LOW Options History — September 2014 In September 2014, LOW traded between $52.61 and $54.15. ATM implied volatility averaged 16.1%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.2% (HV 20d: 12.9%). Max pain ranged from $48.00 to $52.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.98.
Notable Days 2014-09-03 : Highest Volume — 31,496 contracts2014-09-08 : Largest IV spike — 15.1% change2014-09-29 : Highest IV Rank — 21.7%2014-09-15 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $53.38 $52.61 $54.15 $52.61 $52.92 Max Pain $49.95 $48.00 $52.50 $48.00 $50.00 ATM IV 16.1% 14.4% 17.4% 15.0% 17.3% Expected Move 5.6% 5.4% 5.7% 5.6% 5.7% HV 20d 12.9% 9.9% 16.7% 16.7% 12.6% HV 60d 13.7% 13.0% 14.7% 14.5% 14.0% IV Rank 14.0% 4.5% 21.7% 7.8% 21.0% IV Percentile 11.1% 1.2% 25.8% 3.2% 25.4% Term Structure 2.6% 0.8% 3.5% 0.9% 3.2% VWIV 19.3% 17.6% 20.4% 18.9% 19.3% Skew 25d 2.2% 1.7% 3.5% 2.3% 3.5% Skew 10d 5.1% 3.1% 7.8% 7.5% 6.8% Call IV 25d 15.5% 14.7% 16.6% 14.8% 16.1% Put IV 25d 17.7% 16.7% 19.6% 17.2% 19.6% Bid-Ask Spread % 8.34 6.11 11.48 8.12 11.48 Gamma HHI 0.23 0.18 0.34 0.23 0.22 Net GEX 5.0M 3.0M 7.1M 5.4M 3.0M Net DEX -225.4M -277.1M -169.4M -212.6M -169.4M Net VEX -957.5K -990.7K -880.9K -894.4K -970.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.20 3.46 1.14 0.72 Total Volume 5,044.619 1,430 31,496 3,344 2,481 Total OI 168,074.429 151,748 187,194 164,599 154,926
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 2014-09-02 $52.61 $48.00 15.0% 5.6% 16.7% 7.8% 18.9% 2.3% 0.9% 5.4M -212.6M -894.4K 1.14 8.12 N/A N/A 1,565 1,779 79,237 85,362 2014-09-03 $52.91 $48.00 15.0% 5.6% 16.2% 7.9% 18.8% 2.1% 0.9% 5.6M -225.9M -880.9K 3.46 6.75 N/A N/A 7,060 24,436 79,279 85,517 2014-09-04 $53.61 $48.00 15.4% 5.6% 16.4% 10.3% 19.5% 2.1% 0.8% 6.0M -250.0M -962.7K 0.44 7.04 N/A N/A 7,417 3,266 84,147 86,539 2014-09-05 $54.11 $50.00 14.4% 5.4% 16.1% 4.5% 18.8% 2.2% 2.7% 6.9M -277.1M -929.7K 0.22 6.11 N/A N/A 5,440 1,193 84,850 87,202 2014-09-08 $53.54 $50.00 16.6% 5.6% 12.4% 17.0% 19.2% 1.9% 2.5% 7.1M -256.1M -946.0K 0.85 6.19 N/A N/A 3,957 3,383 86,564 87,316 2014-09-09 $53.03 $50.00 16.7% 5.6% 13.3% 17.5% 19.1% 2.1% 2.4% 6.0M -229.4M -988.6K 0.76 7.07 N/A N/A 2,132 1,615 86,041 89,688 2014-09-10 $53.39 $52.50 16.3% 5.7% 13.3% 15.1% 19.6% 2.1% 2.6% 6.3M -243.8M -975.0K 1.16 6.12 N/A N/A 1,068 1,239 85,983 89,682 2014-09-11 $53.08 $52.50 16.4% 5.6% 13.6% 16.0% 20.3% 2.3% 2.5% 5.1M -227.5M -990.7K 0.20 6.70 N/A N/A 2,598 511 86,125 101,069 2014-09-12 $52.97 $50.00 16.6% 5.6% 13.4% 16.9% 19.6% 2.1% 2.4% 5.3M -226.7M -989.2K 0.54 6.82 N/A N/A 1,470 788 86,452 90,035 2014-09-15 $53.13 $50.00 17.0% 5.7% 12.8% 18.9% 19.6% 1.7% 2.2% 6.1M -238.1M -965.0K 3.27 7.25 N/A N/A 540 1,768 85,954 89,893 2014-09-16 $53.70 $50.00 16.8% 5.7% 12.9% 18.1% 17.6% 2.1% 2.1% 5.5M -259.4M -929.6K 1.02 7.09 N/A N/A 4,393 4,465 85,909 89,769 2014-09-17 $53.86 $50.00 15.4% 5.5% 11.1% 10.4% 18.5% 1.7% 2.6% 6.0M -271.5M -975.6K 0.35 10.89 N/A N/A 2,016 698 89,607 93,047 2014-09-18 $54.15 $50.00 15.1% 5.4% 10.0% 8.4% 20.0% 1.8% 2.9% 6.7M -271.3M -957.0K 0.32 9.68 N/A N/A 1,678 543 87,469 93,002 2014-09-19 $54.09 $50.00 14.7% 5.4% 9.9% 6.2% 18.5% 1.9% 3.0% 4.2M -268.7M -953.1K 0.56 8.41 N/A N/A 2,792 1,566 87,501 93,022 2014-09-22 $53.46 $50.00 16.2% 5.6% 10.8% 14.7% 20.4% 1.9% 3.1% 3.4M -190.1M -960.9K 1.71 9.73 N/A N/A 1,050 1,800 72,394 79,354 2014-09-23 $53.12 $50.00 16.1% 5.6% 11.1% 14.3% 19.9% 2.4% 3.2% 3.2M -179.1M -966.8K 0.80 10.35 N/A N/A 945 752 72,637 79,506 2014-09-24 $53.63 $50.00 16.2% 5.6% 11.5% 14.6% 20.0% 2.7% 3.5% 3.7M -194.0M -965.4K 0.70 10.21 N/A N/A 1,020 711 73,015 79,670 2014-09-25 $53.07 $50.00 16.6% 5.6% 12.2% 16.9% 19.0% 1.7% 3.5% 3.2M -177.6M -973.5K 1.54 10.18 N/A N/A 709 1,089 73,396 79,956 2014-09-26 $53.18 $50.00 16.5% 5.6% 12.2% 16.4% 19.8% 2.7% 3.4% 3.2M -179.2M -971.1K 0.45 10.43 N/A N/A 1,773 801 73,508 80,470 2014-09-29 $53.35 $50.00 17.4% 5.7% 12.2% 21.7% 18.7% 3.1% 3.2% 3.3M -185.5M -962.4K 0.31 8.55 N/A N/A 1,093 337 73,784 80,686 2014-09-30 $52.92 $50.00 17.3% 5.7% 12.6% 21.0% 19.3% 3.5% 3.2% 3.0M -169.4M -970.4K 0.72 11.48 N/A N/A 1,445 1,036 74,065 80,861
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