LOW Options History — March 2008

In March 2008, LOW traded between $20.53 and $24.33. ATM implied volatility averaged 42.4%, placing in the 76.1% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 0.8% (HV 20d: 43.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.86.

Notable Days

2008-03-13: Highest Volume — 33,182 contracts
2008-03-05: Largest IV spike — 14.4% change
2008-03-17: Highest IV Rank — 100.0%
2008-03-17: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.68	$20.53	$24.33	$24.33	$22.94
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	42.4%	35.2%	51.1%	35.5%	44.1%
Expected Move	12.1%	10.1%	14.7%	10.2%	12.7%
HV 20d	43.2%	31.0%	55.9%	33.7%	52.6%
HV 60d	44.2%	41.0%	48.3%	41.1%	48.1%
IV Rank	76.1%	56.4%	100.0%	57.2%	80.8%
IV Percentile	88.7%	72.2%	100.0%	73.4%	91.7%
Term Structure	-1.3%	-5.4%	2.3%	0.8%	-1.3%
VWIV	42.6%	36.8%	49.0%	39.9%	43.6%
Skew 25d	5.9%	1.5%	9.1%	6.1%	6.2%
Skew 10d	9.6%	-0.0%	22.6%	13.3%	2.6%
Call IV 25d	40.6%	36.0%	48.5%	36.0%	42.8%
Put IV 25d	46.5%	40.4%	54.3%	42.2%	49.0%
Bid-Ask Spread %	8.22	5.37	10.88	5.37	7.11
Gamma HHI	0.23	0.19	0.30	0.23	0.25
Net GEX	209.8K	-1.1M	1.7M	1.4M	1.2M
Net DEX	82.2M	-5.0M	166.2M	312.2K	72.0M
Net VEX	-1.6M	-1.9M	-1.3M	-1.9M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.23	2.39	2.39	0.76
Total Volume	13,124.95	2,900	33,182	6,037	5,865
Total OI	386,796.75	361,054	407,483	385,643	375,329

Daily Data (20 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
2008-03-03	$24.33	$25.00	35.5%	10.2%	33.7%	57.2%	39.9%	6.1%	0.8%	1.4M	312.2K	-1.9M	2.39	5.37	N/A	N/A	1,783	4,254	210,184	175,459
2008-03-04	$24.07	$25.00	35.2%	10.1%	32.2%	56.4%	37.2%	3.8%	0.5%	1.1M	18.6M	-1.8M	0.63	6.86	N/A	N/A	1,778	1,122	210,385	176,964
2008-03-05	$23.75	$25.00	40.3%	11.6%	31.0%	70.3%	36.8%	4.0%	-0.7%	766.2K	37.2M	-1.8M	0.39	7.33	N/A	N/A	9,060	3,555	210,588	176,755
2008-03-06	$22.63	$25.00	40.2%	11.5%	34.9%	70.1%	40.3%	1.5%	-1.4%	-8.9K	87.8M	-1.7M	1.47	7.41	N/A	N/A	5,917	8,723	213,128	177,301
2008-03-07	$22.40	$25.00	40.5%	11.4%	34.5%	71.0%	41.8%	5.1%	0.2%	-428.8K	106.1M	-1.6M	1.19	10.88	N/A	N/A	4,920	5,833	210,857	178,464
2008-03-10	$21.61	$25.00	41.6%	11.8%	36.2%	73.8%	43.3%	5.4%	-0.3%	-982.8K	139.5M	-1.5M	1.03	7.92	N/A	N/A	6,221	6,425	212,884	180,390
2008-03-11	$22.21	$25.00	38.1%	10.7%	36.2%	64.4%	42.2%	8.7%	2.3%	-920.4K	122.4M	-1.6M	1.06	10.74	N/A	N/A	3,993	4,236	214,122	179,800
2008-03-12	$21.81	$25.00	38.0%	11.2%	36.5%	64.0%	41.5%	4.7%	-0.0%	-990.2K	133.6M	-1.5M	0.58	8.95	N/A	N/A	3,453	1,998	216,325	179,836
2008-03-13	$21.66	$25.00	42.4%	12.2%	36.4%	76.2%	42.5%	4.5%	-1.7%	-1.0M	136.5M	-1.4M	0.23	9.70	N/A	N/A	26,947	6,235	214,396	178,527
2008-03-14	$21.12	$25.00	47.4%	13.6%	36.4%	89.7%	43.9%	6.6%	-3.0%	-961.0K	153.6M	-1.4M	0.89	7.52	N/A	N/A	7,604	6,754	215,447	179,439
2008-03-17	$20.53	$25.00	51.1%	14.7%	37.3%	100.0%	49.0%	5.8%	-5.4%	-783.3K	166.2M	-1.3M	0.73	10.88	N/A	N/A	9,785	7,179	214,627	178,376
2008-03-18	$22.37	$25.00	44.2%	12.7%	49.6%	81.0%	44.6%	7.3%	-3.7%	-558.5K	98.3M	-1.5M	0.52	8.72	N/A	N/A	11,247	5,812	220,625	177,441
2008-03-19	$21.99	$25.00	45.1%	12.9%	49.8%	83.5%	45.8%	7.5%	-3.6%	-1.1M	116.7M	-1.5M	1.44	10.09	N/A	N/A	6,959	10,019	225,044	180,092
2008-03-20	$23.23	$25.00	46.0%	13.2%	53.8%	85.9%	43.5%	8.3%	-4.1%	383.5K	44.4M	-1.7M	0.28	5.51	N/A	N/A	13,501	3,792	222,551	184,932
2008-03-24	$24.29	$25.00	41.8%	12.0%	55.9%	74.5%	43.2%	9.1%	-1.4%	1.7M	-5.0M	-1.8M	0.25	8.76	N/A	N/A	23,317	5,893	200,107	160,947
2008-03-25	$23.68	$25.00	44.0%	12.6%	54.9%	80.6%	43.2%	5.2%	-0.7%	1.7M	26.6M	-1.7M	0.65	8.87	N/A	N/A	5,785	3,762	204,656	163,343
2008-03-26	$23.21	$25.00	44.8%	12.8%	54.7%	82.6%	43.8%	6.9%	-2.0%	1.4M	53.9M	-1.6M	0.85	7.48	N/A	N/A	7,460	6,354	205,056	164,949
2008-03-27	$23.02	$25.00	43.9%	12.6%	54.0%	80.1%	42.2%	5.8%	-0.4%	1.2M	59.0M	-1.7M	1.23	7.61	N/A	N/A	2,540	3,126	207,061	167,169
2008-03-28	$22.67	$25.00	43.9%	12.6%	53.2%	80.2%	43.3%	5.8%	-0.8%	1.1M	77.3M	-1.6M	0.53	6.68	N/A	N/A	6,063	3,229	206,976	165,403
2008-03-31	$22.94	$25.00	44.1%	12.7%	52.6%	80.8%	43.6%	6.2%	-1.3%	1.2M	72.0M	-1.6M	0.76	7.11	N/A	N/A	3,324	2,541	208,476	166,853