LOW Options History — July 2013

In July 2013, LOW traded between $41.06 and $45.10. ATM implied volatility averaged 21.0%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.8% (HV 20d: 20.2%). Max pain ranged from $38.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.72.

Notable Days

2013-07-11: Highest Volume — 19,063 contracts
2013-07-29: Largest IV spike — 22.0% change
2013-07-31: Highest IV Rank — 17.5%
2013-07-03: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.70	$41.06	$45.10	$41.06	$44.58
Max Pain	$42.00	$38.00	$44.00	$38.00	$44.00
ATM IV	21.0%	17.4%	24.5%	22.4%	24.5%
Expected Move	5.8%	5.0%	6.5%	6.2%	5.5%
HV 20d	20.2%	14.4%	27.9%	27.9%	14.4%
HV 60d	24.1%	23.1%	24.9%	24.0%	23.1%
IV Rank	8.2%	0.0%	17.5%	11.0%	17.5%
IV Percentile	23.3%	0.0%	67.9%	32.9%	67.9%
Term Structure	2.9%	0.5%	4.4%	1.4%	3.8%
VWIV	20.3%	18.1%	22.6%	21.2%	19.5%
Skew 25d	2.7%	1.8%	3.5%	2.3%	2.8%
Skew 10d	5.6%	4.3%	7.9%	5.1%	4.7%
Call IV 25d	19.2%	16.6%	21.9%	20.7%	18.3%
Put IV 25d	21.9%	19.1%	25.0%	23.0%	21.0%
Bid-Ask Spread %	9.02	6.32	13.31	7.40	13.31
Gamma HHI	0.18	0.17	0.22	0.19	0.19
Net GEX	13.6M	9.2M	17.0M	12.8M	9.9M
Net DEX	-411.2M	-535.6M	-245.2M	-297.3M	-314.1M
Net VEX	-1.8M	-1.9M	-1.7M	-1.9M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.06	3.44	0.41	0.41
Total Volume	7,458.727	2,953	19,063	3,684	4,704
Total OI	289,195.864	230,816	326,451	302,691	252,281

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
2013-07-01	$41.06	$38.00	22.4%	6.2%	27.9%	11.0%	21.2%	2.3%	1.4%	12.8M	-297.3M	-1.9M	0.41	7.40	N/A	N/A	2,614	1,070	189,839	112,852
2013-07-02	$42.37	$38.00	23.2%	6.5%	27.7%	13.0%	22.5%	1.9%	0.5%	14.2M	-399.0M	-1.9M	0.39	9.51	N/A	N/A	12,017	4,669	191,450	113,231
2013-07-03	$42.32	$39.00	23.2%	6.5%	24.2%	13.1%	22.3%	1.8%	0.6%	15.2M	-400.3M	-1.9M	0.95	7.37	N/A	N/A	1,728	1,640	197,164	116,016
2013-07-05	$42.78	$41.00	21.3%	6.5%	22.7%	8.4%	22.6%	3.5%	2.0%	15.7M	-438.5M	-1.9M	0.67	6.59	N/A	N/A	1,773	1,180	197,193	116,892
2013-07-08	$43.50	$41.00	24.1%	6.4%	22.2%	15.5%	22.1%	3.2%	2.1%	16.2M	-486.6M	-1.8M	0.45	6.32	N/A	N/A	4,386	1,993	196,494	116,005
2013-07-09	$43.81	$42.00	23.3%	6.2%	21.7%	13.3%	21.6%	3.3%	2.3%	16.3M	-514.5M	-1.8M	0.39	7.37	N/A	N/A	7,008	2,698	196,802	116,485
2013-07-10	$43.39	$42.00	21.5%	6.3%	21.9%	9.0%	21.6%	2.7%	2.3%	16.7M	-485.2M	-1.8M	0.57	8.09	N/A	N/A	3,444	1,970	198,688	116,402
2013-07-11	$43.37	$42.00	21.5%	6.2%	21.6%	8.8%	20.6%	3.0%	2.4%	17.0M	-491.8M	-1.8M	0.79	9.30	N/A	N/A	10,665	8,398	199,955	116,432
2013-07-12	$43.83	$42.00	20.3%	5.8%	21.4%	5.9%	21.4%	2.7%	2.9%	15.9M	-513.8M	-1.8M	0.28	9.57	N/A	N/A	3,139	886	199,280	123,688
2013-07-15	$43.75	$42.00	20.1%	5.8%	21.5%	5.5%	20.3%	2.8%	3.2%	15.9M	-509.7M	-1.8M	0.60	7.45	N/A	N/A	4,988	2,991	199,376	123,692
2013-07-16	$43.79	$42.00	20.1%	5.8%	21.5%	5.5%	20.5%	2.9%	3.0%	15.6M	-503.2M	-1.8M	0.32	9.73	N/A	N/A	4,872	1,558	198,165	124,646
2013-07-17	$44.26	$42.00	19.8%	5.7%	21.7%	4.7%	19.9%	2.9%	3.1%	15.4M	-535.6M	-1.7M	0.31	11.46	N/A	N/A	3,048	953	198,895	125,478
2013-07-18	$44.29	$42.00	19.4%	5.6%	21.1%	3.8%	19.7%	2.8%	3.4%	14.9M	-528.2M	-1.7M	0.09	11.51	N/A	N/A	14,296	1,294	197,087	125,512
2013-07-19	$44.27	$43.00	18.8%	5.4%	17.0%	2.1%	18.8%	3.1%	3.7%	13.1M	-528.9M	-1.8M	0.06	9.93	N/A	N/A	15,218	955	200,175	126,276
2013-07-22	$44.68	$43.00	17.4%	5.0%	16.4%	0.0%	18.6%	2.5%	4.4%	11.2M	-327.1M	-1.7M	0.95	7.81	N/A	N/A	2,550	2,428	138,650	92,166
2013-07-23	$45.10	$43.00	17.8%	5.1%	16.2%	1.1%	18.1%	2.4%	4.0%	11.3M	-346.4M	-1.7M	1.05	9.21	N/A	N/A	1,837	1,938	139,881	93,603
2013-07-24	$44.75	$43.00	18.4%	5.3%	16.9%	2.5%	18.7%	2.7%	3.9%	11.4M	-328.6M	-1.7M	0.64	9.24	N/A	N/A	2,813	1,805	140,957	94,753
2013-07-25	$44.13	$43.00	19.5%	5.6%	16.7%	5.2%	19.5%	2.5%	3.6%	10.9M	-293.9M	-1.7M	3.44	8.87	N/A	N/A	1,896	6,521	142,327	95,914
2013-07-26	$43.97	$44.00	18.9%	5.4%	16.4%	3.7%	18.9%	2.4%	4.1%	11.1M	-274.5M	-1.8M	1.70	8.63	N/A	N/A	1,578	2,685	142,731	101,350
2013-07-29	$43.44	$44.00	23.1%	5.8%	17.0%	13.9%	19.4%	2.4%	3.5%	9.2M	-245.2M	-1.8M	0.38	9.60	N/A	N/A	3,136	1,199	142,887	102,465
2013-07-30	$44.04	$44.00	24.4%	5.7%	17.4%	17.2%	19.5%	2.6%	3.7%	10.0M	-283.7M	-1.8M	0.98	10.12	N/A	N/A	3,809	3,742	144,971	103,203
2013-07-31	$44.58	$44.00	24.5%	5.5%	14.4%	17.5%	19.5%	2.8%	3.8%	9.9M	-314.1M	-1.8M	0.41	13.31	N/A	N/A	3,339	1,365	146,335	105,946