LOW Options History — July 2007

In July 2007, LOW traded between $27.77 and $31.11. ATM implied volatility averaged 23.6%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.1% (HV 20d: 17.5%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.91.

Notable Days

2007-07-19: Highest Volume — 26,724 contracts
2007-07-12: Largest IV spike — 16.1% change
2007-07-30: Highest IV Rank — 82.3%
2007-07-30: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.71	$27.77	$31.11	$30.71	$28.01
Max Pain	$30.95	$30.00	$32.50	$32.50	$30.00
ATM IV	23.6%	20.1%	28.2%	21.6%	27.7%
Expected Move	6.9%	6.0%	8.1%	6.2%	7.9%
HV 20d	17.5%	14.8%	19.6%	15.7%	19.2%
HV 60d	19.7%	18.8%	20.6%	18.9%	20.6%
IV Rank	55.8%	33.3%	82.3%	37.8%	79.5%
IV Percentile	60.6%	18.5%	93.7%	23.0%	91.7%
Term Structure	2.6%	0.9%	3.6%	2.7%	2.3%
VWIV	23.6%	18.2%	27.9%	19.8%	27.5%
Skew 25d	1.6%	-5.0%	5.2%	0.5%	-3.2%
Skew 10d	2.9%	-6.7%	13.8%	-2.4%	-6.6%
Call IV 25d	23.3%	19.8%	27.9%	20.1%	27.3%
Put IV 25d	24.9%	20.6%	30.4%	20.6%	24.1%
Bid-Ask Spread %	6.81	4.49	9.89	5.86	6.34
Gamma HHI	0.30	0.16	0.48	0.28	0.16
Net GEX	-3.1M	-7.2M	-566.6K	-2.2M	-881.2K
Net DEX	56.4M	-6.3M	98.2M	17.7M	94.0M
Net VEX	-2.0M	-2.1M	-1.8M	-2.0M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.15	2.25	0.20	1.06
Total Volume	10,068.381	1,301	26,724	3,706	3,590
Total OI	343,283.571	298,434	375,662	347,473	320,093

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-07-02	$30.71	$32.50	21.6%	6.2%	15.7%	0.0%	19.8%	0.5%	2.7%	-2.2M	17.7M	-2.0M	0.20	5.86	N/A	N/A	3,094	612	172,213	175,260
2007-07-03	$30.79	$32.50	21.5%	6.2%	15.0%	0.0%	18.2%	0.5%	3.0%	-2.4M	16.4M	-2.1M	1.99	4.49	N/A	N/A	435	866	171,672	175,435
2007-07-05	$30.78	$32.50	20.8%	6.0%	14.8%	37.8%	20.7%	-0.2%	3.5%	-2.6M	15.6M	-2.0M	0.50	4.53	N/A	N/A	1,824	911	171,977	176,410
2007-07-06	$31.11	$32.50	22.9%	6.9%	14.9%	50.2%	22.7%	5.2%	1.8%	-1.5M	-6.3M	-2.1M	0.74	6.03	N/A	N/A	4,151	3,082	172,980	176,933
2007-07-09	$30.74	$32.50	20.9%	6.9%	14.8%	38.0%	23.1%	3.2%	1.7%	-2.6M	16.1M	-2.0M	0.73	6.89	N/A	N/A	8,171	5,926	174,820	177,983
2007-07-10	$29.98	$32.50	20.8%	6.8%	16.8%	37.2%	22.5%	3.8%	3.3%	-3.8M	63.2M	-2.0M	0.69	7.88	N/A	N/A	5,536	3,808	180,257	181,746
2007-07-11	$30.02	$32.50	20.1%	6.7%	16.3%	33.3%	23.2%	2.7%	3.1%	-5.3M	73.7M	-2.0M	2.25	8.56	N/A	N/A	3,327	7,493	178,119	182,466
2007-07-12	$30.71	$32.50	23.4%	6.7%	18.4%	52.9%	22.6%	4.4%	3.0%	-4.2M	23.7M	-2.1M	1.66	6.59	N/A	N/A	3,566	5,933	180,009	187,851
2007-07-13	$30.76	$30.00	23.2%	6.6%	18.4%	52.0%	22.3%	3.5%	3.2%	-4.3M	17.2M	-2.0M	0.66	6.42	N/A	N/A	2,234	1,483	180,019	185,914
2007-07-16	$30.17	$30.00	24.1%	6.9%	19.4%	57.4%	24.3%	1.4%	2.7%	-5.9M	55.6M	-2.0M	0.45	6.77	N/A	N/A	4,690	2,120	180,821	182,340
2007-07-17	$29.86	$30.00	23.9%	6.9%	19.5%	56.5%	23.8%	2.4%	2.1%	-6.5M	76.4M	-2.0M	0.29	7.58	N/A	N/A	2,998	863	181,372	182,335
2007-07-18	$29.68	$30.00	23.9%	6.8%	19.6%	56.1%	23.9%	1.8%	2.6%	-7.2M	98.2M	-2.0M	0.38	7.33	N/A	N/A	7,573	2,882	178,223	182,597
2007-07-19	$29.68	$30.00	22.8%	6.5%	19.5%	49.7%	22.8%	1.5%	3.6%	-6.5M	90.3M	-2.0M	0.59	7.31	N/A	N/A	16,812	9,912	184,306	180,203
2007-07-20	$29.63	$30.00	23.2%	6.6%	19.1%	51.8%	24.1%	0.2%	3.1%	-4.3M	78.5M	-2.1M	2.13	9.89	N/A	N/A	3,388	7,231	192,797	182,865
2007-07-23	$29.43	$30.00	23.2%	6.7%	17.0%	52.0%	23.6%	-0.3%	2.9%	-969.2K	44.9M	-1.9M	0.15	6.10	N/A	N/A	7,118	1,051	147,350	151,084
2007-07-24	$28.92	$30.00	22.7%	6.5%	17.4%	49.3%	24.4%	1.2%	3.4%	-1.1M	67.7M	-1.9M	0.23	5.38	N/A	N/A	13,198	3,039	150,271	151,395
2007-07-25	$28.63	$30.00	25.4%	7.3%	17.6%	65.6%	24.4%	1.5%	2.5%	-1.5M	81.7M	-1.9M	0.23	6.01	N/A	N/A	21,207	4,837	149,807	153,067
2007-07-26	$28.36	$30.00	27.4%	7.9%	17.4%	77.6%	26.9%	3.5%	1.6%	-939.2K	80.1M	-1.9M	0.23	8.20	N/A	N/A	16,931	3,865	162,599	154,933
2007-07-27	$27.77	$30.00	27.9%	8.0%	17.9%	80.5%	27.9%	-5.0%	0.9%	-566.6K	96.4M	-1.8M	2.21	7.47	N/A	N/A	1,605	3,548	167,469	153,149
2007-07-30	$28.21	$30.00	28.2%	8.1%	19.3%	82.3%	27.7%	4.8%	0.9%	-627.0K	82.9M	-1.8M	1.82	7.30	N/A	N/A	3,737	6,789	163,412	154,403
2007-07-31	$28.01	$30.00	27.7%	7.9%	19.2%	79.5%	27.5%	-3.2%	2.3%	-881.2K	94.0M	-1.8M	1.06	6.34	N/A	N/A	1,740	1,850	163,496	156,597