LOW Options History — March 2012

In March 2012, LOW traded between $27.84 and $31.38. ATM implied volatility averaged 21.3%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.3% (HV 20d: 20.0%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.96.

Notable Days

2012-03-07: Highest Volume — 31,306 contracts
2012-03-15: Largest IV spike — 16.3% change
2012-03-15: Highest IV Rank — 10.3%
2012-03-06: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.09	$27.84	$31.38	$28.38	$31.38
Max Pain	$25.64	$25.00	$27.00	$27.00	$26.00
ATM IV	21.3%	18.6%	23.3%	21.3%	20.7%
Expected Move	6.4%	5.9%	7.0%	6.1%	5.9%
HV 20d	20.0%	17.0%	22.5%	17.6%	17.0%
HV 60d	21.2%	17.9%	23.0%	22.0%	17.9%
IV Rank	6.0%	0.0%	10.3%	4.9%	4.9%
IV Percentile	9.3%	0.0%	23.4%	6.0%	4.4%
Term Structure	1.6%	0.4%	2.7%	1.4%	1.7%
VWIV	22.9%	20.5%	25.4%	21.7%	20.9%
Skew 25d	3.0%	1.4%	4.9%	2.0%	2.1%
Skew 10d	7.1%	2.6%	10.1%	4.7%	7.4%
Call IV 25d	21.3%	20.1%	23.0%	20.6%	20.2%
Put IV 25d	24.2%	22.3%	26.7%	22.5%	22.3%
Bid-Ask Spread %	6.63	5.20	10.73	7.76	5.62
Gamma HHI	0.21	0.18	0.24	0.21	0.21
Net GEX	6.4M	3.8M	8.0M	8.0M	6.5M
Net DEX	-315.1M	-366.0M	-207.7M	-251.2M	-353.2M
Net VEX	-1.5M	-1.5M	-1.3M	-1.3M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.21	2.79	0.70	2.19
Total Volume	12,331.727	4,187	31,306	7,477	5,434
Total OI	325,588.273	296,727	350,635	296,727	338,505

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
2012-03-01	$28.38	$27.00	21.3%	6.1%	17.6%	4.9%	21.7%	2.0%	1.4%	8.0M	-251.2M	-1.3M	0.70	7.76	N/A	N/A	4,387	3,090	164,660	132,067
2012-03-02	$28.13	$27.00	21.3%	6.1%	18.0%	4.9%	22.2%	1.6%	1.5%	7.4M	-235.2M	-1.4M	1.62	10.73	N/A	N/A	2,797	4,529	166,005	134,362
2012-03-05	$28.24	$25.00	22.4%	6.8%	17.4%	7.5%	25.4%	4.1%	1.5%	7.6M	-239.3M	-1.4M	2.79	8.00	N/A	N/A	4,169	11,620	167,050	137,129
2012-03-06	$27.84	$25.00	23.3%	7.0%	18.1%	9.7%	25.4%	4.2%	1.7%	6.8M	-207.7M	-1.4M	1.54	5.20	N/A	N/A	1,651	2,540	166,995	140,351
2012-03-07	$28.87	$25.00	21.1%	6.6%	21.9%	4.5%	23.6%	4.1%	2.3%	7.8M	-271.2M	-1.4M	0.32	6.08	N/A	N/A	23,803	7,503	167,147	141,800
2012-03-08	$29.36	$25.00	21.5%	6.9%	22.2%	5.3%	24.1%	4.9%	1.9%	6.9M	-312.9M	-1.5M	1.35	6.25	N/A	N/A	6,359	8,596	175,387	146,099
2012-03-09	$29.77	$25.00	18.6%	6.3%	22.4%	0.0%	24.8%	4.4%	2.6%	5.2M	-322.3M	-1.5M	0.50	7.04	N/A	N/A	4,572	2,303	173,564	152,812
2012-03-12	$29.84	$25.00	19.5%	6.4%	22.4%	2.1%	23.5%	4.4%	2.7%	4.9M	-327.0M	-1.5M	1.63	5.47	N/A	N/A	2,087	3,398	173,505	152,396
2012-03-13	$30.23	$25.00	19.5%	6.4%	22.5%	2.2%	22.6%	4.6%	2.2%	4.3M	-347.0M	-1.4M	0.93	6.62	N/A	N/A	6,771	6,304	174,115	153,325
2012-03-14	$30.49	$25.00	19.7%	6.9%	22.1%	2.6%	23.3%	2.5%	1.3%	3.8M	-356.8M	-1.4M	0.27	7.78	N/A	N/A	20,297	5,546	176,642	156,468
2012-03-15	$30.69	$25.00	22.9%	6.6%	22.0%	10.3%	24.6%	2.7%	1.5%	5.8M	-366.0M	-1.5M	0.97	5.87	N/A	N/A	3,545	3,431	190,376	158,119
2012-03-16	$30.41	$25.00	22.7%	6.5%	22.4%	9.8%	22.5%	2.1%	2.1%	5.8M	-361.8M	-1.5M	1.25	6.04	N/A	N/A	8,157	10,194	191,816	158,819
2012-03-19	$30.53	$26.00	21.6%	6.2%	22.2%	7.2%	23.3%	1.4%	0.8%	6.4M	-313.7M	-1.5M	0.59	7.02	N/A	N/A	6,790	4,023	177,096	147,616
2012-03-20	$30.59	$26.00	22.1%	6.3%	22.2%	8.4%	24.6%	1.8%	0.4%	6.7M	-320.2M	-1.5M	0.21	6.92	N/A	N/A	15,974	3,359	180,058	149,218
2012-03-21	$30.86	$26.00	21.1%	6.0%	18.1%	6.0%	21.1%	2.2%	1.1%	7.3M	-335.3M	-1.5M	0.24	6.26	N/A	N/A	5,166	1,217	183,904	151,391
2012-03-22	$30.95	$26.00	22.0%	6.3%	18.1%	8.0%	22.1%	3.2%	1.2%	6.8M	-322.2M	-1.5M	0.63	5.43	N/A	N/A	6,406	4,012	179,555	144,972
2012-03-23	$30.73	$26.00	21.6%	6.2%	18.8%	7.2%	22.6%	2.3%	1.1%	6.7M	-317.0M	-1.5M	0.57	6.49	N/A	N/A	8,551	4,832	181,302	147,763
2012-03-26	$31.18	$26.00	20.7%	5.9%	19.0%	4.9%	20.5%	2.8%	1.7%	7.6M	-345.0M	-1.5M	0.35	5.46	N/A	N/A	10,103	3,569	183,116	148,167
2012-03-27	$31.18	$26.00	21.1%	6.1%	19.0%	6.1%	20.9%	3.2%	1.8%	6.4M	-338.2M	-1.5M	0.21	6.30	N/A	N/A	18,632	3,954	179,479	149,797
2012-03-28	$31.22	$26.00	21.3%	6.1%	17.8%	6.5%	21.7%	2.4%	1.6%	6.4M	-348.0M	-1.4M	1.91	7.37	N/A	N/A	2,561	4,879	182,083	151,290
2012-03-29	$31.21	$26.00	21.8%	6.2%	17.8%	7.6%	21.8%	2.2%	1.3%	6.0M	-340.8M	-1.5M	0.34	6.12	N/A	N/A	3,113	1,074	182,747	153,874
2012-03-30	$31.38	$26.00	20.7%	5.9%	17.0%	4.9%	20.9%	2.1%	1.7%	6.5M	-353.2M	-1.5M	2.19	5.62	N/A	N/A	1,701	3,733	184,065	154,440