LOW Options History — September 2021

In September 2021, LOW traded between $203.64 and $210.90. ATM implied volatility averaged 21.1%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 7.6% (HV 20d: 28.6%). Max pain ranged from $195.00 to $200.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2021-09-17: Highest Volume — 36,282 contracts
  • 2021-09-20: Largest IV spike — 20.0% change
  • 2021-09-20: Highest IV Rank — 24.8%
  • 2021-09-20: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$206.35$203.64$210.90$203.64$203.80
Max Pain$199.05$195.00$200.00$195.00$200.00
ATM IV21.1%19.2%24.5%19.3%23.5%
Expected Move6.0%5.4%7.0%5.4%6.4%
HV 20d28.6%13.6%44.2%44.1%17.9%
HV 60d28.7%28.3%29.6%28.6%29.6%
IV Rank11.4%4.2%24.8%4.5%20.7%
IV Percentile12.8%0.8%29.8%0.8%29.8%
Term Structure0.4%-1.0%1.5%0.9%0.4%
VWIV21.6%18.8%25.1%18.8%23.3%
Skew 25d3.1%2.0%4.5%2.1%4.4%
Skew 10d7.2%3.1%11.1%5.4%8.5%
Call IV 25d20.4%18.3%23.7%19.2%22.7%
Put IV 25d23.5%20.3%27.7%21.2%27.1%
Bid-Ask Spread %26.815.5750.4320.6138.13
Gamma HHI0.200.130.550.160.13
Net GEX29.1M-17.6M123.0M13.9M-17.6M
Net DEX-652.2M-979.6M-245.1M-590.4M-245.1M
Net VEX-6.2M-6.4M-5.8M-6.0M-6.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.502.160.841.46
Total Volume18,493.6679,32136,28215,82727,863
Total OI261,662.857236,388276,367253,006274,778

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$203.64$195.0019.3%5.4%44.1%4.5%18.8%2.1%0.9%13.9M-590.4M-6.0M0.8420.61N/AN/A8,6207,207115,074137,932
2021-09-02$206.13$195.0019.8%5.6%44.2%6.5%20.5%2.1%1.4%31.5M-758.1M-6.1M1.1724.70N/AN/A7,4208,672116,306138,693
2021-09-03$206.17$195.0019.2%5.5%44.2%4.2%21.3%2.0%0.7%32.8M-796.3M-5.9M1.4313.04N/AN/A6,5009,306118,852140,655
2021-09-07$205.43$195.0020.2%5.7%44.0%8.0%21.3%2.2%-0.4%24.0M-725.7M-5.8M1.175.57N/AN/A5,6526,611112,112138,494
2021-09-08$203.87$200.0020.6%6.1%44.2%9.6%20.9%2.7%0.7%16.1M-613.5M-6.0M0.6026.49N/AN/A9,6215,751113,989141,486
2021-09-09$203.68$200.0020.1%6.0%43.5%7.8%22.2%2.6%0.8%12.0M-567.1M-6.0M1.2435.36N/AN/A6,4027,958116,111143,513
2021-09-10$204.68$200.0021.1%6.2%43.1%11.6%22.7%2.8%0.9%35.2M-659.8M-6.2M1.357.51N/AN/A6,7989,161118,989145,058
2021-09-13$205.71$200.0020.5%5.8%42.9%9.4%21.2%2.3%1.3%31.3M-730.2M-6.1M0.689.98N/AN/A9,8826,703117,098144,659
2021-09-14$204.49$200.0021.2%6.1%42.9%12.0%21.1%2.9%-0.1%24.5M-632.3M-6.1M0.656.82N/AN/A7,0444,566118,207148,771
2021-09-15$206.10$200.0019.3%5.5%37.1%4.7%20.4%2.9%1.5%35.3M-725.7M-6.2M0.7145.86N/AN/A5,4383,883120,149151,557
2021-09-16$208.85$200.0019.6%5.6%16.7%5.8%20.2%2.8%0.5%62.8M-926.3M-6.2M0.7845.67N/AN/A16,97913,170122,224152,946
2021-09-17$209.52$200.0020.4%5.8%16.5%9.0%21.1%3.1%0.6%123.0M-979.6M-6.2M0.5050.43N/AN/A24,16512,117122,312154,055
2021-09-20$204.89$200.0024.5%7.0%15.0%24.8%25.1%4.0%-1.0%8.4M-437.8M-6.3M1.1933.57N/AN/A11,82614,129100,558135,830
2021-09-21$206.97$200.0023.4%6.4%15.1%20.2%23.1%4.5%0.0%22.2M-554.7M-6.4M1.2011.08N/AN/A6,0067,225108,067140,294
2021-09-22$209.17$200.0021.7%6.0%14.4%13.9%23.4%4.2%0.0%37.3M-721.1M-6.3M2.1646.31N/AN/A10,50622,668111,185147,202
2021-09-23$208.24$200.0020.4%5.7%13.7%8.9%20.1%3.3%-0.1%36.9M-666.7M-6.3M1.3337.37N/AN/A7,3549,772113,119150,988
2021-09-24$208.04$200.0019.9%5.6%13.6%6.9%19.8%3.0%0.2%19.6M-614.9M-6.3M1.1928.26N/AN/A4,3665,203112,449158,873
2021-09-27$210.90$200.0021.2%5.8%14.3%11.8%21.2%3.1%0.1%35.8M-790.3M-6.2M0.6522.84N/AN/A9,0575,921106,879154,154
2021-09-28$205.78$200.0023.0%6.6%16.7%18.9%22.8%3.9%0.2%6.5M-424.5M-6.3M1.4831.26N/AN/A9,49114,064108,388155,534
2021-09-29$207.28$200.0023.2%6.3%16.8%19.8%21.9%3.5%0.1%19.3M-535.5M-6.2M1.7822.16N/AN/A4,7868,504110,828156,552
2021-09-30$203.80$200.0023.5%6.4%17.9%20.7%23.3%4.4%0.4%-17.6M-245.1M-6.3M1.4638.13N/AN/A11,30816,555113,808160,970