LOW Options History — June 2017

In June 2017, LOW traded between $76.06 and $81.08. ATM implied volatility averaged 17.8%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 2.6% (HV 20d: 20.4%). Max pain ranged from $75.00 to $82.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-06-15: Highest Volume — 66,033 contracts
  • 2017-06-23: Largest IV spike — 11.9% change
  • 2017-06-29: Highest IV Rank — 45.2%
  • 2017-06-26: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.74$76.06$81.08$80.16$77.81
Max Pain$77.57$75.00$82.00$82.00$77.00
ATM IV17.8%15.8%21.4%17.2%19.6%
Expected Move5.1%4.6%6.1%4.9%5.3%
HV 20d20.4%18.0%21.8%20.6%19.3%
HV 60d15.4%14.4%17.4%14.5%17.4%
IV Rank20.8%6.7%45.2%16.4%32.4%
IV Percentile31.5%7.1%74.2%21.8%50.8%
Term Structure0.2%-0.3%0.8%-0.3%0.4%
VWIV18.2%15.9%22.1%17.7%18.6%
Skew 25d2.4%1.6%3.5%1.6%2.9%
Skew 10d4.6%-3.9%8.7%3.8%8.4%
Call IV 25d17.0%14.9%20.5%16.7%18.4%
Put IV 25d19.4%17.2%23.5%18.3%21.3%
Bid-Ask Spread %4.322.566.785.795.10
Gamma HHI0.150.080.230.120.10
Net GEX20.9M8.5M47.1M22.3M24.5M
Net DEX-159.3M-457.5M58.0M-151.3M-174.9M
Net VEX-2.5M-3.0M-2.1M-2.3M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.122.670.580.68
Total Volume21,247.5459,35366,03324,28613,611
Total OI319,836.909280,307380,669310,055353,637

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$80.16$82.0017.2%4.9%20.6%16.4%17.7%1.6%-0.3%22.3M-151.3M-2.3M0.585.79N/AN/A15,4118,875207,894102,161
2017-06-02$80.19$82.0016.5%4.7%20.7%11.8%16.8%1.6%-0.1%22.2M-165.7M-2.3M1.004.76N/AN/A8,6568,644211,869102,778
2017-06-05$79.56$77.5016.3%4.8%20.4%10.6%17.5%1.9%0.1%17.6M-100.7M-2.2M1.073.71N/AN/A5,8686,277208,00097,875
2017-06-06$78.65$77.5016.9%5.1%20.5%14.4%18.7%2.0%0.2%12.0M-28.6M-2.2M0.913.22N/AN/A6,2695,702209,80999,219
2017-06-07$78.00$77.5016.6%5.0%20.6%12.4%18.0%2.0%0.2%8.8M11.4M-2.1M0.475.01N/AN/A14,9267,054210,97899,530
2017-06-08$77.60$77.5016.7%5.0%20.3%12.9%17.2%2.0%0.2%14.1M-24.9M-2.1M1.325.72N/AN/A7,1259,436220,91799,095
2017-06-09$78.55$77.5016.5%5.1%20.7%11.6%17.9%2.4%0.3%14.1M-117.6M-2.1M0.705.13N/AN/A8,5986,003223,314102,338
2017-06-12$79.14$75.0017.1%4.9%21.0%15.9%17.5%2.6%-0.1%16.8M-171.7M-2.1M0.643.25N/AN/A8,1045,182218,63399,605
2017-06-13$79.52$75.0015.9%4.6%20.9%7.8%16.1%2.5%-0.1%18.6M-203.8M-2.1M1.293.83N/AN/A5,2786,794221,105100,711
2017-06-14$80.50$75.0015.8%4.7%21.5%6.7%15.9%2.1%0.6%25.4M-313.2M-2.1M0.604.07N/AN/A10,8316,501222,277101,036
2017-06-15$80.40$77.5016.7%5.0%20.9%13.0%17.5%2.1%0.8%24.8M-304.8M-2.1M0.126.78N/AN/A58,7817,252225,592101,958
2017-06-16$79.86$77.5016.8%4.9%20.9%13.7%17.4%2.7%0.3%19.5M-336.8M-2.6M0.594.06N/AN/A11,3646,728276,916103,753
2017-06-19$81.08$77.5016.2%4.6%21.7%9.4%16.3%2.3%0.6%47.1M-457.5M-3.0M0.563.58N/AN/A10,3555,795192,67587,632
2017-06-20$80.48$77.5016.9%4.8%21.8%14.4%16.7%2.5%0.3%45.5M-409.5M-2.9M1.043.03N/AN/A4,5804,773197,52488,476
2017-06-21$79.27$77.5017.3%5.0%21.6%17.3%17.2%2.5%0.4%36.3M-281.3M-2.8M0.722.56N/AN/A6,0354,330197,81489,083
2017-06-22$78.66$77.5018.0%5.1%18.0%22.0%18.7%2.1%0.4%31.1M-229.1M-2.7M2.675.73N/AN/A11,55430,814198,35089,504
2017-06-23$76.06$78.0020.2%5.7%19.9%36.6%19.9%2.3%0.4%8.5M58.0M-2.6M0.745.33N/AN/A18,66813,737198,550115,044
2017-06-26$76.73$77.5021.3%6.1%20.4%44.7%22.1%2.9%-0.2%14.5M-30.0M-2.8M1.222.80N/AN/A16,95920,722202,719117,274
2017-06-27$76.42$77.5021.3%6.0%19.8%44.5%21.3%2.8%-0.2%9.9M3.7M-2.9M0.972.68N/AN/A7,4167,216210,171131,748
2017-06-28$77.00$77.5021.1%5.8%19.6%42.9%20.5%2.9%-0.3%15.0M-62.1M-3.0M1.162.68N/AN/A5,3876,228215,661132,689
2017-06-29$76.60$77.5021.4%6.1%18.2%45.2%20.9%3.5%0.0%11.2M-14.5M-2.9M2.596.19N/AN/A9,35824,249216,960133,538
2017-06-30$77.81$77.0019.6%5.3%19.3%32.4%18.6%2.9%0.4%24.5M-174.9M-3.0M0.685.10N/AN/A8,0865,525218,797134,840