LOW Options History — August 2010

In August 2010, LOW traded between $19.59 and $21.33. ATM implied volatility averaged 33.6%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 0.6% (HV 20d: 32.9%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.08.

Notable Days

2010-08-17: Highest Volume — 34,400 contracts
2010-08-12: Largest IV drop — 16.9% change
2010-08-11: Highest IV Rank — 76.4%
2010-08-04: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.38	$19.59	$21.33	$21.33	$20.28
Max Pain	$20.18	$20.00	$21.00	$21.00	$20.00
ATM IV	33.6%	27.5%	42.2%	35.5%	31.7%
Expected Move	9.3%	7.9%	10.6%	10.2%	9.1%
HV 20d	32.9%	27.6%	37.9%	36.8%	27.6%
HV 60d	31.4%	29.8%	34.3%	34.0%	30.9%
IV Rank	51.3%	33.8%	76.4%	56.9%	45.8%
IV Percentile	62.5%	35.3%	95.6%	73.8%	52.0%
Term Structure	0.7%	-4.6%	3.5%	-3.7%	2.8%
VWIV	32.9%	29.0%	39.0%	34.9%	31.2%
Skew 25d	4.6%	3.2%	6.3%	3.7%	4.9%
Skew 10d	9.9%	6.8%	13.1%	6.8%	10.4%
Call IV 25d	31.1%	26.1%	36.8%	33.8%	29.4%
Put IV 25d	35.7%	30.4%	40.4%	37.5%	34.3%
Bid-Ask Spread %	4.87	2.93	6.58	4.69	6.05
Gamma HHI	0.18	0.12	0.25	0.24	0.13
Net GEX	852.3K	-2.2M	4.2M	4.2M	52.0K
Net DEX	50.2M	-9.6M	97.9M	-9.6M	57.1M
Net VEX	-1.2M	-1.3M	-1.1M	-1.2M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.22	6.69	0.30	1.20
Total Volume	12,736.136	2,826	34,400	8,753	4,295
Total OI	392,886.227	355,741	443,548	355,741	387,147

Daily Data (22 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
2010-08-02	$21.33	$21.00	35.5%	10.2%	36.8%	56.9%	34.9%	3.7%	-3.7%	4.2M	-9.6M	-1.2M	0.30	4.69	N/A	N/A	6,738	2,015	209,706	146,035
2010-08-03	$20.74	$21.00	36.5%	10.5%	37.9%	59.8%	37.8%	3.2%	-4.1%	3.3M	24.5M	-1.2M	1.55	3.89	N/A	N/A	3,922	6,078	212,960	146,697
2010-08-04	$20.81	$21.00	37.0%	10.6%	37.2%	61.3%	39.0%	3.7%	-4.3%	3.2M	20.4M	-1.2M	6.69	4.52	N/A	N/A	2,212	14,794	215,227	150,822
2010-08-05	$20.74	$21.00	36.9%	10.6%	37.1%	61.1%	37.7%	3.6%	-4.6%	2.4M	33.3M	-1.2M	0.42	4.45	N/A	N/A	1,993	833	215,184	162,193
2010-08-06	$20.28	$20.00	37.7%	9.6%	37.8%	63.5%	33.6%	5.2%	0.0%	1.3M	62.3M	-1.1M	0.88	4.33	N/A	N/A	6,336	5,589	216,055	162,720
2010-08-09	$20.31	$20.00	39.4%	9.6%	37.8%	68.4%	33.3%	5.3%	-0.3%	1.2M	61.8M	-1.1M	0.61	5.38	N/A	N/A	4,019	2,433	218,533	166,802
2010-08-10	$19.92	$20.00	39.0%	9.5%	35.5%	67.0%	33.8%	5.3%	-0.0%	131.4K	85.9M	-1.1M	0.73	4.56	N/A	N/A	8,968	6,551	221,091	167,487
2010-08-11	$19.81	$20.00	42.2%	9.9%	35.3%	76.4%	35.4%	5.8%	0.1%	139.2K	85.7M	-1.1M	0.32	5.21	N/A	N/A	17,563	5,639	226,882	171,656
2010-08-12	$19.74	$20.00	35.0%	10.0%	35.3%	55.7%	35.3%	6.3%	-0.2%	61.5K	83.3M	-1.1M	0.79	4.83	N/A	N/A	6,616	5,224	234,308	174,379
2010-08-13	$19.59	$20.00	35.5%	10.2%	32.3%	57.0%	37.0%	5.1%	0.3%	-127.8K	90.6M	-1.1M	1.13	5.35	N/A	N/A	11,948	13,540	235,538	175,288
2010-08-16	$19.70	$20.00	31.7%	9.1%	32.4%	46.0%	32.4%	5.0%	1.6%	-2.2M	97.9M	-1.1M	1.48	4.67	N/A	N/A	9,587	14,183	239,356	182,340
2010-08-17	$19.99	$20.00	31.2%	8.9%	32.0%	44.5%	31.9%	4.1%	2.3%	-2.0M	78.7M	-1.1M	0.62	4.47	N/A	N/A	21,205	13,195	239,017	181,562
2010-08-18	$20.79	$20.00	29.3%	8.4%	34.3%	39.0%	30.6%	3.8%	2.7%	3.1M	12.8M	-1.3M	1.08	5.17	N/A	N/A	5,159	5,553	253,052	183,932
2010-08-19	$20.40	$20.00	31.7%	9.1%	31.7%	45.9%	30.7%	4.0%	2.4%	-300.4K	42.2M	-1.2M	0.34	5.58	N/A	N/A	11,990	4,121	254,508	185,104
2010-08-20	$20.64	$20.00	29.0%	8.3%	31.6%	38.1%	30.1%	4.0%	3.2%	1.2M	26.4M	-1.2M	0.22	4.81	N/A	N/A	6,987	1,503	257,123	186,425
2010-08-23	$20.23	$20.00	30.3%	8.7%	29.7%	41.9%	29.3%	4.3%	2.5%	103.7K	61.8M	-1.2M	0.62	6.58	N/A	N/A	6,810	4,214	203,631	166,354
2010-08-24	$20.22	$20.00	31.4%	9.0%	28.0%	44.9%	31.2%	4.4%	1.8%	135.8K	61.1M	-1.2M	0.64	5.62	N/A	N/A	7,213	4,652	204,775	165,841
2010-08-25	$20.71	$20.00	29.1%	8.3%	28.5%	38.3%	30.0%	4.5%	2.9%	744.0K	33.3M	-1.3M	1.07	4.57	N/A	N/A	2,256	2,410	209,768	168,520
2010-08-26	$20.65	$20.00	29.0%	8.3%	28.2%	37.9%	30.1%	4.2%	3.0%	681.5K	34.3M	-1.3M	1.64	4.80	N/A	N/A	1,932	3,172	210,439	169,463
2010-08-27	$21.10	$20.00	27.5%	7.9%	28.9%	33.8%	29.0%	4.3%	3.5%	1.2M	12.1M	-1.3M	0.38	2.93	N/A	N/A	7,965	2,999	210,767	170,698
2010-08-30	$20.46	$20.00	31.7%	9.1%	29.1%	46.0%	30.2%	5.6%	2.8%	353.4K	49.5M	-1.2M	1.07	4.68	N/A	N/A	2,799	2,984	212,422	171,690
2010-08-31	$20.28	$20.00	31.7%	9.1%	27.6%	45.8%	31.2%	4.9%	2.8%	52.0K	57.1M	-1.2M	1.20	6.05	N/A	N/A	1,953	2,342	213,648	173,499