LOW Options History — November 2019

In November 2019, LOW traded between $112.40 and $118.48. ATM implied volatility averaged 27.9%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 10.6% (HV 20d: 17.3%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2019-11-20: Highest Volume — 97,729 contracts
  • 2019-11-20: Largest IV drop — 39.4% change
  • 2019-11-18: Highest IV Rank — 84.4%
  • 2019-11-18: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.98$112.40$118.48$112.66$117.13
Max Pain$112.75$110.00$115.00$110.00$115.00
ATM IV27.9%18.2%37.1%28.5%19.2%
Expected Move7.5%5.3%10.4%5.5%5.7%
HV 20d17.3%13.5%20.0%19.1%18.2%
HV 60d22.3%17.3%28.5%28.5%17.3%
IV Rank43.9%0.9%84.4%46.6%5.7%
IV Percentile57.4%1.2%97.6%62.3%11.5%
Term Structure-1.5%-4.0%0.3%-1.4%-0.1%
VWIV26.3%19.1%36.8%19.2%19.7%
Skew 25d4.2%2.2%6.1%4.5%2.2%
Skew 10d9.0%4.4%15.7%9.7%4.4%
Call IV 25d25.9%17.1%33.9%26.8%18.1%
Put IV 25d30.1%19.5%39.2%31.4%20.3%
Bid-Ask Spread %3.562.299.503.793.93
Gamma HHI0.200.100.650.160.12
Net GEX34.6M15.4M92.9M25.8M17.3M
Net DEX-598.4M-847.5M-462.2M-493.7M-560.8M
Net VEX-2.7M-3.1M-2.5M-2.7M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.171.450.630.62
Total Volume24,605.854,66797,72911,5326,406
Total OI236,291.6198,987312,102201,264263,222

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$112.66$110.0028.5%5.5%19.1%46.6%19.2%4.5%-1.4%25.8M-493.7M-2.7M0.633.79N/AN/A7,0824,450110,07191,193
2019-11-04$112.43$110.0030.1%8.0%18.9%53.5%26.7%4.4%-1.0%18.6M-465.6M-2.7M0.993.15N/AN/A3,5433,523108,16990,818
2019-11-05$112.40$110.0029.7%8.1%18.3%51.9%28.0%4.6%-0.8%19.2M-466.5M-2.7M1.403.60N/AN/A1,9412,726109,28891,833
2019-11-06$112.88$110.0030.4%7.7%18.1%54.7%27.9%5.0%-1.5%22.1M-493.4M-2.7M0.974.01N/AN/A5,4125,236110,27893,127
2019-11-07$112.60$110.0030.3%7.8%17.8%54.4%28.8%5.1%-1.3%21.7M-475.9M-2.7M0.814.17N/AN/A3,8793,126112,15895,016
2019-11-08$114.01$110.0030.2%7.8%15.3%53.9%28.4%5.1%-1.8%36.0M-567.2M-2.7M0.643.83N/AN/A4,2922,741113,27095,443
2019-11-11$114.34$110.0030.7%7.9%14.9%56.1%28.2%5.2%-2.4%29.8M-578.2M-2.5M1.453.25N/AN/A3,0284,377110,98193,565
2019-11-12$114.44$110.0031.3%8.2%13.5%58.9%28.5%5.3%-2.4%32.8M-587.1M-2.5M0.912.44N/AN/A4,9954,543112,09396,326
2019-11-13$112.88$110.0036.0%9.2%14.5%79.5%32.4%6.1%-4.0%21.5M-484.2M-2.7M1.089.50N/AN/A14,90316,075112,98798,900
2019-11-14$114.60$115.0035.3%9.5%15.4%76.6%32.8%5.6%-2.9%40.5M-601.5M-2.8M0.512.53N/AN/A9,3794,736120,589109,080
2019-11-15$115.15$115.0034.2%9.2%15.4%71.6%31.9%4.7%-2.9%92.9M-675.6M-2.7M0.872.29N/AN/A12,28610,650123,295109,386
2019-11-18$115.16$115.0037.1%10.4%15.1%84.4%36.8%4.5%-2.8%16.4M-554.0M-2.7M1.033.62N/AN/A19,19219,681110,667103,629
2019-11-19$113.26$115.0036.4%10.3%16.3%81.6%35.9%4.4%-2.7%15.4M-462.2M-3.0M0.973.42N/AN/A45,65844,237123,732115,531
2019-11-20$117.34$115.0022.1%6.3%20.0%18.9%22.2%3.3%-0.9%47.3M-782.9M-2.7M0.763.55N/AN/A55,67542,054153,125145,606
2019-11-21$117.04$115.0021.1%6.1%19.9%14.3%21.3%2.9%-0.3%42.7M-705.9M-2.8M0.792.77N/AN/A14,17111,263158,726150,579
2019-11-22$117.90$115.0019.2%5.6%19.8%5.7%19.7%2.9%-0.8%58.9M-798.7M-2.7M0.662.85N/AN/A11,8687,790160,585151,517
2019-11-25$117.02$115.0019.0%5.6%20.0%4.9%19.3%2.6%0.3%32.8M-645.9M-2.8M0.432.98N/AN/A15,7976,854135,763114,481
2019-11-26$117.97$115.0018.2%5.3%18.2%0.9%19.1%2.4%0.2%46.1M-722.0M-2.7M0.172.47N/AN/A38,0976,601140,176115,767
2019-11-27$118.48$115.0018.7%5.5%17.5%3.4%19.2%2.4%-0.0%54.2M-847.5M-3.1M0.722.96N/AN/A8,0675,783156,523118,337
2019-11-29$117.13$115.0019.2%5.7%18.2%5.7%19.7%2.2%-0.1%17.3M-560.8M-3.0M0.623.93N/AN/A3,9472,459142,709120,513