LOW Options History — October 2014 In October 2014, LOW traded between $51.24 and $57.20. ATM implied volatility averaged 22.7%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.3% (HV 20d: 17.4%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.73.
Notable Days 2014-10-02 : Highest Volume — 24,142 contracts2014-10-15 : Largest IV spike — 45.5% change2014-10-15 : Highest IV Rank — 100.0%2014-10-15 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $53.96 $51.24 $57.20 $52.60 $57.20 Max Pain $50.33 $50.00 $52.50 $50.00 $52.50 ATM IV 22.7% 16.4% 35.9% 17.1% 24.1% Expected Move 6.2% 5.7% 7.1% 5.7% 5.9% HV 20d 17.4% 11.4% 21.7% 12.6% 21.7% HV 60d 15.8% 13.7% 17.5% 13.9% 17.3% IV Rank 43.6% 15.8% 100.0% 19.7% 46.8% IV Percentile 69.8% 13.9% 100.0% 22.6% 86.1% Term Structure -1.6% -3.6% 4.1% 3.6% -3.4% VWIV 22.4% 20.2% 25.3% 20.2% 22.9% Skew 25d 4.0% 1.8% 6.4% 1.8% 3.7% Skew 10d 8.8% 3.4% 11.3% 4.5% 9.0% Call IV 25d 22.1% 15.5% 26.5% 17.1% 23.5% Put IV 25d 26.0% 18.2% 32.9% 18.9% 27.2% Bid-Ask Spread % 10.10 7.64 17.93 8.76 7.64 Gamma HHI 0.25 0.17 0.52 0.21 0.34 Net GEX 2.4M -10.2M 4.8M 2.7M 4.8M Net DEX -165.2M -222.3M -87.6M -158.3M -222.3M Net VEX -1.0M -1.1M -946.2K -975.0K -946.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.73 0.30 16.36 0.44 1.02 Total Volume 7,401.522 1,299 24,142 10,445 10,138 Total OI 150,784.261 126,369 168,148 155,729 137,240
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 2014-10-01 $52.60 $50.00 17.1% 5.7% 12.6% 19.7% 20.2% 1.8% 3.6% 2.7M -158.3M -975.0K 0.44 8.76 N/A N/A 7,238 3,207 74,376 81,353 2014-10-02 $53.03 $50.00 17.5% 5.8% 12.0% 22.3% 20.6% 2.1% 3.6% 3.3M -180.6M -1.0M 16.36 9.25 N/A N/A 1,391 22,751 79,690 82,555 2014-10-03 $53.59 $50.00 16.9% 5.8% 12.2% 18.7% 20.2% 2.6% 4.1% 3.1M -194.7M -1.0M 1.36 9.89 N/A N/A 550 749 80,271 82,620 2014-10-06 $53.60 $50.00 17.3% 5.8% 11.6% 21.0% 20.8% 3.1% -1.4% 2.9M -196.3M -1.0M 0.90 8.99 N/A N/A 1,652 1,490 80,467 83,045 2014-10-07 $53.18 $50.00 18.1% 5.9% 11.4% 25.4% 21.1% 2.9% -1.4% 2.1M -178.7M -1.0M 1.36 9.80 N/A N/A 684 931 80,649 83,756 2014-10-08 $54.38 $50.00 16.4% 5.7% 13.7% 15.8% 21.6% 3.2% -1.1% 3.9M -208.5M -1.0M 0.80 11.32 N/A N/A 4,171 3,335 80,753 83,822 2014-10-09 $53.91 $50.00 18.0% 5.9% 13.9% 25.1% 21.0% 3.3% -1.6% 2.7M -208.5M -1.0M 2.04 10.85 N/A N/A 952 1,942 80,463 83,888 2014-10-10 $53.70 $50.00 21.5% 6.3% 14.0% 44.8% 21.7% 3.9% -2.1% 2.3M -193.8M -1.0M 1.41 13.48 N/A N/A 1,318 1,854 80,489 84,700 2014-10-13 $52.47 $50.00 24.8% 6.5% 16.3% 63.6% 23.1% 4.3% -2.6% 669.0K -141.0M -1.1M 1.39 12.61 N/A N/A 1,364 1,890 80,812 85,359 2014-10-14 $52.50 $50.00 24.7% 6.5% 15.8% 63.2% 24.1% 5.2% -2.5% 737.0K -142.3M -1.0M 1.22 17.93 N/A N/A 5,216 6,369 81,347 85,648 2014-10-15 $51.24 $50.00 35.9% 7.1% 17.7% 100.0% 25.0% 6.4% -3.6% 897.0K -87.6M -1.1M 1.69 11.81 N/A N/A 6,998 11,858 81,302 86,846 2014-10-16 $51.41 $50.00 27.4% 6.8% 17.6% 61.8% 25.3% 6.1% -2.6% 584.5K -100.4M -1.1M 0.87 8.90 N/A N/A 2,562 2,230 80,924 86,116 2014-10-17 $52.51 $50.00 25.8% 6.6% 19.5% 54.4% 24.7% 5.2% -2.1% -10.2M -145.2M -1.0M 0.31 9.86 N/A N/A 7,077 2,217 81,242 86,782 2014-10-20 $53.49 $50.00 25.7% 6.6% 20.3% 54.2% 21.8% 4.5% -2.0% 3.0M -116.7M -1.1M 2.40 9.80 N/A N/A 1,179 2,826 62,310 64,059 2014-10-21 $54.38 $50.00 23.1% 6.2% 21.0% 42.5% 23.6% 4.2% -1.5% 3.5M -141.1M -1.0M 0.68 8.02 N/A N/A 5,029 3,421 63,060 65,683 2014-10-22 $53.94 $50.00 23.5% 6.2% 21.0% 44.4% 23.2% 4.5% -2.0% 3.3M -130.6M -1.1M 0.78 8.34 N/A N/A 4,508 3,532 63,767 66,216 2014-10-23 $54.95 $50.00 23.4% 6.1% 21.5% 43.7% 22.9% 3.9% -2.4% 3.9M -159.4M -1.0M 1.14 9.38 N/A N/A 4,842 5,543 64,380 66,936 2014-10-24 $55.28 $50.00 23.3% 6.1% 21.6% 43.2% 22.3% 4.0% -2.3% 3.8M -167.3M -1.0M 0.91 9.28 N/A N/A 4,500 4,082 64,744 68,383 2014-10-27 $55.47 $50.00 24.5% 6.2% 21.6% 48.7% 21.4% 3.9% -2.8% 3.8M -171.5M -1.0M 1.16 8.71 N/A N/A 886 1,032 65,295 69,653 2014-10-28 $56.06 $50.00 24.6% 6.1% 21.4% 49.3% 21.3% 4.2% -3.1% 4.1M -184.4M -1.0M 0.30 8.50 N/A N/A 1,719 509 65,643 70,319 2014-10-29 $55.85 $52.50 24.8% 6.1% 21.3% 49.9% 22.1% 4.2% -3.3% 4.0M -178.0M -979.4K 0.74 10.26 N/A N/A 3,852 2,837 65,017 70,197 2014-10-30 $56.30 $52.50 23.6% 5.9% 21.3% 44.7% 23.5% 4.1% -3.3% 4.2M -192.1M -958.1K 0.46 8.83 N/A N/A 5,350 2,454 65,329 70,532 2014-10-31 $57.20 $52.50 24.1% 5.9% 21.7% 46.8% 22.9% 3.7% -3.4% 4.8M -222.3M -946.2K 1.02 7.64 N/A N/A 5,007 5,131 66,805 70,435
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