LOW Options History — September 2017

In September 2017, LOW traded between $74.69 and $79.96. ATM implied volatility averaged 18.6%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.7% (HV 20d: 20.3%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2017-09-08: Highest Volume — 82,277 contracts
  • 2017-09-05: Largest IV spike — 13.8% change
  • 2017-09-08: Highest IV Rank — 56.2%
  • 2017-09-08: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.05$74.69$79.96$74.69$79.96
Max Pain$75.00$75.00$75.00$75.00$75.00
ATM IV18.6%16.3%23.1%18.7%16.3%
Expected Move5.3%4.5%6.5%5.1%4.5%
HV 20d20.3%14.6%26.4%24.2%14.9%
HV 60d21.9%21.0%22.8%22.0%21.0%
IV Rank26.2%10.5%56.2%26.4%10.5%
IV Percentile33.4%7.5%72.6%33.3%7.5%
Term Structure0.1%-0.8%1.2%0.4%-0.1%
VWIV18.8%16.3%22.8%18.3%16.3%
Skew 25d2.3%1.9%2.7%2.4%1.9%
Skew 10d4.7%2.4%9.3%4.5%3.3%
Call IV 25d17.8%15.7%22.3%17.6%15.7%
Put IV 25d20.0%17.6%24.9%20.0%17.6%
Bid-Ask Spread %5.542.9012.184.818.62
Gamma HHI0.190.130.520.150.21
Net GEX46.2M14.2M101.1M39.9M42.0M
Net DEX-373.2M-710.9M-122.8M-122.8M-360.1M
Net VEX-2.2M-2.4M-1.9M-1.9M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.201.620.840.86
Total Volume25,515.88,31082,2779,44614,038
Total OI314,293.2228,963421,420362,096258,460

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$74.69$75.0018.7%5.1%24.2%26.4%18.3%2.4%0.4%39.9M-122.8M-1.9M0.844.81N/AN/A5,1264,320244,945117,151
2017-09-05$75.65$75.0021.2%6.1%24.8%43.8%21.1%2.6%-0.1%44.3M-246.2M-2.0M0.285.21N/AN/A27,1067,456234,669105,468
2017-09-06$77.41$75.0020.1%5.8%25.8%35.9%20.8%2.5%-0.2%63.7M-521.0M-2.0M0.285.60N/AN/A23,0406,422242,311107,496
2017-09-07$77.63$75.0021.3%6.1%25.4%44.4%20.7%2.3%-0.8%65.0M-537.1M-2.0M0.206.15N/AN/A35,1076,979242,750109,269
2017-09-08$78.64$75.0023.1%6.5%25.3%56.2%22.8%2.6%-0.6%69.2M-710.9M-2.2M0.4212.18N/AN/A57,98024,297257,552111,661
2017-09-11$77.51$75.0021.5%6.1%25.9%45.6%21.7%2.5%-0.2%68.3M-477.4M-2.2M0.584.44N/AN/A29,47617,000268,511121,650
2017-09-12$78.62$75.0020.8%6.0%26.4%41.1%21.2%2.5%0.4%80.1M-695.6M-2.4M0.453.67N/AN/A15,3576,927282,167132,033
2017-09-13$77.76$75.0019.5%5.6%21.7%31.9%21.2%1.9%-0.0%78.8M-524.8M-2.3M0.844.84N/AN/A14,00411,829282,885133,005
2017-09-14$78.49$75.0018.4%5.4%21.5%24.8%18.5%1.9%0.4%76.7M-670.3M-2.2M0.514.38N/AN/A9,3664,746281,961137,435
2017-09-15$77.96$75.0017.1%5.0%20.8%16.0%18.1%1.9%0.7%101.1M-575.2M-2.1M0.259.60N/AN/A41,09610,404282,992138,428
2017-09-18$77.65$75.0017.2%4.9%20.7%16.5%17.3%2.0%1.2%14.9M-154.5M-2.1M0.964.14N/AN/A8,2967,934122,429106,534
2017-09-19$77.51$75.0017.0%4.9%20.7%15.0%17.0%2.0%1.0%14.2M-142.0M-2.1M0.953.89N/AN/A7,2536,894125,426110,234
2017-09-20$77.91$75.0017.2%4.9%19.9%16.5%17.2%2.1%0.8%16.6M-170.3M-2.2M0.536.24N/AN/A7,3223,915128,179112,332
2017-09-21$78.09$75.0017.0%4.8%15.4%15.0%17.4%1.9%0.5%18.7M-190.7M-2.2M0.704.28N/AN/A4,8943,416129,708112,944
2017-09-22$78.34$75.0016.7%4.7%14.6%12.8%16.8%2.0%0.5%19.6M-216.3M-2.2M0.634.19N/AN/A8,9785,630130,554113,222
2017-09-25$79.43$75.0017.2%4.9%14.7%16.8%17.3%2.7%-0.0%24.5M-297.6M-2.3M0.388.06N/AN/A25,1089,594130,502109,223
2017-09-26$79.32$75.0017.4%4.8%14.8%17.8%17.6%2.6%-0.2%28.4M-289.8M-2.3M1.624.56N/AN/A5,2328,481137,947114,221
2017-09-27$79.24$75.0017.7%4.8%14.6%20.1%17.1%2.5%-0.5%29.3M-286.3M-2.2M1.513.10N/AN/A4,8607,362139,220115,181
2017-09-28$79.13$75.0017.2%4.7%14.7%16.1%16.7%2.5%-0.1%28.7M-274.2M-2.2M1.182.90N/AN/A6,0027,069139,524115,685
2017-09-29$79.96$75.0016.3%4.5%14.9%10.5%16.3%1.9%-0.1%42.0M-360.1M-2.2M0.868.62N/AN/A7,5446,494141,790116,670