LOW Options History — September 2020

In September 2020, LOW traded between $153.89 and $170.54. ATM implied volatility averaged 32.5%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 1.4% (HV 20d: 34.0%). Max pain ranged from $145.00 to $155.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2020-09-04: Highest Volume — 35,352 contracts
  • 2020-09-03: Largest IV spike — 12.5% change
  • 2020-09-08: Highest IV Rank — 17.8%
  • 2020-09-08: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$162.04$153.89$170.54$166.84$165.71
Max Pain$150.71$145.00$155.00$145.00$155.00
ATM IV32.5%29.1%37.4%31.0%30.9%
Expected Move9.2%8.3%10.5%8.6%8.5%
HV 20d34.0%20.1%37.1%20.1%36.7%
HV 60d24.8%21.7%25.8%21.7%25.8%
IV Rank13.6%10.5%17.8%12.2%12.1%
IV Percentile53.9%32.9%75.8%48.4%42.1%
Term Structure0.4%-1.6%3.6%0.0%3.2%
VWIV32.7%29.8%37.5%30.4%30.6%
Skew 25d5.1%3.4%6.1%3.4%5.1%
Skew 10d10.3%5.3%14.1%5.3%10.5%
Call IV 25d31.1%28.0%38.8%30.7%29.1%
Put IV 25d36.2%32.8%42.5%34.1%34.2%
Bid-Ask Spread %20.204.2237.114.394.22
Gamma HHI0.110.070.410.140.12
Net GEX21.4M5.0M52.6M33.4M24.0M
Net DEX-590.7M-1.05B-271.9M-884.9M-647.9M
Net VEX-2.9M-3.2M-2.7M-3.0M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.261.420.260.66
Total Volume18,682.6678,62135,35220,36515,493
Total OI202,937.857174,576224,808205,270184,640

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$166.84$145.0031.0%8.6%20.1%12.2%30.4%3.4%0.0%33.4M-884.9M-3.0M0.264.39N/AN/A16,1684,197118,85286,418
2020-09-02$170.54$145.0030.7%8.6%20.8%12.0%32.1%4.1%0.3%42.3M-1.05B-3.0M0.547.82N/AN/A17,6709,610118,80788,366
2020-09-03$161.32$150.0034.5%10.2%30.2%15.3%34.8%5.5%0.1%12.8M-548.3M-3.2M0.5826.57N/AN/A16,5759,675119,04793,496
2020-09-04$156.90$150.0034.6%10.1%32.0%15.4%36.1%5.4%-0.6%7.1M-325.6M-3.1M0.7837.11N/AN/A19,84615,506121,98695,772
2020-09-08$153.89$150.0037.4%10.5%32.8%17.8%37.5%3.7%-0.6%5.0M-271.9M-3.1M1.4227.44N/AN/A7,90611,212116,73493,641
2020-09-09$159.72$150.0034.4%9.7%35.3%15.2%34.4%4.8%-0.6%14.6M-534.5M-3.0M0.4229.38N/AN/A14,9706,293118,62393,899
2020-09-10$158.43$150.0034.2%9.3%34.8%15.1%32.1%5.6%-1.6%16.4M-491.7M-3.0M0.3622.74N/AN/A16,5926,037122,50695,157
2020-09-11$162.02$150.0031.6%9.2%35.6%12.7%31.7%5.7%0.8%23.1M-669.3M-3.0M0.4431.84N/AN/A13,9886,180124,95696,702
2020-09-14$165.46$150.0030.6%8.8%35.7%11.9%30.7%5.1%0.6%33.2M-858.8M-2.8M0.4929.44N/AN/A10,6595,214119,28394,314
2020-09-15$168.84$150.0029.1%8.3%35.1%10.5%29.8%4.8%0.4%39.4M-1.02B-2.7M0.3821.70N/AN/A16,2526,113120,55295,327
2020-09-16$166.89$150.0030.7%8.8%35.4%11.9%30.2%5.0%-0.3%37.0M-924.2M-2.7M0.5832.31N/AN/A13,9878,167120,96596,905
2020-09-17$163.34$150.0032.6%9.3%36.5%13.6%32.0%5.3%1.0%28.5M-713.7M-2.8M0.4431.05N/AN/A11,0374,852123,45999,688
2020-09-18$160.49$150.0031.8%9.2%37.1%12.9%31.6%5.2%-0.4%52.6M-538.7M-2.8M0.7115.19N/AN/A12,2708,720124,223100,585
2020-09-21$158.49$155.0033.6%9.6%36.8%14.5%35.4%5.9%-0.2%7.1M-337.2M-2.8M0.7619.36N/AN/A9,6957,32492,32082,256
2020-09-22$161.67$150.0032.9%9.3%36.6%13.9%33.4%4.9%-0.2%14.4M-466.5M-2.8M0.6917.74N/AN/A7,9055,44195,54484,647
2020-09-23$158.50$150.0034.3%9.7%37.1%15.1%36.2%5.6%0.1%7.8M-348.9M-2.8M0.8915.49N/AN/A6,3395,63398,24386,883
2020-09-24$158.43$150.0034.3%9.7%35.9%15.1%33.7%5.1%-0.4%6.7M-346.2M-2.8M0.9723.69N/AN/A7,1736,96698,60887,651
2020-09-25$159.41$155.0031.7%8.9%35.6%12.8%31.7%5.0%-0.2%10.1M-378.0M-2.8M0.889.48N/AN/A6,1405,417100,67390,268
2020-09-28$162.94$155.0031.5%8.8%36.5%12.7%31.2%5.1%2.6%15.8M-536.2M-2.7M0.749.02N/AN/A6,0354,45893,33585,057
2020-09-29$162.96$155.0030.6%8.6%36.5%11.9%30.8%6.1%3.6%17.6M-510.7M-2.8M1.118.22N/AN/A4,0834,53894,61686,691
2020-09-30$165.71$155.0030.9%8.5%36.7%12.1%30.6%5.1%3.2%24.0M-647.9M-2.7M0.664.22N/AN/A9,3116,18295,71988,921