LOW Options History — March 2018

In March 2018, LOW traded between $84.04 and $89.41. ATM implied volatility averaged 24.6%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 9.6% (HV 20d: 34.2%). Max pain ranged from $87.50 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2018-03-22: Highest Volume — 75,961 contracts
  • 2018-03-22: Largest IV spike — 19.6% change
  • 2018-03-23: Highest IV Rank — 48.8%
  • 2018-03-23: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.55$84.04$89.41$88.17$87.72
Max Pain$89.05$87.50$95.00$95.00$87.50
ATM IV24.6%21.4%28.6%25.1%25.4%
Expected Move7.1%6.3%8.2%7.7%7.1%
HV 20d34.2%30.8%43.1%35.0%35.8%
HV 60d29.9%28.3%33.3%31.2%33.3%
IV Rank34.9%23.9%48.8%37.2%37.4%
IV Percentile69.0%52.8%88.5%71.8%69.8%
Term Structure0.3%-1.8%2.4%0.0%-0.7%
VWIV24.9%22.1%29.5%27.1%26.2%
Skew 25d3.1%1.8%5.1%4.2%3.5%
Skew 10d6.1%4.6%8.8%8.8%6.6%
Call IV 25d23.6%20.8%27.5%24.3%23.9%
Put IV 25d26.6%22.6%31.1%28.5%27.4%
Bid-Ask Spread %7.264.8110.767.919.34
Gamma HHI0.100.070.160.160.09
Net GEX15.2M8.1M29.5M9.1M24.6M
Net DEX-139.1M-685.0M220.2M20.1M-509.3M
Net VEX-3.8M-5.2M-3.1M-3.7M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.141.091.091.06
Total Volume28,427.57118,56575,96145,31920,131
Total OI336,551.476236,456388,236374,030334,423

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$88.17$95.0025.1%7.7%35.0%37.2%27.1%4.2%0.0%9.1M20.1M-3.7M1.097.91N/AN/A21,67823,641248,785125,245
2018-03-02$85.51$95.0026.5%7.9%35.9%42.1%27.5%3.4%-0.1%8.1M220.2M-3.5M0.405.71N/AN/A31,81112,841255,906132,330
2018-03-05$86.36$90.0024.4%7.0%36.1%34.5%24.9%2.7%2.4%11.8M70.3M-3.3M0.866.34N/AN/A10,8169,342244,017120,113
2018-03-06$87.00$90.0024.6%7.1%35.4%35.3%22.3%2.9%0.2%13.8M31.2M-3.4M0.675.98N/AN/A11,1377,428246,949123,805
2018-03-07$86.24$90.0024.7%7.2%34.0%35.4%22.5%3.2%0.4%9.6M71.0M-3.4M0.397.43N/AN/A17,5276,750237,652125,069
2018-03-08$85.84$90.0023.5%7.0%33.9%31.4%24.3%2.9%0.4%11.0M78.2M-3.2M0.6410.26N/AN/A12,3967,987236,680124,583
2018-03-09$87.16$90.0022.1%6.3%31.4%26.1%22.2%2.2%0.4%14.8M-12.4M-3.2M0.475.00N/AN/A12,8265,968237,550126,185
2018-03-12$87.90$90.0021.9%6.4%30.9%25.5%22.3%2.8%0.2%14.7M-80.7M-3.2M0.334.81N/AN/A16,5755,454236,847122,786
2018-03-13$86.05$90.0022.4%6.6%31.2%27.4%22.2%2.6%0.5%13.1M49.1M-3.1M0.536.42N/AN/A12,3836,548239,813123,433
2018-03-14$86.49$87.5022.0%6.3%31.2%25.9%23.2%2.8%-0.4%13.8M-19.0M-3.1M0.596.30N/AN/A16,0309,497240,777119,979
2018-03-15$85.54$87.5022.1%6.6%30.8%26.3%23.0%2.0%1.1%9.7M48.4M-3.2M0.378.08N/AN/A20,1217,418246,966124,098
2018-03-16$87.29$87.5021.4%6.3%32.2%23.9%22.1%1.8%0.6%14.7M-84.5M-3.2M0.4610.76N/AN/A18,1488,299249,342125,642
2018-03-19$85.86$87.5025.6%7.3%32.4%38.8%26.3%2.7%1.1%10.7M-174.7M-3.4M0.387.55N/AN/A24,0059,216147,11689,340
2018-03-20$85.66$87.5024.7%7.1%32.4%34.8%24.9%3.1%1.3%13.2M-212.1M-3.5M0.437.25N/AN/A14,6356,285159,04192,411
2018-03-21$87.43$87.5023.3%6.7%33.7%29.7%23.9%2.7%0.9%19.4M-350.1M-3.7M0.587.90N/AN/A12,9127,516166,88893,991
2018-03-22$85.87$87.5027.9%8.0%33.1%46.2%27.9%3.3%1.0%14.9M-267.4M-3.8M0.148.56N/AN/A66,8879,074170,69596,226
2018-03-23$84.04$87.5028.6%8.2%33.2%48.8%29.5%3.6%-1.3%18.3M-304.8M-5.0M0.738.38N/AN/A12,2228,973225,60998,842
2018-03-26$89.41$87.5025.6%7.3%41.4%37.8%26.7%3.4%0.2%29.5M-685.0M-5.2M0.635.98N/AN/A22,86414,380222,88098,000
2018-03-27$86.04$87.5028.4%7.7%43.1%48.2%26.9%5.1%-1.8%22.3M-412.2M-5.0M0.616.44N/AN/A18,60811,297225,914100,468
2018-03-28$86.07$87.5026.3%7.4%35.5%40.7%25.9%3.5%-0.3%21.5M-396.5M-5.0M0.456.13N/AN/A17,4457,908227,124104,061
2018-03-29$87.72$87.5025.4%7.1%35.8%37.4%26.2%3.5%-0.7%24.6M-509.3M-5.1M1.069.34N/AN/A9,76510,366228,450105,973