LOW Options History — December 2019

In December 2019, LOW traded between $114.33 and $120.11. ATM implied volatility averaged 18.8%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.5% (HV 20d: 17.3%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2019-12-16: Highest Volume — 19,964 contracts
  • 2019-12-13: Largest IV drop — 9.4% change
  • 2019-12-03: Highest IV Rank — 14.9%
  • 2019-12-03: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.30$114.33$120.11$116.29$119.62
Max Pain$110.24$105.00$115.00$115.00$110.00
ATM IV18.8%17.5%21.2%19.8%18.5%
Expected Move5.5%5.0%6.5%6.0%5.3%
HV 20d17.3%12.4%20.4%18.2%12.4%
HV 60d17.6%16.5%18.0%17.3%16.5%
IV Rank4.8%0.0%14.9%8.6%4.3%
IV Percentile7.9%0.0%22.6%15.9%5.6%
Term Structure0.3%-0.3%1.0%0.3%0.2%
VWIV19.5%17.6%22.8%20.8%19.1%
Skew 25d3.0%2.6%3.5%3.0%3.1%
Skew 10d5.9%4.8%7.3%5.5%6.0%
Call IV 25d17.5%16.4%19.8%18.4%17.4%
Put IV 25d20.5%19.0%23.2%21.4%20.5%
Bid-Ask Spread %2.611.653.583.332.52
Gamma HHI0.200.100.730.110.16
Net GEX37.6M-14.4M167.6M25.6M28.5M
Net DEX-608.9M-768.0M-362.4M-501.0M-625.6M
Net VEX-2.6M-2.9M-2.3M-2.9M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.441.470.831.05
Total Volume9,250.8572,97019,9648,8308,492
Total OI241,048219,119253,808244,162224,832

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$116.29$115.0019.8%6.0%18.2%8.6%20.8%3.0%0.3%25.6M-501.0M-2.9M0.833.33N/AN/A4,8284,002131,994112,168
2019-12-03$114.33$115.0021.2%6.5%19.3%14.9%22.8%3.4%0.3%17.2M-362.4M-2.9M1.252.94N/AN/A4,3755,465133,753113,260
2019-12-04$115.66$115.0019.4%5.9%19.7%6.4%20.2%2.8%0.8%23.2M-448.7M-2.8M0.473.35N/AN/A10,2524,786133,716114,378
2019-12-05$115.58$105.0019.1%5.9%19.7%5.0%20.3%2.9%0.6%22.7M-446.7M-2.8M0.683.28N/AN/A4,6093,134136,753115,398
2019-12-06$116.44$105.0018.6%5.7%19.7%3.0%19.7%2.6%0.7%23.7M-510.7M-2.7M0.723.25N/AN/A6,3084,569137,767116,041
2019-12-09$117.90$110.0019.5%5.6%19.7%7.1%21.6%3.3%-0.1%33.1M-598.4M-2.7M0.842.04N/AN/A3,7953,183131,278111,798
2019-12-10$116.52$110.0020.4%6.1%20.3%11.1%21.3%3.5%0.6%26.6M-498.0M-2.7M1.433.52N/AN/A3,4564,956132,518112,423
2019-12-11$117.38$110.0020.0%6.0%20.4%9.3%20.3%3.3%1.0%30.8M-560.8M-2.7M1.042.30N/AN/A3,8203,975133,736114,578
2019-12-12$118.26$110.0019.4%5.5%19.7%6.5%20.5%3.1%-0.3%42.0M-640.1M-2.6M0.942.18N/AN/A3,3363,133134,814113,814
2019-12-13$118.27$110.0017.5%5.0%19.2%0.0%18.4%2.6%0.1%45.9M-645.1M-2.5M0.492.02N/AN/A8,2474,077135,040114,489
2019-12-16$120.11$110.0017.9%5.2%19.8%1.7%18.5%2.6%0.3%49.7M-768.0M-2.4M0.441.74N/AN/A13,8296,135130,925111,243
2019-12-17$119.42$110.0018.1%5.2%19.9%2.7%18.7%2.8%0.4%48.3M-717.5M-2.5M0.831.65N/AN/A4,6043,802134,743113,080
2019-12-18$119.52$110.0017.9%5.1%18.7%1.5%18.7%2.8%0.2%54.9M-714.9M-2.5M0.682.02N/AN/A3,8202,588135,695114,051
2019-12-19$119.97$110.0017.7%5.1%14.2%0.7%18.5%2.8%0.3%66.4M-762.7M-2.5M0.712.13N/AN/A3,8192,710136,601114,974
2019-12-20$119.84$110.0017.6%5.0%14.2%0.4%17.6%2.8%0.1%167.6M-737.7M-2.4M0.502.02N/AN/A7,4673,751137,446115,416
2019-12-23$119.56$110.0018.0%5.1%14.1%1.9%18.1%2.8%0.1%24.9M-636.1M-2.4M1.092.37N/AN/A4,6695,076117,235101,884
2019-12-24$119.84$110.0017.9%5.2%13.7%1.9%18.3%2.9%0.3%23.8M-650.1M-2.4M0.492.75N/AN/A1,992978118,916104,442
2019-12-26$119.85$110.0018.0%5.1%13.5%2.1%18.2%3.1%0.6%19.5M-654.4M-2.3M0.573.58N/AN/A4,0572,316119,356104,811
2019-12-27$120.01$110.0018.5%5.3%13.4%4.5%18.4%3.0%-0.1%-14.4M-660.8M-2.4M1.473.06N/AN/A4,0906,027121,390105,980
2019-12-30$119.96$110.0019.0%5.5%12.6%6.7%19.8%3.1%0.1%28.9M-647.9M-2.4M0.952.84N/AN/A5,0044,736118,283100,989
2019-12-31$119.62$110.0018.5%5.3%12.4%4.3%19.1%3.1%0.2%28.5M-625.6M-2.4M1.052.52N/AN/A4,1464,346120,496104,336