LOW Options History — July 2012

In July 2012, LOW traded between $25.37 and $28.62. ATM implied volatility averaged 26.7%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 4.3% (HV 20d: 31.1%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.03.

Notable Days

2012-07-20: Highest Volume — 45,568 contracts
2012-07-31: Largest IV spike — 16.5% change
2012-07-31: Highest IV Rank — 31.4%
2012-07-31: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.57	$25.37	$28.62	$28.62	$25.37
Max Pain	$26.90	$26.00	$28.00	$27.00	$26.00
ATM IV	26.7%	21.7%	31.7%	21.7%	31.7%
Expected Move	7.8%	6.2%	9.1%	6.2%	9.1%
HV 20d	31.1%	27.2%	36.4%	33.8%	33.1%
HV 60d	35.4%	34.7%	37.8%	34.7%	37.8%
IV Rank	19.5%	7.4%	31.4%	7.4%	31.4%
IV Percentile	45.0%	11.9%	67.5%	11.9%	67.5%
Term Structure	0.8%	-0.7%	2.1%	2.1%	-0.7%
VWIV	28.0%	24.5%	31.1%	24.5%	30.9%
Skew 25d	5.7%	4.3%	7.4%	5.9%	4.9%
Skew 10d	13.0%	8.8%	16.5%	15.8%	9.5%
Call IV 25d	25.5%	20.5%	29.6%	20.5%	29.6%
Put IV 25d	31.1%	26.4%	34.5%	26.4%	34.5%
Bid-Ask Spread %	9.51	5.23	15.36	15.36	12.92
Gamma HHI	0.17	0.15	0.22	0.22	0.17
Net GEX	1.9M	-2.0M	6.1M	4.5M	3.1M
Net DEX	3.0M	-130.8M	111.1M	-130.8M	41.3M
Net VEX	-1.4M	-1.6M	-1.2M	-1.6M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.15	3.24	0.86	1.88
Total Volume	12,222.81	1,680	45,568	2,554	10,385
Total OI	376,093.333	338,316	432,614	371,433	367,748

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
2012-07-02	$28.62	$27.00	21.7%	6.2%	33.8%	7.4%	24.5%	5.9%	2.1%	4.5M	-130.8M	-1.6M	0.86	15.36	N/A	N/A	1,374	1,180	208,681	162,752
2012-07-03	$27.62	$28.00	24.8%	7.1%	36.4%	14.8%	26.1%	5.4%	1.1%	2.4M	-47.9M	-1.5M	1.03	14.58	N/A	N/A	2,641	2,708	204,755	163,054
2012-07-05	$27.58	$28.00	23.6%	6.8%	33.7%	12.1%	24.9%	4.5%	1.4%	2.2M	-44.4M	-1.5M	0.87	13.60	N/A	N/A	1,657	1,449	205,602	164,223
2012-07-06	$27.85	$28.00	23.2%	7.2%	33.8%	11.0%	28.3%	6.5%	1.5%	2.8M	-61.9M	-1.5M	1.41	8.02	N/A	N/A	698	982	206,436	164,771
2012-07-09	$27.28	$28.00	26.3%	7.9%	34.4%	18.4%	27.8%	6.8%	0.6%	1.5M	-18.7M	-1.4M	0.27	6.36	N/A	N/A	2,537	689	206,497	165,571
2012-07-10	$27.17	$28.00	25.9%	7.8%	32.2%	17.4%	25.9%	6.9%	1.1%	1.2M	-9.8M	-1.4M	0.39	8.58	N/A	N/A	2,703	1,047	206,886	165,907
2012-07-11	$26.67	$28.00	25.3%	7.8%	32.2%	16.0%	28.7%	7.4%	0.5%	440.4K	27.1M	-1.3M	2.12	7.53	N/A	N/A	1,479	3,141	207,672	166,118
2012-07-12	$26.57	$28.00	26.9%	7.7%	31.4%	19.9%	31.1%	6.7%	1.3%	266.6K	34.3M	-1.3M	3.24	6.89	N/A	N/A	3,382	10,943	207,789	167,655
2012-07-13	$26.72	$27.00	26.1%	7.5%	29.0%	17.9%	26.5%	6.2%	1.6%	-495.9K	31.9M	-1.3M	0.56	7.44	N/A	N/A	3,413	1,896	208,740	175,791
2012-07-16	$25.80	$27.00	28.6%	8.2%	30.9%	24.0%	29.3%	6.4%	0.6%	-1.1M	94.5M	-1.2M	2.69	12.20	N/A	N/A	2,194	5,898	209,580	176,161
2012-07-17	$25.55	$27.00	27.1%	7.8%	30.2%	20.2%	28.1%	5.5%	1.4%	-1.9M	111.1M	-1.2M	0.98	8.41	N/A	N/A	11,434	11,251	210,180	177,487
2012-07-18	$25.66	$27.00	28.2%	8.1%	30.3%	23.0%	28.1%	5.0%	0.2%	-2.0M	100.2M	-1.2M	0.37	9.24	N/A	N/A	29,530	10,850	216,864	183,434
2012-07-19	$26.03	$26.00	28.2%	8.1%	30.9%	23.0%	27.0%	5.1%	0.2%	164.8K	46.2M	-1.4M	0.15	7.65	N/A	N/A	9,840	1,491	240,865	187,525
2012-07-20	$25.79	$26.00	28.3%	8.1%	28.0%	23.3%	28.4%	4.4%	0.0%	-869.2K	63.4M	-1.4M	0.15	8.70	N/A	N/A	39,792	5,776	244,191	188,423
2012-07-23	$25.77	$26.00	29.5%	8.4%	28.0%	26.0%	29.5%	4.3%	0.0%	3.5M	2.8M	-1.4M	0.43	9.11	N/A	N/A	17,539	7,574	192,451	145,865
2012-07-24	$25.77	$26.00	29.4%	8.4%	27.7%	25.8%	29.5%	5.1%	0.5%	3.4M	7.8M	-1.4M	0.49	7.23	N/A	N/A	8,422	4,102	195,601	150,874
2012-07-25	$25.60	$26.00	27.5%	7.9%	27.2%	21.2%	27.6%	5.3%	1.0%	3.5M	22.6M	-1.4M	0.71	9.11	N/A	N/A	10,621	7,503	202,325	153,514
2012-07-26	$26.60	$26.00	25.8%	7.4%	30.9%	17.1%	26.7%	5.5%	1.0%	5.5M	-50.2M	-1.5M	0.41	12.54	N/A	N/A	3,701	1,528	206,380	156,925
2012-07-27	$27.07	$26.00	26.4%	7.6%	31.6%	18.6%	29.8%	5.8%	0.9%	6.1M	-87.4M	-1.6M	0.56	8.98	N/A	N/A	5,444	3,036	207,377	157,612
2012-07-30	$26.86	$26.00	27.2%	7.8%	27.2%	20.6%	29.2%	5.9%	0.4%	6.1M	-70.0M	-1.5M	2.16	5.23	N/A	N/A	1,535	3,314	209,810	157,868
2012-07-31	$25.37	$26.00	31.7%	9.1%	33.1%	31.4%	30.9%	4.9%	-0.7%	3.1M	41.3M	-1.3M	1.88	12.92	N/A	N/A	3,606	6,779	210,141	157,607