LOW Options History — March 2011

In March 2011, LOW traded between $25.50 and $27.28. ATM implied volatility averaged 26.1%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 1.9% (HV 20d: 24.2%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.89.

Notable Days

2011-03-08: Highest Volume — 28,135 contracts
2011-03-16: Largest IV spike — 12.8% change
2011-03-16: Highest IV Rank — 47.3%
2011-03-16: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.51	$25.50	$27.28	$25.50	$26.43
Max Pain	$24.13	$24.00	$25.00	$25.00	$24.00
ATM IV	26.1%	21.3%	32.6%	29.0%	23.1%
Expected Move	7.6%	6.1%	9.3%	8.3%	6.6%
HV 20d	24.2%	18.9%	26.7%	26.5%	19.4%
HV 60d	24.3%	23.9%	24.9%	24.0%	24.7%
IV Rank	27.9%	13.5%	47.3%	36.6%	19.0%
IV Percentile	31.7%	4.4%	73.4%	54.0%	9.5%
Term Structure	1.2%	-1.5%	3.4%	0.9%	3.1%
VWIV	27.6%	22.2%	34.0%	27.4%	28.3%
Skew 25d	4.5%	2.9%	5.9%	4.5%	3.8%
Skew 10d	10.4%	6.4%	13.3%	9.6%	8.6%
Call IV 25d	25.1%	20.8%	31.0%	26.7%	21.6%
Put IV 25d	29.7%	23.7%	36.8%	31.1%	25.4%
Bid-Ask Spread %	6.21	5.04	7.71	5.97	5.83
Gamma HHI	0.31	0.15	0.67	0.40	0.20
Net GEX	13.4M	5.2M	31.2M	13.2M	6.9M
Net DEX	-295.0M	-390.9M	-202.0M	-231.5M	-214.6M
Net VEX	-1.9M	-2.0M	-1.8M	-1.9M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.06	3.49	0.21	3.36
Total Volume	12,014.391	2,206	28,135	24,927	11,400
Total OI	427,386.652	370,039	478,274	431,785	393,560

