LOW Options History — August 2012

In August 2012, LOW traded between $24.85 and $28.48. ATM implied volatility averaged 26.5%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 7.3% (HV 20d: 33.8%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.30.

Notable Days

2012-08-20: Highest Volume — 80,440 contracts
2012-08-16: Largest IV spike — 30.1% change
2012-08-13: Highest IV Rank — 54.4%
2012-08-01: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.86	$24.85	$28.48	$25.14	$28.48
Max Pain	$26.78	$26.00	$27.00	$26.00	$27.00
ATM IV	26.5%	23.8%	32.8%	31.6%	24.2%
Expected Move	7.7%	6.8%	9.1%	9.1%	6.9%
HV 20d	33.8%	29.7%	40.5%	31.2%	29.7%
HV 60d	35.0%	31.2%	38.7%	37.8%	32.2%
IV Rank	25.9%	19.2%	54.4%	31.1%	21.3%
IV Percentile	43.8%	27.4%	77.0%	66.3%	31.3%
Term Structure	0.1%	-3.2%	2.2%	-0.8%	2.2%
VWIV	27.1%	23.3%	31.4%	31.1%	25.8%
Skew 25d	4.2%	2.9%	5.7%	4.3%	2.9%
Skew 10d	9.7%	6.2%	13.9%	10.7%	8.0%
Call IV 25d	25.3%	22.1%	30.5%	30.5%	23.0%
Put IV 25d	29.5%	25.6%	34.9%	34.9%	25.9%
Bid-Ask Spread %	7.93	5.75	14.20	8.90	11.16
Gamma HHI	0.20	0.15	0.30	0.17	0.15
Net GEX	6.2M	1.1M	11.7M	2.1M	7.3M
Net DEX	-76.4M	-216.1M	84.9M	62.9M	-211.0M
Net VEX	-1.6M	-1.8M	-1.3M	-1.3M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.03	7.83	0.94	0.55
Total Volume	20,742.913	6,481	80,440	9,948	6,688
Total OI	418,922.87	374,268	461,876	374,268	440,064

