LOW Options History — July 2017

In July 2017, LOW traded between $72.94 and $78.26. ATM implied volatility averaged 21.4%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.5% (HV 20d: 20.9%). Max pain ranged from $75.00 to $77.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2017-07-20: Highest Volume — 149,335 contracts
  • 2017-07-20: Largest IV spike — 26.7% change
  • 2017-07-27: Highest IV Rank — 90.2%
  • 2017-07-20: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.24$72.94$78.26$78.26$77.36
Max Pain$76.58$75.00$77.50$77.00$75.00
ATM IV21.4%17.0%28.1%19.1%26.9%
Expected Move5.5%4.9%6.4%5.4%5.8%
HV 20d20.9%17.5%25.4%19.3%23.5%
HV 60d18.8%17.3%20.9%17.4%20.9%
IV Rank45.1%15.4%90.2%29.7%82.2%
IV Percentile58.8%21.4%96.4%45.2%94.0%
Term Structure1.3%-1.6%6.9%0.1%-1.5%
VWIV19.4%17.5%22.5%19.0%20.5%
Skew 25d2.5%1.4%3.4%2.7%1.9%
Skew 10d4.8%2.9%6.3%5.5%3.6%
Call IV 25d20.8%16.3%27.9%18.2%25.5%
Put IV 25d23.3%18.5%31.1%20.9%27.5%
Bid-Ask Spread %7.142.0153.269.974.00
Gamma HHI0.110.060.160.110.16
Net GEX24.5M-2.6M56.5M27.4M56.5M
Net DEX-135.5M-504.5M247.1M-237.8M-504.5M
Net VEX-2.6M-3.2M-2.0M-3.0M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.241.560.850.78
Total Volume29,941.78,386149,3358,38610,127
Total OI369,497.45344,855466,561344,855376,673

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$78.26$77.0019.1%5.4%19.3%29.7%19.0%2.7%0.1%27.4M-237.8M-3.0M0.859.97N/AN/A4,5323,854213,836131,019
2017-07-05$77.43$77.0019.7%5.6%19.2%33.5%19.6%3.0%-0.2%20.4M-127.5M-2.8M0.925.62N/AN/A6,7106,190214,200131,290
2017-07-06$76.50$77.5020.3%5.6%19.4%37.2%20.5%3.4%-0.6%10.5M-7.7M-2.6M1.134.74N/AN/A5,6446,400215,880132,768
2017-07-07$77.26$77.5018.9%5.5%19.7%28.3%18.7%2.9%-0.2%21.1M-97.2M-2.7M0.328.43N/AN/A22,7937,270217,211133,809
2017-07-10$77.01$77.5018.9%5.4%19.2%28.1%18.9%2.5%-0.1%20.9M-86.9M-2.6M1.562.61N/AN/A6,2859,804231,866133,248
2017-07-11$76.25$77.5018.6%5.5%19.2%25.8%18.8%1.9%0.6%10.1M20.2M-2.5M0.473.79N/AN/A15,4157,189233,099134,501
2017-07-12$76.32$77.5018.5%5.2%19.1%25.1%18.4%2.0%0.2%12.6M-8.7M-2.5M0.953.58N/AN/A12,89512,214237,987135,354
2017-07-13$76.66$77.5017.5%5.1%18.5%18.5%18.7%1.4%-0.0%18.6M-67.8M-2.5M0.912.01N/AN/A6,9846,344244,582135,156
2017-07-14$76.22$77.5017.2%5.1%18.5%16.5%17.6%2.2%1.0%9.1M16.7M-2.2M0.802.61N/AN/A28,94323,263239,648134,243
2017-07-17$76.51$77.5017.0%4.9%18.6%15.4%18.4%2.5%6.9%11.8M-57.0M-2.3M0.882.18N/AN/A16,55414,579241,634121,929
2017-07-18$75.97$77.5018.0%5.2%17.5%22.1%17.5%2.3%6.2%4.6M2.0M-2.2M0.462.67N/AN/A13,0156,001242,581121,539
2017-07-19$76.80$77.5018.3%5.3%18.1%24.2%18.5%2.1%6.5%21.2M-114.7M-2.3M0.304.12N/AN/A21,0946,243245,269122,497
2017-07-20$72.94$77.5023.2%6.4%24.9%57.5%22.5%2.6%5.0%-2.6M247.1M-2.0M0.4153.26N/AN/A106,00243,333252,081123,053
2017-07-21$73.80$75.0022.0%5.6%25.4%48.8%20.3%1.5%6.7%27.3M65.2M-2.7M0.545.21N/AN/A19,21910,381325,775140,786
2017-07-24$74.37$75.0024.9%5.5%23.0%68.8%19.3%2.7%-1.2%29.6M-175.0M-2.7M0.374.23N/AN/A15,3985,711258,43895,463
2017-07-25$75.57$75.0026.5%5.5%23.6%79.8%19.5%3.1%-1.6%40.7M-315.6M-2.9M0.243.65N/AN/A26,4356,420263,14396,361
2017-07-26$75.94$75.0026.7%5.5%23.6%81.3%19.5%2.8%-1.3%44.9M-350.8M-3.0M0.516.33N/AN/A11,5205,838265,62598,974
2017-07-27$77.00$75.0028.1%6.0%24.0%90.2%21.7%3.2%-0.3%53.3M-484.8M-3.1M0.496.43N/AN/A24,26411,879266,323100,318
2017-07-28$76.65$75.0027.9%5.8%24.0%89.3%20.4%2.7%-0.8%51.9M-425.2M-3.1M0.297.41N/AN/A24,8077,285275,729106,061
2017-07-31$77.36$75.0026.9%5.8%23.5%82.2%20.5%1.9%-1.5%56.5M-504.5M-3.2M0.784.00N/AN/A5,6984,429272,645104,028