LOW Options History — January 2020

In January 2020, LOW traded between $116.43 and $122.90. ATM implied volatility averaged 21.2%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 9.2% (HV 20d: 12.0%). Max pain ranged from $110.00 to $121.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2020-01-17: Highest Volume — 28,674 contracts
  • 2020-01-27: Largest IV spike — 22.5% change
  • 2020-01-31: Highest IV Rank — 69.0%
  • 2020-01-31: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.50$116.43$122.90$119.94$116.43
Max Pain$119.29$110.00$121.00$110.00$121.00
ATM IV21.2%17.1%32.7%18.5%32.7%
Expected Move5.4%4.8%6.7%5.3%6.7%
HV 20d12.0%8.2%18.5%10.3%18.5%
HV 60d15.6%14.9%16.5%16.4%16.5%
IV Rank17.7%0.0%69.0%4.3%69.0%
IV Percentile26.1%0.0%90.9%5.6%90.9%
Term Structure1.6%-1.5%9.6%0.3%-1.5%
VWIV19.1%17.1%23.2%19.3%23.2%
Skew 25d3.2%2.0%5.3%3.0%4.9%
Skew 10d6.2%4.1%10.2%6.0%8.5%
Call IV 25d19.8%16.1%30.6%17.1%30.6%
Put IV 25d22.9%18.1%35.5%20.1%35.5%
Bid-Ask Spread %4.662.409.362.405.39
Gamma HHI0.140.090.210.160.09
Net GEX21.0M-1.1M30.2M28.1M-1.1M
Net DEX-527.0M-777.2M-155.1M-641.3M-155.1M
Net VEX-2.5M-2.8M-2.3M-2.4M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.321.870.840.74
Total Volume12,240.5245,72728,6745,72712,577
Total OI206,197.238149,843249,013227,355175,614

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$119.94$110.0018.5%5.3%10.3%4.3%19.3%3.0%0.3%28.1M-641.3M-2.4M0.842.40N/AN/A3,1132,614121,343106,012
2020-01-03$119.67$110.0018.9%5.5%9.8%6.3%19.4%2.9%0.1%24.3M-617.6M-2.4M0.742.59N/AN/A5,7144,245122,090106,756
2020-01-06$119.94$120.0018.7%5.6%9.7%5.4%19.6%3.2%0.4%28.6M-629.7M-2.3M1.873.91N/AN/A4,3398,094118,826105,057
2020-01-07$119.67$120.0018.1%5.3%9.6%2.6%18.8%2.7%0.6%25.8M-594.2M-2.4M0.966.39N/AN/A6,3716,118119,996110,425
2020-01-08$121.70$120.0018.0%5.4%10.4%2.1%18.4%2.7%0.3%28.7M-719.2M-2.4M0.693.82N/AN/A12,1198,366120,699115,255
2020-01-09$122.09$120.0017.4%5.3%9.1%0.0%18.6%2.7%0.4%30.2M-749.2M-2.4M0.543.10N/AN/A8,6424,686123,803118,651
2020-01-10$121.16$120.0017.1%5.1%9.6%0.0%17.5%2.5%0.4%25.6M-685.2M-2.5M0.703.76N/AN/A8,0655,684125,686120,756
2020-01-13$121.08$120.0017.5%5.2%9.3%1.6%17.6%2.8%0.5%27.4M-660.1M-2.4M0.492.93N/AN/A4,3922,173122,762117,883
2020-01-14$120.06$120.0017.9%5.1%9.9%3.7%17.8%2.6%-0.2%25.3M-576.7M-2.4M0.542.89N/AN/A5,5222,977123,083118,445
2020-01-15$119.42$120.0017.5%5.0%8.5%2.0%17.5%2.6%-0.1%24.9M-524.5M-2.4M0.325.02N/AN/A6,8202,204123,641118,953
2020-01-16$119.40$120.0017.1%4.8%8.2%0.0%17.1%2.1%-0.5%26.6M-512.0M-2.3M0.536.36N/AN/A7,5364,019124,487119,681
2020-01-17$122.33$120.0017.1%5.0%11.9%0.0%17.1%2.0%0.5%25.1M-777.2M-2.4M0.545.11N/AN/A18,62510,049127,218121,795
2020-01-21$121.13$120.0018.1%5.2%12.5%4.7%18.4%2.7%8.3%17.5M-418.2M-2.4M0.665.73N/AN/A7,4354,87789,25560,588
2020-01-22$121.96$120.0018.2%5.2%12.7%4.9%18.4%2.6%9.6%22.3M-462.1M-2.6M0.514.02N/AN/A9,2664,74492,59563,073
2020-01-23$122.90$120.0020.3%5.3%12.8%14.3%18.6%2.6%9.1%28.4M-518.5M-2.7M0.483.76N/AN/A5,9852,84895,88364,822
2020-01-24$120.08$120.0023.6%5.8%15.5%28.9%20.1%2.7%9.2%6.6M-360.6M-2.6M0.893.79N/AN/A11,0399,82198,29165,771
2020-01-27$120.18$121.0028.9%6.2%15.5%52.4%20.9%5.3%-1.1%11.4M-363.2M-2.7M0.545.94N/AN/A5,4072,92196,03265,965
2020-01-28$121.25$121.0028.6%5.6%15.8%51.0%20.8%4.9%-1.1%15.7M-420.5M-2.7M1.426.85N/AN/A4,5456,44198,66067,089
2020-01-29$120.69$121.0030.1%5.7%15.9%57.9%20.6%4.6%-1.3%13.3M-377.0M-2.8M0.484.65N/AN/A4,1211,96299,89171,022
2020-01-30$119.33$121.0030.7%6.0%16.4%60.2%21.0%4.2%-0.7%6.7M-304.4M-2.7M0.749.36N/AN/A6,0804,495100,65971,629
2020-01-31$116.43$121.0032.7%6.7%18.5%69.0%23.2%4.9%-1.5%-1.1M-155.1M-2.7M0.745.39N/AN/A7,2125,365102,56473,050