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
2012-08-01	$25.14	$26.00	31.6%	9.1%	31.2%	31.1%	31.1%	4.3%	-0.8%	2.1M	62.9M	-1.3M	0.94	8.90	N/A	N/A	5,131	4,817	211,904	162,364
2012-08-02	$24.85	$26.00	29.9%	8.6%	31.3%	27.0%	29.4%	4.3%	0.5%	1.1M	84.9M	-1.3M	0.63	9.91	N/A	N/A	4,801	3,013	214,350	164,843
2012-08-03	$25.49	$26.00	27.8%	8.0%	32.7%	22.0%	26.7%	3.7%	1.7%	3.2M	46.9M	-1.3M	0.58	9.66	N/A	N/A	4,104	2,377	218,737	166,537
2012-08-06	$25.41	$27.00	28.7%	8.5%	32.2%	24.1%	27.6%	5.7%	-0.7%	2.6M	54.3M	-1.3M	1.33	7.68	N/A	N/A	3,229	4,297	218,537	166,601
2012-08-07	$25.97	$27.00	26.6%	8.0%	33.4%	19.2%	28.1%	5.5%	-0.7%	5.3M	7.0M	-1.4M	0.82	6.78	N/A	N/A	9,010	7,384	219,514	167,751
2012-08-08	$26.42	$26.00	26.7%	8.2%	33.5%	19.4%	26.1%	5.2%	-1.0%	7.8M	-40.1M	-1.5M	0.03	7.89	N/A	N/A	25,529	845	226,713	173,269
2012-08-09	$26.91	$26.00	26.7%	7.9%	34.1%	19.3%	27.0%	4.8%	-1.1%	9.2M	-97.9M	-1.5M	1.08	7.07	N/A	N/A	9,113	9,798	234,934	173,559
2012-08-10	$26.77	$27.00	26.4%	7.6%	34.1%	29.1%	27.8%	4.5%	-0.7%	7.8M	-74.6M	-1.5M	7.83	5.75	N/A	N/A	1,411	11,055	236,798	180,182
2012-08-13	$26.55	$27.00	32.8%	8.1%	31.7%	54.4%	28.4%	4.9%	-1.7%	5.7M	-46.7M	-1.5M	0.25	6.24	N/A	N/A	28,673	7,204	235,544	187,936
2012-08-14	$26.54	$27.00	24.0%	7.9%	31.4%	20.6%	27.8%	4.8%	-1.1%	8.7M	-63.7M	-1.5M	0.69	7.02	N/A	N/A	16,689	11,596	251,971	190,521
2012-08-15	$26.83	$27.00	24.1%	8.6%	31.6%	21.1%	30.9%	4.8%	-2.1%	10.6M	-105.5M	-1.5M	1.55	7.20	N/A	N/A	14,021	21,739	245,736	184,481
2012-08-16	$27.45	$27.00	31.4%	9.0%	32.2%	48.9%	31.4%	5.1%	-3.2%	9.6M	-176.9M	-1.7M	0.83	6.65	N/A	N/A	18,313	15,238	253,154	196,772
2012-08-17	$27.87	$27.00	29.2%	8.4%	32.1%	40.6%	30.2%	4.2%	-2.6%	11.7M	-216.1M	-1.8M	1.15	14.20	N/A	N/A	18,591	21,393	260,881	200,995
2012-08-20	$26.26	$27.00	23.9%	6.8%	39.2%	20.2%	23.3%	3.0%	1.5%	4.0M	-2.0M	-1.5M	0.96	10.80	N/A	N/A	41,038	39,402	237,053	182,176
2012-08-21	$26.43	$27.00	23.8%	6.8%	39.3%	19.8%	23.4%	3.9%	1.6%	3.6M	-12.3M	-1.6M	1.17	8.74	N/A	N/A	4,627	5,435	228,914	191,096
2012-08-22	$27.24	$27.00	23.8%	6.8%	40.5%	19.8%	24.0%	4.0%	1.2%	5.1M	-84.4M	-1.7M	0.98	6.59	N/A	N/A	17,089	16,793	225,777	192,002
2012-08-23	$27.36	$27.00	25.2%	7.2%	38.3%	25.2%	24.9%	3.6%	1.1%	4.9M	-93.6M	-1.8M	0.28	5.99	N/A	N/A	8,841	2,489	225,850	200,204
2012-08-24	$27.73	$27.00	24.2%	6.9%	38.1%	21.5%	24.2%	3.3%	1.5%	5.7M	-128.9M	-1.8M	0.17	6.20	N/A	N/A	10,423	1,804	229,297	199,090
2012-08-27	$27.70	$27.00	24.4%	7.0%	37.9%	22.3%	25.8%	3.6%	1.4%	6.1M	-129.9M	-1.8M	3.39	6.67	N/A	N/A	1,581	5,352	231,821	199,001
2012-08-28	$27.85	$27.00	24.4%	7.0%	31.0%	22.3%	27.6%	3.5%	1.5%	6.5M	-150.8M	-1.8M	3.30	7.48	N/A	N/A	1,920	6,335	235,732	201,329
2012-08-29	$28.34	$27.00	24.7%	7.1%	30.8%	23.2%	25.3%	3.5%	1.3%	6.8M	-201.0M	-1.8M	1.08	6.52	N/A	N/A	6,496	7,041	235,723	200,536
2012-08-30	$28.18	$27.00	24.9%	7.1%	30.5%	24.2%	25.8%	3.1%	1.5%	6.8M	-178.9M	-1.8M	0.18	7.22	N/A	N/A	12,222	2,140	233,523	201,454
2012-08-31	$28.48	$27.00	24.2%	6.9%	29.7%	21.3%	25.8%	2.9%	2.2%	7.3M	-211.0M	-1.8M	0.55	11.16	N/A	N/A	4,306	2,382	238,473	201,591