LOW Options History — November 2016

In November 2016, LOW traded between $65.61 and $72.21. ATM implied volatility averaged 23.9%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.4% (HV 20d: 22.5%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2016-11-16: Highest Volume — 77,287 contracts
  • 2016-11-16: Largest IV drop — 25.5% change
  • 2016-11-14: Highest IV Rank — 62.1%
  • 2016-11-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.91$65.61$72.21$65.61$70.70
Max Pain$69.45$67.50$70.00$68.00$70.00
ATM IV23.9%18.1%29.5%28.4%20.2%
Expected Move6.9%5.2%9.5%9.5%6.1%
HV 20d22.5%19.0%25.3%19.0%23.3%
HV 60d19.7%17.6%20.8%19.8%20.7%
IV Rank38.5%13.9%62.1%57.5%22.7%
IV Percentile65.5%21.4%92.1%88.9%46.0%
Term Structure-0.6%-1.6%0.2%-1.5%-0.1%
VWIV24.6%17.6%33.4%33.4%21.7%
Skew 25d4.1%2.7%5.7%5.0%3.5%
Skew 10d8.0%4.2%14.8%9.8%6.3%
Call IV 25d22.4%17.0%27.4%25.9%18.9%
Put IV 25d26.4%19.9%32.7%30.9%22.4%
Bid-Ask Spread %11.634.2018.5011.0713.61
Gamma HHI0.120.080.490.080.15
Net GEX15.8M-3.4M52.7M4.5M6.5M
Net DEX-21.7M-215.3M190.3M153.1M-57.9M
Net VEX-1.5M-1.7M-1.3M-1.4M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.632.081.292.08
Total Volume24,829.04811,40977,28718,01811,409
Total OI247,282.238202,648332,334234,140224,156

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$65.61$68.0028.4%9.5%19.0%57.5%33.4%5.0%-1.5%4.5M153.1M-1.4M1.2911.07N/AN/A7,86810,150146,44787,693
2016-11-02$66.69$68.0027.5%9.5%20.4%53.4%33.4%4.6%-0.7%8.2M101.2M-1.5M0.9018.50N/AN/A7,0856,350144,81289,011
2016-11-03$66.48$70.0028.3%7.5%20.4%56.9%27.2%5.7%-1.0%7.2M109.4M-1.5M0.736.23N/AN/A7,0785,182145,26787,621
2016-11-04$66.23$70.0028.8%8.1%20.3%59.3%26.9%5.6%-1.3%6.9M120.2M-1.4M0.864.20N/AN/A6,4765,579145,91288,348
2016-11-07$67.16$70.0027.0%7.4%21.2%51.3%26.5%5.3%-0.7%9.3M81.2M-1.4M0.928.55N/AN/A6,2715,755141,09987,282
2016-11-08$66.88$70.0027.6%7.6%20.9%54.3%28.1%5.3%-1.3%8.5M93.0M-1.4M0.847.08N/AN/A14,23212,015142,19188,942
2016-11-09$67.92$70.0026.7%7.6%20.6%50.2%27.3%5.0%-0.7%14.2M25.0M-1.5M0.8710.68N/AN/A12,41910,826147,17694,942
2016-11-10$69.69$70.0026.3%7.3%22.9%48.4%27.1%3.9%-0.9%25.5M-124.6M-1.7M0.8812.43N/AN/A12,49911,055153,49596,620
2016-11-11$69.72$70.0026.7%7.4%22.8%50.2%25.2%4.3%-1.3%26.2M-131.7M-1.7M0.838.81N/AN/A10,6828,823154,43295,966
2016-11-14$69.77$70.0029.5%8.4%21.5%62.1%29.2%5.4%-1.6%25.3M-145.7M-1.7M0.6711.66N/AN/A12,9668,638157,49093,697
2016-11-15$68.85$70.0028.5%8.1%21.9%58.1%28.2%4.2%-0.6%28.6M-92.9M-1.7M0.7915.26N/AN/A40,22631,705191,84095,123
2016-11-16$66.99$70.0021.3%6.1%23.8%27.3%21.1%3.6%0.2%-3.4M190.3M-1.3M1.089.89N/AN/A37,23840,049203,176129,158
2016-11-17$67.94$70.0020.4%5.9%24.4%23.8%20.2%2.8%-0.2%13.2M84.0M-1.4M1.219.43N/AN/A12,84015,507200,347122,327
2016-11-18$69.42$67.5019.4%5.6%25.3%19.5%20.2%3.3%0.1%52.7M-96.7M-1.5M1.1612.83N/AN/A13,92016,195203,199120,838
2016-11-21$69.27$67.5018.1%5.2%25.2%13.9%17.6%2.9%-0.0%6.0M14.8M-1.4M0.6315.61N/AN/A15,3169,673107,28495,364
2016-11-22$71.62$67.5018.8%5.4%24.5%17.1%19.0%3.3%-0.3%22.7M-172.3M-1.6M0.6615.53N/AN/A18,79312,471116,35198,451
2016-11-23$71.91$70.0019.4%5.6%23.6%19.3%20.2%3.0%-0.2%28.2M-214.5M-1.7M1.4813.63N/AN/A10,07814,876123,906100,963
2016-11-25$72.21$70.0019.5%5.6%23.4%19.8%20.4%2.7%-0.3%20.9M-215.3M-1.7M1.2213.45N/AN/A6,3177,705122,780108,744
2016-11-28$71.33$70.0020.0%6.0%24.0%21.9%21.9%3.0%0.0%11.9M-118.2M-1.6M1.4110.39N/AN/A5,4047,593118,231100,513
2016-11-29$70.64$70.0020.0%6.1%24.2%22.1%22.4%3.4%0.2%8.6M-58.1M-1.6M2.0415.34N/AN/A4,0018,145119,421102,312
2016-11-30$70.70$70.0020.2%6.1%23.3%22.7%21.7%3.5%-0.1%6.5M-57.9M-1.6M2.0813.61N/AN/A3,7027,707120,048104,108