LOW Options History — February 2015

In February 2015, LOW traded between $68.41 and $74.69. ATM implied volatility averaged 22.6%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.5% (HV 20d: 23.1%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.49.

Notable Days

2015-02-24: Highest Volume — 37,845 contracts
2015-02-11: Largest IV spike — 33.9% change
2015-02-23: Highest IV Rank — 63.4%
2015-02-23: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.21	$68.41	$74.69	$68.41	$74.08
Max Pain	$67.63	$65.00	$70.00	$65.00	$70.00
ATM IV	22.6%	18.2%	27.8%	23.4%	18.2%
Expected Move	6.8%	5.2%	8.0%	6.7%	5.2%
HV 20d	23.1%	18.4%	28.5%	28.5%	18.4%
HV 60d	22.8%	20.9%	24.4%	23.8%	20.9%
IV Rank	40.1%	20.7%	63.4%	43.6%	20.7%
IV Percentile	74.0%	42.1%	98.0%	80.2%	42.1%
Term Structure	-1.0%	-4.4%	4.6%	3.1%	0.6%
VWIV	24.4%	18.5%	27.4%	23.3%	18.5%
Skew 25d	3.8%	2.3%	4.4%	3.7%	2.5%
Skew 10d	7.9%	4.5%	9.8%	8.8%	5.9%
Call IV 25d	22.5%	17.8%	25.6%	21.7%	17.8%
Put IV 25d	26.2%	20.2%	29.7%	25.4%	20.3%
Bid-Ask Spread %	9.35	5.43	15.72	11.24	8.29
Gamma HHI	0.25	0.15	0.33	0.23	0.30
Net GEX	6.6M	3.2M	14.4M	4.0M	14.0M
Net DEX	-278.8M	-339.0M	-170.7M	-170.7M	-319.4M
Net VEX	-1.1M	-1.3M	-1.1M	-1.2M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.13	1.45	1.45	0.29
Total Volume	10,851.737	2,610	37,845	5,204	9,040
Total OI	118,905.316	107,010	140,960	107,010	140,960

Daily Data (19 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
2015-02-02	$68.41	$65.00	23.4%	6.7%	28.5%	43.6%	23.3%	3.7%	3.1%	4.0M	-170.7M	-1.2M	1.45	11.24	N/A	N/A	2,122	3,082	57,823	49,187
2015-02-03	$69.52	$65.00	20.1%	5.8%	27.3%	29.2%	22.7%	3.5%	4.6%	4.7M	-206.2M	-1.2M	0.63	15.72	N/A	N/A	2,904	1,821	58,813	50,716
2015-02-04	$70.61	$65.00	21.1%	6.0%	27.7%	33.3%	21.5%	3.4%	4.4%	4.9M	-235.2M	-1.1M	0.53	14.73	N/A	N/A	4,332	2,309	59,384	51,391
2015-02-05	$71.43	$67.50	19.3%	7.0%	26.2%	25.5%	25.1%	4.1%	-1.6%	5.1M	-257.3M	-1.1M	0.42	10.66	N/A	N/A	4,051	1,709	60,080	51,703
2015-02-06	$71.87	$67.50	19.0%	7.2%	25.5%	24.1%	27.1%	4.0%	-1.8%	5.3M	-268.9M	-1.1M	0.84	8.39	N/A	N/A	3,753	3,160	60,478	52,341
2015-02-09	$70.93	$67.50	21.9%	7.6%	25.1%	37.0%	27.4%	4.4%	-1.8%	5.2M	-245.5M	-1.1M	0.74	9.60	N/A	N/A	3,991	2,938	60,698	53,967
2015-02-10	$71.78	$67.50	19.0%	7.2%	25.2%	24.2%	26.6%	4.3%	-1.6%	5.1M	-264.7M	-1.1M	0.53	7.86	N/A	N/A	6,008	3,208	60,881	55,178
2015-02-11	$71.37	$67.50	25.5%	7.3%	25.3%	53.2%	26.1%	4.4%	-1.8%	5.5M	-259.4M	-1.1M	0.48	8.45	N/A	N/A	5,338	2,565	61,545	55,615
2015-02-12	$72.19	$67.50	24.7%	7.1%	25.3%	49.6%	26.3%	4.3%	-1.6%	5.4M	-279.7M	-1.1M	0.31	8.85	N/A	N/A	7,748	2,421	61,643	56,136
2015-02-13	$72.03	$67.50	24.3%	7.0%	24.4%	48.1%	25.8%	4.0%	-2.0%	5.8M	-280.9M	-1.1M	0.28	6.91	N/A	N/A	7,220	2,031	62,361	56,711
2015-02-17	$72.43	$67.50	25.3%	7.3%	23.1%	52.3%	25.5%	4.3%	-2.5%	5.0M	-297.9M	-1.1M	0.46	9.90	N/A	N/A	6,786	3,147	63,242	56,989
2015-02-18	$72.60	$67.50	25.1%	7.2%	21.1%	51.5%	25.9%	4.1%	-2.7%	4.4M	-307.2M	-1.1M	0.36	11.54	N/A	N/A	8,904	3,179	63,972	57,856
2015-02-19	$72.29	$67.50	24.7%	7.1%	21.1%	49.8%	24.9%	3.9%	-2.7%	5.6M	-302.6M	-1.1M	0.27	8.28	N/A	N/A	2,059	551	65,528	58,595
2015-02-20	$73.56	$67.50	25.2%	7.2%	18.9%	52.0%	25.1%	4.4%	-3.1%	3.2M	-336.4M	-1.1M	0.13	10.21	N/A	N/A	12,577	1,694	66,088	58,758
2015-02-23	$73.61	$67.50	27.8%	8.0%	18.9%	63.4%	27.1%	4.2%	-4.4%	6.7M	-281.8M	-1.1M	0.25	6.31	N/A	N/A	9,294	2,297	63,180	43,927
2015-02-24	$74.69	$70.00	26.7%	7.6%	19.1%	58.5%	26.6%	3.3%	-3.6%	7.4M	-313.2M	-1.1M	0.35	5.43	N/A	N/A	28,005	9,840	66,142	45,015
2015-02-25	$74.44	$70.00	18.7%	5.4%	18.8%	22.9%	19.0%	2.3%	0.2%	14.3M	-339.0M	-1.2M	0.41	6.45	N/A	N/A	17,362	7,159	82,869	50,553
2015-02-26	$74.18	$70.00	18.7%	5.4%	18.5%	22.8%	19.1%	2.6%	0.0%	14.4M	-330.5M	-1.2M	0.56	8.83	N/A	N/A	7,402	4,176	86,033	52,843
2015-02-27	$74.08	$70.00	18.2%	5.2%	18.4%	20.7%	18.5%	2.5%	0.6%	14.0M	-319.4M	-1.3M	0.29	8.29	N/A	N/A	6,982	2,058	86,254	54,706