,4704,23667,12141,764
2016-05-12$75.38$75.0024.9%7.1%16.5%42.9%25.3%4.9%-2.3%10.4M-146.5M-1.4M0.915.93N/AN/A4,2583,87070,70843,558
2016-05-13$75.21$75.0025.6%7.3%16.1%45.8%24.6%4.9%-2.6%10.1M-141.0M-1.4M0.546.13N/AN/A9,6305,23572,02044,866
2016-05-16$76.94$75.0024.8%7.1%18.2%42.2%25.1%4.3%-2.9%13.7M-215.5M-1.4M0.607.69N/AN/A11,4966,88275,82846,133
2016-05-17$75.60$75.0026.2%7.5%18.7%48.0%25.7%4.9%-2.9%12.0M-159.5M-1.4M1.8259.75N/AN/A2,5414,63479,56348,748
2016-05-18$78.52$75.0019.1%5.5%23.1%18.0%19.9%3.6%0.7%25.8M-326.8M-1.6M1.549.65N/AN/A15,34523,56194,46370,908
2016-05-19$79.94$75.0018.5%5.3%23.6%15.9%19.0%3.7%0.5%27.1M-400.9M-1.6M0.508.63N/AN/A17,7318,88494,41879,489
2016-05-20$79.69$77.5017.3%5.0%23.6%10.7%17.8%3.6%1.5%15.8M-371.0M-1.6M0.696.26N/AN/A12,3658,57695,35977,020
2016-05-23$78.81$77.5017.2%4.9%24.1%10.2%18.2%3.9%1.5%16.0M-263.8M-1.7M1.755.91N/AN/A3,9166,84483,67958,458
2016-05-24$79.64$77.5016.7%4.8%24.3%8.2%17.4%3.2%1.2%18.0M-301.2M-1.6M1.786.59N/AN/A3,6506,48184,03559,967
2016-05-25$79.97$77.5016.7%4.8%24.2%7.9%16.7%3.0%1.2%19.0M-317.0M-1.6M0.325.46N/AN/A17,2865,51785,00560,804
2016-05-26$80.18$77.5016.3%4.7%22.6%6.4%16.7%2.9%0.9%21.6M-339.1M-1.7M0.885.43N/AN/A2,5952,29190,39761,611
2016-05-27$80.30$77.5015.7%4.5%22.4%4.0%15.7%2.9%1.5%23.0M-352.7M-1.6M0.6111.09N/AN/A4,4532,70890,60461,965
2016-05-31$80.25$77.5016.3%4.7%22.4%6.4%18.4%2.8%0.8%23.7M-342.1M-1.6M1.286.81N/AN/A4,2875,47090,73162,673