LOW Options History — October 2016

In October 2016, LOW traded between $66.58 and $72.85. ATM implied volatility averaged 22.0%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.8% (HV 20d: 16.2%). Max pain ranged from $68.00 to $75.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2016-10-06: Highest Volume — 58,889 contracts
  • 2016-10-17: Largest IV spike — 16.4% change
  • 2016-10-31: Highest IV Rank — 47.9%
  • 2016-10-31: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.21$66.58$72.85$72.34$66.58
Max Pain$70.60$68.00$75.00$75.00$68.00
ATM IV22.0%17.5%26.1%17.5%26.1%
Expected Move6.9%5.1%8.6%5.1%8.6%
HV 20d16.2%12.3%19.6%17.7%19.1%
HV 60d18.8%18.1%20.0%18.3%19.7%
IV Rank30.4%11.6%47.9%11.6%47.9%
IV Percentile57.3%15.1%83.3%15.1%83.3%
Term Structure0.7%-1.5%5.3%0.7%-0.6%
VWIV24.1%18.5%29.7%18.5%29.7%
Skew 25d4.2%3.1%5.3%4.3%4.5%
Skew 10d7.2%3.2%9.5%6.9%8.1%
Call IV 25d20.4%16.1%24.0%16.2%23.9%
Put IV 25d24.7%20.4%28.6%20.4%28.3%
Bid-Ask Spread %8.225.8313.377.107.65
Gamma HHI0.130.080.190.190.08
Net GEX-4.8M-29.1M15.2M-3.2M7.4M
Net DEX109.7M-13.7M229.1M31.5M118.3M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.283.190.941.21
Total Volume23,856.95212,31458,88916,73012,314
Total OI234,423.905199,046286,905199,270230,361

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$72.34$75.0017.5%5.1%17.7%11.6%18.5%4.3%0.7%-3.2M31.5M-1.5M0.947.10N/AN/A8,6448,086100,68198,589
2016-10-04$72.85$75.0017.5%5.2%17.7%11.7%19.2%4.3%0.7%3.6M-5.0M-1.5M0.726.27N/AN/A11,8618,536101,85297,194
2016-10-05$72.35$75.0018.0%5.3%17.7%13.6%20.0%4.2%0.6%463.5K18.3M-1.5M1.328.48N/AN/A6,7068,831105,23898,158
2016-10-06$72.23$70.0019.0%6.7%16.9%17.9%23.8%3.9%-0.2%3.2M19.8M-1.5M0.828.28N/AN/A32,27226,617107,40099,222
2016-10-07$71.45$70.0019.0%6.6%13.4%17.9%23.9%3.8%0.5%15.2M62.5M-1.6M1.138.01N/AN/A16,15818,335127,671111,376
2016-10-10$70.99$70.0019.0%7.0%13.3%17.9%23.9%4.0%5.3%-1.1M95.3M-1.5M1.479.32N/AN/A6,3789,390128,022107,238
2016-10-11$70.12$72.5020.0%7.0%12.3%22.1%24.3%5.3%4.4%-8.1M162.6M-1.5M2.269.14N/AN/A5,44612,289129,017108,436
2016-10-12$71.39$70.0019.1%6.7%14.0%18.2%23.9%3.2%4.2%278.7K64.9M-1.6M3.199.29N/AN/A7,27323,217129,857110,897
2016-10-13$71.19$70.0020.9%7.2%13.9%25.7%24.8%4.7%5.1%-13.1M114.8M-1.6M2.646.54N/AN/A5,52214,600130,481124,322
2016-10-14$71.51$70.0020.5%6.6%13.8%24.1%24.9%3.1%4.5%-3.2M81.0M-1.6M2.155.86N/AN/A6,27713,523131,296124,835
2016-10-17$69.99$70.0023.9%7.1%15.6%38.3%25.5%4.5%-1.5%-20.4M189.2M-1.5M1.465.83N/AN/A6,0418,829124,150119,561
2016-10-18$70.24$70.0023.9%7.0%15.6%38.6%25.1%4.5%-0.8%-24.3M160.8M-1.4M2.006.55N/AN/A4,8989,813125,024119,996
2016-10-19$69.66$70.0025.3%7.3%15.5%44.5%23.6%4.6%-0.9%-29.1M206.3M-1.4M0.337.98N/AN/A30,1849,862125,302120,749
2016-10-20$69.81$70.0024.1%7.0%15.6%39.3%23.2%4.1%-1.2%-26.1M156.3M-1.5M1.308.86N/AN/A14,41518,711149,906121,316
2016-10-21$70.71$70.0023.9%7.0%16.3%38.4%24.4%4.0%-1.2%-299.2K54.4M-1.6M1.678.97N/AN/A8,36613,983157,796129,109
2016-10-24$70.97$70.0023.1%6.9%14.6%35.1%23.7%4.4%-0.7%4.5M-13.7M-1.6M0.536.10N/AN/A9,6365,098114,84495,586
2016-10-25$68.45$70.0025.3%7.8%19.2%44.2%26.5%4.1%-0.8%-4.3M149.2M-1.5M0.9212.06N/AN/A14,55713,326120,52497,365
2016-10-26$67.41$70.0025.1%7.8%19.6%43.8%25.4%4.5%-0.9%-1.9M210.3M-1.4M0.288.29N/AN/A22,5056,311128,38697,581
2016-10-27$67.10$69.0025.2%7.9%19.2%43.8%26.1%4.5%-0.9%-616.9K229.1M-1.4M0.3213.37N/AN/A20,1826,536128,71399,444
2016-10-28$67.01$68.0025.3%8.0%19.1%44.2%26.2%4.6%-0.9%686.0K196.6M-1.5M0.898.75N/AN/A8,1637,305145,174100,233
2016-10-31$66.58$68.0026.1%8.6%19.1%47.9%29.7%4.5%-0.6%7.4M118.3M-1.4M1.217.65N/AN/A5,5636,751144,31286,049