LOW Options History — November 2017

In November 2017, LOW traded between $76.47 and $83.40. ATM implied volatility averaged 23.6%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.6% (HV 20d: 22.0%). Max pain ranged from $79.50 to $80.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2017-11-20: Highest Volume — 91,353 contracts
  • 2017-11-21: Largest IV drop — 20.2% change
  • 2017-11-13: Highest IV Rank — 91.9%
  • 2017-11-13: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.38$76.47$83.40$79.92$83.29
Max Pain$79.98$79.50$80.00$79.50$80.00
ATM IV23.6%16.0%28.3%24.9%18.2%
Expected Move6.7%5.0%8.1%6.0%6.0%
HV 20d22.0%12.8%25.5%12.8%25.5%
HV 60d18.3%17.1%20.3%18.1%17.9%
IV Rank59.9%8.3%91.9%68.4%23.2%
IV Percentile69.1%4.8%95.6%81.3%36.1%
Term Structure-0.4%-2.1%2.5%-0.9%-0.2%
VWIV23.6%16.9%28.7%21.2%21.3%
Skew 25d3.6%0.7%10.1%3.5%2.3%
Skew 10d7.9%2.7%17.6%7.0%8.1%
Call IV 25d22.3%16.1%26.9%23.8%18.0%
Put IV 25d25.8%17.3%36.8%27.3%20.3%
Bid-Ask Spread %11.742.7245.7130.5311.18
Gamma HHI0.130.070.360.110.18
Net GEX14.8M-13.1M44.1M18.1M44.1M
Net DEX-170.3M-560.5M63.5M-188.7M-546.1M
Net VEX-2.1M-2.3M-2.0M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.361.630.850.60
Total Volume24,641.9059,37891,35313,53818,182
Total OI255,003222,019293,458223,228274,838

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$79.92$79.5024.9%6.0%12.8%68.4%21.2%3.5%-0.9%18.1M-188.7M-2.2M0.8530.53N/AN/A7,3096,229121,272101,956
2017-11-02$76.47$80.0026.7%7.4%19.4%80.6%25.6%4.7%1.6%1.4M63.5M-2.1M0.827.29N/AN/A16,68713,654124,832103,870
2017-11-03$77.88$80.0025.9%7.3%20.8%75.5%25.6%5.8%2.5%5.6M-30.1M-2.2M0.5910.78N/AN/A9,3555,540128,287110,631
2017-11-06$77.39$80.0026.9%7.4%20.9%81.9%27.0%4.3%-1.2%4.0M5.4M-2.1M1.182.72N/AN/A5,1356,036127,080109,541
2017-11-07$77.57$80.0026.7%7.4%20.9%81.0%26.3%3.6%-0.2%3.6M-5.8M-2.1M1.034.07N/AN/A4,6284,750127,429111,175
2017-11-08$78.15$80.0026.6%7.4%21.2%80.4%25.4%3.8%-0.7%8.3M-55.6M-2.1M0.663.44N/AN/A7,2244,780128,888111,668
2017-11-09$78.05$80.0026.9%7.5%21.0%81.9%26.9%3.6%-0.3%7.1M-49.6M-2.1M0.723.02N/AN/A5,8794,240132,066112,303
2017-11-10$77.50$80.0026.8%7.6%20.6%81.5%27.0%10.1%0.4%997.7K-4.0M-2.1M1.276.06N/AN/A6,5418,308133,978112,149
2017-11-13$77.47$80.0028.3%8.1%20.2%91.9%27.5%3.7%-2.1%5.2M-10.4M-2.0M1.637.34N/AN/A10,53617,220130,689113,319
2017-11-14$79.19$80.0026.9%7.6%22.0%82.0%26.7%3.7%-0.7%17.4M-160.5M-2.1M0.465.04N/AN/A19,7329,016136,314118,360
2017-11-15$78.28$80.0027.3%7.8%22.3%84.7%28.7%3.2%-1.9%7.9M-81.3M-2.1M0.826.77N/AN/A8,0456,603141,107121,980
2017-11-16$79.50$80.0025.4%7.3%23.0%72.3%25.8%3.7%-0.6%32.7M-212.7M-2.1M0.576.73N/AN/A8,4374,813141,335123,959
2017-11-17$80.25$80.0025.5%7.4%22.8%72.5%25.3%3.3%-1.7%43.3M-345.0M-2.1M0.5612.28N/AN/A23,81413,385143,957125,178
2017-11-20$81.58$80.0025.7%7.7%23.4%74.0%26.0%0.7%-0.9%14.1M-307.1M-2.2M0.5545.71N/AN/A58,97432,379116,199105,820
2017-11-21$80.70$80.0020.5%5.7%23.6%38.9%19.5%4.7%-0.6%17.1M-265.2M-2.2M1.0036.76N/AN/A23,43823,456154,633125,289
2017-11-22$79.68$80.0017.4%5.0%24.0%18.2%16.9%2.7%-0.4%-5.3M-150.1M-2.2M0.937.27N/AN/A15,30314,233160,686130,431
2017-11-24$79.24$80.0016.0%5.0%23.8%8.3%17.1%1.2%-1.5%-13.1M-103.6M-2.1M1.2014.84N/AN/A10,22912,295164,392129,066
2017-11-27$79.80$80.0017.6%5.1%23.5%19.0%17.5%2.1%-0.0%19.3M-190.9M-2.1M0.615.49N/AN/A10,6506,515152,957108,941
2017-11-28$81.60$80.0017.2%5.1%24.4%16.3%18.2%1.5%0.6%35.4M-378.2M-2.2M0.7510.90N/AN/A14,82211,121154,694111,877
2017-11-29$83.40$80.0018.5%5.9%25.5%25.0%20.4%2.5%-0.3%44.0M-560.5M-2.3M0.368.29N/AN/A20,6167,371156,900115,017
2017-11-30$83.29$80.0018.2%6.0%25.5%23.2%21.3%2.3%-0.2%44.1M-546.1M-2.3M0.6011.18N/AN/A11,3306,852159,480115,358