LOW Options History — May 2013

In May 2013, LOW traded between $38.18 and $43.23. ATM implied volatility averaged 22.5%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 1.9% (HV 20d: 24.4%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.61.

Notable Days

2013-05-21: Highest Volume — 37,279 contracts
2013-05-16: Largest IV spike — 30.1% change
2013-05-20: Highest IV Rank — 25.9%
2013-05-15: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.88	$38.18	$43.23	$38.18	$42.11
Max Pain	$39.05	$38.00	$40.00	$38.00	$40.00
ATM IV	22.5%	19.0%	28.4%	23.9%	21.7%
Expected Move	6.9%	5.3%	8.2%	5.8%	6.2%
HV 20d	24.4%	18.2%	28.3%	18.4%	25.5%
HV 60d	22.2%	20.0%	24.5%	20.7%	20.3%
IV Rank	11.4%	2.7%	25.9%	14.8%	9.3%
IV Percentile	29.7%	1.6%	82.1%	44.8%	23.8%
Term Structure	-0.2%	-3.4%	5.7%	4.0%	0.8%
VWIV	24.5%	19.4%	29.1%	19.5%	22.2%
Skew 25d	2.6%	1.8%	3.5%	2.5%	2.6%
Skew 10d	5.9%	3.9%	7.8%	4.9%	5.2%
Call IV 25d	23.2%	18.1%	27.6%	19.5%	20.9%
Put IV 25d	25.8%	20.5%	30.3%	22.0%	23.4%
Bid-Ask Spread %	7.92	4.15	13.21	11.92	10.79
Gamma HHI	0.17	0.12	0.27	0.16	0.13
Net GEX	11.1M	8.0M	16.8M	8.0M	10.5M
Net DEX	-400.8M	-517.3M	-168.1M	-168.1M	-376.3M
Net VEX	-1.8M	-2.0M	-1.7M	-1.7M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.07	1.84	0.07	0.80
Total Volume	14,513.136	3,693	37,279	27,461	3,693
Total OI	293,681.455	249,971	314,212	249,971	311,119

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
2013-05-01	$38.18	$38.00	23.9%	5.8%	18.4%	14.8%	19.5%	2.5%	4.0%	8.0M	-168.1M	-1.7M	0.07	11.92	N/A	N/A	25,710	1,751	150,220	99,751
2013-05-02	$38.87	$38.00	19.9%	5.5%	18.2%	5.0%	19.7%	2.0%	5.0%	14.7M	-241.0M	-1.8M	0.22	12.06	N/A	N/A	11,397	2,523	169,385	100,771
2013-05-03	$39.59	$38.00	19.0%	5.3%	19.1%	2.7%	19.4%	2.4%	5.7%	16.8M	-309.5M	-1.9M	0.40	13.21	N/A	N/A	6,076	2,455	176,856	102,546
2013-05-06	$40.81	$38.00	20.6%	7.0%	21.1%	6.7%	25.5%	2.9%	-1.3%	14.6M	-393.2M	-1.8M	0.18	8.78	N/A	N/A	17,410	3,061	175,252	102,515
2013-05-07	$40.29	$38.00	22.9%	7.2%	21.7%	12.3%	25.8%	2.8%	-1.7%	15.4M	-353.3M	-1.8M	1.84	6.08	N/A	N/A	4,838	8,879	172,761	102,275
2013-05-08	$42.35	$38.00	21.2%	7.5%	27.7%	8.2%	26.4%	2.9%	-1.7%	10.5M	-462.0M	-1.8M	0.58	9.31	N/A	N/A	13,199	7,611	172,669	109,464
2013-05-09	$41.77	$39.00	21.3%	7.5%	28.2%	8.4%	28.1%	3.1%	-1.7%	11.3M	-437.6M	-1.8M	0.69	8.04	N/A	N/A	6,388	4,407	178,214	114,213
2013-05-10	$42.07	$39.00	20.5%	7.5%	28.3%	6.4%	25.9%	3.0%	-1.6%	11.2M	-457.2M	-1.8M	0.40	4.79	N/A	N/A	5,136	2,069	179,757	116,013
2013-05-13	$42.09	$39.00	22.6%	7.6%	26.0%	11.5%	27.1%	2.6%	-1.9%	11.2M	-452.4M	-1.8M	0.28	5.62	N/A	N/A	9,691	2,760	179,352	116,131
2013-05-14	$42.78	$39.00	20.8%	7.8%	26.2%	7.1%	28.4%	2.7%	-2.7%	10.3M	-491.4M	-1.8M	0.83	5.95	N/A	N/A	9,583	7,913	181,032	117,210
2013-05-15	$43.23	$39.00	21.8%	8.2%	25.5%	9.6%	29.1%	3.1%	-3.4%	9.3M	-517.3M	-1.8M	1.24	4.15	N/A	N/A	5,155	6,404	186,392	121,576
2013-05-16	$42.76	$39.00	28.3%	8.1%	25.8%	25.9%	28.4%	2.6%	-3.0%	9.5M	-479.4M	-1.8M	0.35	4.33	N/A	N/A	6,926	2,421	184,711	125,085
2013-05-17	$42.67	$39.00	27.6%	7.9%	25.4%	24.1%	27.4%	3.3%	-2.6%	8.8M	-471.1M	-1.9M	0.59	7.22	N/A	N/A	8,212	4,839	188,018	126,194
2013-05-20	$42.38	$39.00	28.4%	8.1%	25.1%	25.9%	29.0%	3.5%	-3.1%	8.7M	-359.3M	-1.9M	1.11	10.13	N/A	N/A	4,637	5,142	167,485	114,645
2013-05-21	$42.45	$39.00	28.3%	8.1%	25.1%	25.8%	28.2%	2.9%	-2.0%	8.5M	-366.7M	-1.9M	0.87	8.18	N/A	N/A	19,897	17,382	168,768	116,848
2013-05-22	$42.97	$40.00	21.8%	6.2%	24.7%	9.6%	22.1%	1.8%	0.5%	11.6M	-422.9M	-1.9M	0.64	9.80	N/A	N/A	18,405	11,727	178,243	124,660
2013-05-23	$42.69	$40.00	21.8%	6.2%	25.1%	9.6%	22.7%	2.5%	0.8%	10.8M	-395.1M	-1.9M	0.73	8.10	N/A	N/A	6,636	4,816	180,174	125,166
2013-05-24	$42.64	$40.00	20.6%	5.9%	25.0%	6.7%	21.0%	2.0%	1.1%	10.2M	-394.7M	-1.9M	0.57	7.18	N/A	N/A	11,298	6,466	181,532	125,178
2013-05-28	$42.86	$40.00	20.6%	5.9%	24.8%	6.6%	20.5%	1.8%	1.1%	10.5M	-418.5M	-1.9M	0.20	6.11	N/A	N/A	9,075	1,844	180,733	121,682
2013-05-29	$43.09	$40.00	21.0%	6.0%	24.8%	7.6%	21.4%	2.1%	1.1%	11.5M	-440.3M	-1.9M	0.30	5.99	N/A	N/A	3,652	1,084	185,234	121,644
2013-05-30	$42.66	$40.00	20.4%	5.9%	25.1%	6.2%	20.5%	2.3%	1.3%	11.3M	-410.4M	-2.0M	0.47	6.39	N/A	N/A	4,571	2,150	187,327	122,191
2013-05-31	$42.11	$40.00	21.7%	6.2%	25.5%	9.3%	22.2%	2.6%	0.8%	10.5M	-376.3M	-2.0M	0.80	10.79	N/A	N/A	2,053	1,640	189,165	121,954