Daily Data (23 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
2011-03-01	$25.50	$25.00	29.0%	8.3%	26.5%	36.6%	27.4%	4.5%	0.9%	13.2M	-231.5M	-1.9M	0.21	5.97	N/A	N/A	20,624	4,303	286,563	145,222
2011-03-02	$25.78	$25.00	26.4%	7.6%	26.7%	28.7%	27.4%	4.4%	1.5%	14.6M	-267.3M	-1.9M	3.49	6.38	N/A	N/A	4,000	13,964	289,466	147,844
2011-03-03	$26.28	$25.00	24.9%	7.1%	24.6%	24.4%	25.0%	4.2%	2.0%	16.1M	-317.5M	-2.0M	0.31	6.34	N/A	N/A	4,090	1,250	290,924	160,030
2011-03-04	$26.24	$24.00	24.9%	7.8%	24.5%	24.4%	28.8%	4.7%	0.7%	16.3M	-318.2M	-2.0M	1.19	5.86	N/A	N/A	3,587	4,278	292,346	158,578
2011-03-07	$26.00	$24.00	26.8%	8.1%	24.9%	30.0%	31.1%	5.4%	0.3%	16.8M	-289.9M	-2.0M	1.17	5.28	N/A	N/A	3,323	3,900	293,778	160,105
2011-03-08	$26.61	$24.00	25.1%	7.7%	25.8%	25.0%	28.5%	4.6%	0.7%	16.4M	-367.7M	-2.0M	0.10	5.74	N/A	N/A	25,627	2,508	293,591	160,276
2011-03-09	$26.82	$24.00	25.8%	7.9%	25.8%	27.1%	28.5%	4.6%	0.3%	16.0M	-388.6M	-1.9M	0.10	5.04	N/A	N/A	12,340	1,250	289,140	159,981
2011-03-10	$26.68	$24.00	28.8%	8.3%	25.4%	36.0%	32.1%	4.7%	-0.1%	16.1M	-364.5M	-1.9M	2.43	5.80	N/A	N/A	6,555	15,922	289,790	160,232
2011-03-11	$26.94	$24.00	28.4%	8.1%	25.4%	34.7%	29.8%	4.7%	-0.1%	15.7M	-390.9M	-1.9M	0.48	5.51	N/A	N/A	15,574	7,433	289,523	171,753
2011-03-14	$26.81	$24.00	28.9%	8.3%	24.2%	36.4%	30.9%	4.9%	-0.3%	17.0M	-384.4M	-2.0M	0.66	5.86	N/A	N/A	3,023	1,994	292,039	177,656
2011-03-15	$26.64	$24.00	28.9%	8.3%	24.5%	36.2%	31.4%	4.8%	-0.2%	18.0M	-355.7M	-2.0M	0.96	5.93	N/A	N/A	3,135	2,996	294,121	177,076
2011-03-16	$26.00	$24.00	32.6%	9.3%	25.7%	47.3%	34.0%	5.8%	-1.5%	17.7M	-266.1M	-2.0M	0.68	7.61	N/A	N/A	7,006	4,772	294,760	177,635
2011-03-17	$26.08	$24.00	30.5%	8.7%	25.6%	41.1%	29.8%	5.9%	-0.5%	23.4M	-276.6M	-2.0M	0.28	6.67	N/A	N/A	4,341	1,197	295,844	180,057
2011-03-18	$26.20	$24.00	28.8%	8.2%	25.2%	35.8%	28.8%	5.9%	0.4%	31.2M	-342.4M	-1.9M	0.06	6.16	N/A	N/A	26,185	1,585	298,049	180,225
2011-03-21	$26.32	$24.00	26.2%	7.5%	25.2%	28.0%	25.7%	5.2%	1.9%	5.2M	-202.0M	-1.9M	0.93	7.71	N/A	N/A	2,269	2,116	218,479	151,560
2011-03-22	$26.45	$24.00	25.2%	7.2%	24.8%	25.2%	25.6%	4.1%	2.2%	5.6M	-221.1M	-1.9M	0.16	5.20	N/A	N/A	4,796	779	219,533	152,754
2011-03-23	$26.97	$24.00	23.0%	6.6%	25.3%	18.6%	23.9%	3.6%	2.9%	6.4M	-255.2M	-1.9M	1.20	7.24	N/A	N/A	2,201	2,640	223,094	153,055
2011-03-24	$27.28	$24.00	23.3%	6.7%	23.4%	19.4%	23.9%	3.3%	2.5%	6.7M	-286.5M	-1.8M	0.23	6.76	N/A	N/A	12,825	3,011	223,706	152,707
2011-03-25	$27.19	$24.00	22.9%	6.6%	23.5%	18.5%	23.0%	3.1%	2.8%	7.0M	-282.1M	-1.8M	0.49	6.23	N/A	N/A	2,469	1,203	224,830	154,451
2011-03-28	$26.72	$24.00	23.9%	6.9%	21.6%	21.4%	26.7%	5.3%	1.5%	6.6M	-236.4M	-1.8M	0.72	6.79	N/A	N/A	2,489	1,799	225,354	155,151
2011-03-29	$26.93	$24.00	21.7%	6.2%	19.1%	14.7%	22.2%	3.9%	3.1%	7.4M	-253.8M	-1.8M	0.70	6.88	N/A	N/A	10,234	7,132	225,753	155,905
2011-03-30	$26.97	$24.00	21.3%	6.1%	18.9%	13.5%	22.7%	2.9%	3.4%	7.7M	-273.1M	-1.8M	0.48	6.04	N/A	N/A	1,488	718	232,902	160,495
2011-03-31	$26.43	$24.00	23.1%	6.6%	19.4%	19.0%	28.3%	3.8%	3.1%	6.9M	-214.6M	-1.8M	3.36	5.83	N/A	N/A	2,613	8,787	233,009	160,551