LOW Options History — August 2013

In August 2013, LOW traded between $43.67 and $47.39. ATM implied volatility averaged 22.4%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.1% (HV 20d: 23.5%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.76.

Notable Days

2013-08-16: Highest Volume — 90,324 contracts
2013-08-15: Largest IV spike — 35.8% change
2013-08-19: Highest IV Rank — 29.6%
2013-08-19: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.49	$43.67	$47.39	$45.04	$45.82
Max Pain	$44.86	$44.00	$45.00	$44.00	$45.00
ATM IV	22.4%	18.3%	29.5%	19.8%	21.4%
Expected Move	6.8%	5.2%	8.4%	5.4%	6.5%
HV 20d	23.5%	13.7%	30.7%	14.6%	30.7%
HV 60d	23.1%	20.5%	25.7%	22.9%	23.2%
IV Rank	12.3%	2.2%	29.6%	6.0%	9.8%
IV Percentile	37.6%	1.6%	91.7%	7.5%	29.0%
Term Structure	0.0%	-2.9%	4.5%	4.1%	1.2%
VWIV	23.6%	18.0%	29.4%	19.2%	23.1%
Skew 25d	3.4%	2.7%	4.1%	2.8%	3.4%
Skew 10d	7.9%	5.7%	11.1%	5.7%	7.7%
Call IV 25d	22.2%	17.2%	28.2%	17.6%	21.2%
Put IV 25d	25.6%	19.9%	31.5%	20.4%	24.6%
Bid-Ask Spread %	6.34	4.10	11.97	4.10	4.90
Gamma HHI	0.18	0.13	0.23	0.20	0.18
Net GEX	22.5M	7.0M	43.4M	11.0M	34.5M
Net DEX	-449.4M	-783.6M	-265.1M	-346.1M	-491.2M
Net VEX	-2.0M	-2.2M	-1.7M	-1.7M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.07	1.41	0.72	0.99
Total Volume	20,960.818	2,391	90,324	4,995	8,204
Total OI	321,580.182	254,135	412,255	254,135	389,586

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
2013-08-01	$45.04	$44.00	19.8%	5.4%	14.6%	6.0%	19.2%	2.8%	4.1%	11.0M	-346.1M	-1.7M	0.72	4.10	N/A	N/A	2,905	2,090	147,784	106,351
2013-08-02	$44.99	$44.00	18.3%	5.2%	14.4%	2.2%	18.0%	2.7%	4.5%	12.9M	-344.8M	-1.7M	0.95	11.97	N/A	N/A	2,737	2,601	149,248	107,670
2013-08-05	$45.47	$45.00	19.8%	6.6%	13.7%	6.0%	23.2%	3.4%	-0.9%	12.2M	-376.9M	-1.7M	1.04	5.82	N/A	N/A	1,760	1,829	149,848	107,015
2013-08-06	$44.87	$45.00	21.3%	6.6%	14.6%	9.6%	22.4%	3.7%	-1.0%	11.8M	-337.6M	-1.7M	0.50	7.13	N/A	N/A	1,594	797	150,570	107,289
2013-08-07	$44.30	$45.00	20.9%	6.9%	15.0%	8.7%	24.2%	3.7%	-1.0%	11.1M	-298.0M	-1.8M	1.41	7.65	N/A	N/A	4,421	6,241	151,358	107,235
2013-08-08	$46.16	$45.00	20.7%	6.9%	20.6%	8.1%	23.5%	3.3%	-1.2%	13.1M	-430.3M	-1.7M	0.36	6.29	N/A	N/A	9,844	3,591	154,304	107,552
2013-08-09	$45.68	$45.00	20.8%	7.0%	21.0%	8.4%	23.9%	3.6%	-1.3%	14.1M	-397.0M	-1.8M	0.54	5.38	N/A	N/A	9,872	5,328	158,827	109,929
2013-08-12	$45.80	$45.00	21.5%	7.0%	20.9%	10.0%	24.3%	3.8%	-1.3%	15.8M	-415.7M	-1.8M	0.32	6.43	N/A	N/A	4,348	1,410	165,261	112,254
2013-08-13	$46.13	$45.00	18.6%	7.0%	21.0%	3.0%	24.6%	3.5%	-1.3%	15.6M	-436.3M	-1.7M	0.24	6.24	N/A	N/A	5,306	1,261	164,671	112,850
2013-08-14	$45.00	$45.00	21.0%	7.7%	22.9%	8.9%	26.3%	3.9%	-2.3%	13.8M	-355.7M	-1.8M	0.60	6.46	N/A	N/A	5,438	3,238	165,728	113,348
2013-08-15	$43.85	$45.00	28.5%	8.2%	24.8%	27.4%	28.6%	3.7%	-2.0%	10.0M	-265.1M	-1.9M	1.32	7.04	N/A	N/A	11,237	14,861	167,777	114,406
2013-08-16	$43.96	$45.00	28.5%	8.2%	24.8%	27.2%	26.7%	3.9%	-2.4%	7.0M	-268.1M	-1.9M	0.07	7.22	N/A	N/A	84,743	5,581	172,216	119,682
2013-08-19	$43.67	$45.00	29.5%	8.4%	24.6%	29.6%	29.4%	3.3%	-2.9%	22.5M	-333.1M	-2.2M	0.92	5.56	N/A	N/A	11,144	10,286	240,363	109,381
2013-08-20	$44.08	$45.00	27.2%	7.8%	24.6%	24.0%	25.9%	4.1%	-1.3%	25.1M	-360.6M	-2.2M	1.01	6.98	N/A	N/A	42,753	43,184	244,905	116,842
2013-08-21	$45.81	$44.00	22.1%	6.3%	28.2%	11.7%	22.3%	3.0%	1.7%	39.5M	-607.1M	-2.1M	0.39	6.87	N/A	N/A	54,068	21,211	262,675	138,619
2013-08-22	$47.39	$45.00	21.9%	6.3%	29.8%	11.1%	22.5%	2.8%	1.6%	38.1M	-783.6M	-2.1M	0.64	6.23	N/A	N/A	18,496	11,801	263,066	142,726
2013-08-23	$46.98	$45.00	21.5%	6.2%	30.1%	10.1%	21.6%	2.8%	1.6%	43.4M	-719.5M	-2.1M	0.74	5.23	N/A	N/A	11,172	8,305	260,968	151,287
2013-08-26	$46.99	$45.00	21.4%	6.1%	29.5%	10.0%	22.0%	3.0%	1.4%	36.0M	-648.8M	-2.1M	1.33	7.27	N/A	N/A	2,954	3,934	247,989	127,957
2013-08-27	$46.00	$45.00	23.2%	6.6%	30.6%	14.2%	23.0%	3.6%	0.8%	33.4M	-520.1M	-2.2M	0.66	5.05	N/A	N/A	7,384	4,848	248,622	129,985
2013-08-28	$46.38	$45.00	22.7%	6.5%	30.5%	13.1%	22.9%	3.3%	1.1%	36.7M	-573.2M	-2.2M	0.80	4.26	N/A	N/A	3,013	2,416	254,439	132,855
2013-08-29	$46.42	$45.00	22.2%	6.4%	30.3%	11.8%	22.1%	3.5%	1.4%	38.3M	-577.3M	-2.2M	1.07	5.40	N/A	N/A	1,419	1,513	255,236	134,090
2013-08-30	$45.82	$45.00	21.4%	6.5%	30.7%	9.8%	23.1%	3.4%	1.2%	34.5M	-491.2M	-2.2M	0.99	4.90	N/A	N/A	4,123	4,081	255,144	134,442