LOW Options History — January 2017

In January 2017, LOW traded between $70.94 and $73.87. ATM implied volatility averaged 19.1%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.1% (HV 20d: 14.0%). Max pain ranged from $72.50 to $72.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-01-13: Highest Volume — 29,081 contracts
  • 2017-01-25: Largest IV spike — 9.9% change
  • 2017-01-31: Highest IV Rank — 32.2%
  • 2017-01-03: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.11$70.94$73.87$70.94$73.15
Max Pain$72.50$72.50$72.50$72.50$72.50
ATM IV19.1%17.1%22.4%21.5%22.4%
Expected Move5.3%4.8%6.2%6.2%5.2%
HV 20d14.0%10.9%24.0%23.3%12.0%
HV 60d21.8%20.4%22.9%22.9%20.4%
IV Rank18.3%9.9%32.2%28.5%32.2%
IV Percentile34.0%12.7%73.8%62.7%73.8%
Term Structure0.9%-0.6%3.5%0.0%-0.5%
VWIV19.0%17.1%21.6%21.6%18.6%
Skew 25d2.8%1.9%3.8%3.8%2.7%
Skew 10d5.7%2.6%7.7%6.6%5.8%
Call IV 25d18.3%16.6%21.7%20.2%21.7%
Put IV 25d21.1%18.9%24.4%24.0%24.4%
Bid-Ask Spread %11.487.2117.8311.428.24
Gamma HHI0.140.080.260.090.16
Net GEX8.8M-2.4M20.8M-2.4M14.3M
Net DEX-39.0M-191.3M85.3M85.3M-160.6M
Net VEX-1.5M-1.7M-1.4M-1.5M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.431.731.070.61
Total Volume17,9788,65029,08113,7518,650
Total OI204,749.6124,315267,517217,535148,748

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$70.94$72.5021.5%6.2%23.3%28.5%21.6%3.8%0.0%-2.4M85.3M-1.5M1.0711.42N/AN/A6,6437,108106,180111,355
2017-01-04$71.83$72.5020.2%5.8%23.8%22.9%20.3%3.5%0.1%1.3M20.6M-1.5M1.6612.48N/AN/A4,1056,808108,925112,733
2017-01-05$71.12$72.5020.3%6.1%24.0%23.1%21.0%3.0%-0.1%-2.1M74.5M-1.5M0.847.37N/AN/A9,4927,968109,328114,200
2017-01-06$71.12$72.5019.5%5.8%12.8%20.1%20.8%2.8%0.0%-411.6K70.8M-1.5M1.268.20N/AN/A8,13010,276114,700116,702
2017-01-09$71.19$72.5019.3%5.8%12.2%19.0%19.5%2.6%0.9%2.0M55.0M-1.5M0.717.21N/AN/A10,5007,431116,539116,278
2017-01-10$71.28$72.5018.9%5.5%12.1%17.6%19.5%2.6%0.2%3.2M43.6M-1.5M1.417.64N/AN/A6,1498,647119,132117,533
2017-01-11$71.32$72.5018.5%5.3%12.1%15.5%19.4%2.7%0.0%2.9M47.0M-1.5M1.2810.14N/AN/A6,4358,240119,945118,893
2017-01-12$71.63$72.5018.0%5.2%12.2%13.5%19.3%2.8%0.5%4.5M24.1M-1.5M1.7313.57N/AN/A5,3639,289120,646120,419
2017-01-13$72.16$72.5017.4%4.9%12.1%11.0%18.2%2.7%-0.2%14.1M-33.0M-1.5M0.9514.21N/AN/A14,91014,171121,030122,264
2017-01-17$72.38$72.5017.7%5.1%12.2%12.4%18.5%3.2%-0.0%20.8M-59.4M-1.4M0.8811.53N/AN/A13,94212,320126,427121,227
2017-01-18$71.47$72.5017.9%5.1%12.7%13.4%18.6%3.2%0.6%9.1M30.5M-1.4M0.6010.57N/AN/A17,13410,257128,958122,171
2017-01-19$71.33$72.5018.1%5.2%12.8%14.0%18.6%3.2%0.4%9.8M20.4M-1.5M0.6210.64N/AN/A13,0138,006137,360124,024
2017-01-20$71.65$72.5017.6%5.0%10.9%12.0%17.5%3.1%0.9%14.1M-18.0M-1.5M0.6514.61N/AN/A17,08911,081142,613124,904
2017-01-23$72.70$72.5018.2%5.2%12.3%14.4%18.0%3.3%3.3%10.7M-118.3M-1.5M0.4317.83N/AN/A15,4666,59666,69257,623
2017-01-24$73.87$72.5017.1%4.8%12.7%9.9%17.1%2.1%3.5%13.1M-191.3M-1.6M0.5812.88N/AN/A9,1055,27871,48260,150
2017-01-25$73.17$72.5018.8%5.1%12.5%17.1%18.7%2.1%2.8%14.4M-160.6M-1.6M0.7210.89N/AN/A10,9507,83574,47460,653
2017-01-26$73.32$72.5019.3%5.0%12.5%19.1%17.6%1.9%2.8%16.0M-177.8M-1.6M0.8012.25N/AN/A9,7317,79780,24063,821
2017-01-27$73.15$72.5019.7%4.9%12.1%20.6%17.9%2.0%3.1%16.7M-163.6M-1.7M0.5115.26N/AN/A8,9254,57883,52468,028
2017-01-30$73.48$72.5021.6%5.1%12.0%28.7%18.8%2.9%-0.6%13.9M-168.9M-1.7M0.6112.75N/AN/A6,3143,82879,88765,184
2017-01-31$73.15$72.5022.4%5.2%12.0%32.2%18.6%2.7%-0.5%14.3M-160.6M-1.7M0.618.24N/AN/A5,3633,28782,62766,121