LOW Options History — April 2017

In April 2017, LOW traded between $81.17 and $85.33. ATM implied volatility averaged 18.5%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 9.5% (HV 20d: 8.9%). Max pain ranged from $77.50 to $82.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.13.

Notable Days

  • 2017-04-24: Highest Volume — 21,814 contracts
  • 2017-04-17: Largest IV spike — 11.5% change
  • 2017-04-27: Highest IV Rank — 43.0%
  • 2017-04-17: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.86$81.17$85.33$82.13$84.84
Max Pain$81.89$77.50$82.50$77.50$82.50
ATM IV18.5%15.1%22.9%16.0%22.5%
Expected Move4.8%4.2%5.6%4.2%4.6%
HV 20d8.9%7.5%10.1%9.1%9.8%
HV 60d23.1%22.9%23.2%23.1%22.9%
IV Rank19.5%1.9%43.0%6.5%40.6%
IV Percentile36.9%0.8%81.3%9.1%79.8%
Term Structure1.3%-1.6%6.3%-0.2%-1.4%
VWIV17.2%14.4%20.0%15.9%16.6%
Skew 25d3.1%1.8%6.3%2.4%1.8%
Skew 10d5.7%2.4%8.7%4.0%4.2%
Call IV 25d17.3%13.8%22.8%14.9%22.8%
Put IV 25d20.3%17.3%25.2%17.3%24.6%
Bid-Ask Spread %10.595.4425.1118.8010.50
Gamma HHI0.280.150.510.280.35
Net GEX34.8M13.5M48.5M39.1M47.9M
Net DEX-433.4M-637.7M-319.0M-468.5M-368.9M
Net VEX-2.2M-2.5M-2.0M-2.4M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.702.351.692.35
Total Volume14,659.52610,21621,81420,46612,880
Total OI219,504.632147,906248,215232,403176,832

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$82.13$77.5016.0%4.2%9.1%6.5%15.9%2.4%-0.2%39.1M-468.5M-2.4M1.6918.80N/AN/A7,61112,855135,24997,154
2017-04-04$81.68$78.5016.0%4.3%9.2%6.3%15.4%2.6%0.1%34.6M-397.6M-2.4M1.2121.82N/AN/A7,3838,949136,990106,056
2017-04-05$81.72$80.0015.7%4.3%8.9%5.1%14.7%2.8%-0.8%35.3M-397.8M-2.5M0.7525.11N/AN/A10,1477,644137,814107,935
2017-04-06$81.96$82.5015.1%4.7%8.9%1.9%16.9%3.5%0.0%37.4M-409.1M-2.4M0.977.77N/AN/A6,3346,114137,053110,093
2017-04-07$82.29$82.5015.3%4.7%8.9%2.6%17.2%2.8%-0.0%48.5M-447.9M-2.4M1.216.81N/AN/A5,0176,087138,008110,207
2017-04-10$82.49$82.5016.1%5.0%8.9%6.8%17.5%3.6%1.5%39.3M-492.3M-2.3M0.8211.79N/AN/A9,6587,922130,38496,856
2017-04-11$82.27$82.5017.0%5.2%8.7%11.8%18.4%4.0%1.3%38.0M-465.1M-2.3M0.807.69N/AN/A9,2567,407132,81999,683
2017-04-12$81.72$82.5017.7%5.2%7.5%15.4%20.0%4.1%0.0%33.4M-403.2M-2.3M0.976.10N/AN/A7,3747,166133,246101,303
2017-04-13$81.34$82.5017.3%5.1%7.6%13.2%18.0%3.8%0.7%29.4M-353.7M-2.3M0.818.65N/AN/A7,3625,974134,366104,024
2017-04-17$81.17$82.5019.3%5.6%7.5%23.7%19.1%3.0%5.0%34.2M-349.5M-2.2M1.0411.71N/AN/A5,3665,562134,190101,705
2017-04-18$82.12$82.5018.0%5.2%7.9%17.0%18.9%3.1%5.9%43.8M-469.5M-2.2M0.995.44N/AN/A5,5645,500134,931101,848
2017-04-19$82.01$82.5017.8%5.1%7.7%16.0%18.9%3.0%6.3%46.4M-460.1M-2.1M1.007.33N/AN/A5,1135,103135,426103,318
2017-04-20$83.47$82.5019.2%5.2%9.9%23.2%17.7%3.0%5.4%34.9M-621.1M-2.1M0.997.28N/AN/A7,0826,979135,409105,149
2017-04-21$83.54$82.5019.9%5.1%9.9%27.0%18.9%2.5%6.0%13.5M-637.7M-2.1M1.318.80N/AN/A5,4177,108136,022107,517
2017-04-24$84.20$82.5020.7%4.2%10.1%31.3%14.4%2.1%-0.8%17.6M-319.0M-2.0M0.706.70N/AN/A12,8418,97379,01268,894
2017-04-25$84.78$82.5021.9%4.5%9.9%37.5%16.1%1.8%-1.2%23.5M-365.0M-2.0M1.0110.02N/AN/A8,1878,26488,79771,521
2017-04-26$85.33$82.5022.6%4.6%9.7%41.4%16.1%1.9%-0.8%29.9M-404.8M-2.1M1.8710.19N/AN/A4,1767,80194,41173,773
2017-04-27$85.30$82.5022.9%4.6%9.6%43.0%16.1%6.3%-1.6%34.7M-403.5M-2.1M0.998.63N/AN/A8,2098,14697,34175,252
2017-04-28$84.84$82.5022.5%4.6%9.8%40.6%16.6%1.8%-1.4%47.9M-368.9M-2.1M2.3510.50N/AN/A3,8449,036100,17676,656