LOW Options History — March 2015 In March 2015, LOW traded between $72.90 and $75.61. ATM implied volatility averaged 19.7%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.2% (HV 20d: 17.6%). Max pain ranged from $62.50 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.52.
Notable Days 2015-03-20 : Highest Volume — 30,123 contracts2015-03-26 : Largest IV spike — 13.4% change2015-03-10 : Highest IV Rank — 40.3%2015-03-11 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $74.40 $72.90 $75.61 $75.07 $74.44 Max Pain $67.16 $62.50 $70.00 $70.00 $70.00 ATM IV 19.7% 17.8% 22.6% 18.3% 19.5% Expected Move 5.6% 5.1% 6.2% 5.2% 5.6% HV 20d 17.6% 14.0% 20.6% 14.0% 20.6% HV 60d 21.5% 20.9% 22.0% 20.9% 21.8% IV Rank 27.4% 18.8% 40.3% 20.7% 26.5% IV Percentile 57.3% 36.9% 77.8% 42.5% 59.1% Term Structure 1.2% 0.3% 3.2% 0.5% 0.8% VWIV 19.8% 17.2% 21.9% 18.5% 20.2% Skew 25d 2.9% 2.0% 3.3% 2.4% 3.2% Skew 10d 6.3% 4.3% 7.3% 4.4% 7.3% Call IV 25d 18.7% 16.6% 20.5% 17.2% 18.8% Put IV 25d 21.6% 19.5% 23.6% 19.6% 22.1% Bid-Ask Spread % 7.49 5.24 10.40 9.41 7.47 Gamma HHI 0.36 0.30 0.47 0.30 0.35 Net GEX 16.2M 10.5M 24.8M 17.2M 20.9M Net DEX -318.9M -388.9M -229.2M -372.9M -306.6M Net VEX -1.3M -1.4M -1.2M -1.2M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.09 1.54 0.30 0.42 Total Volume 9,956.864 3,365 30,123 15,908 6,272 Total OI 152,395.909 141,017 168,949 143,020 161,665
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 2015-03-02 $75.07 $70.00 18.3% 5.2% 14.0% 20.7% 18.5% 2.4% 0.5% 17.2M -372.9M -1.2M 0.30 9.41 N/A N/A 12,237 3,671 88,102 54,918 2015-03-03 $75.00 $70.00 18.4% 5.3% 14.1% 21.2% 18.4% 2.3% 0.5% 16.2M -361.6M -1.2M 0.27 9.17 N/A N/A 5,635 1,513 86,597 55,815 2015-03-04 $74.01 $70.00 18.2% 5.2% 14.8% 20.4% 18.6% 2.0% 0.7% 13.3M -307.2M -1.2M 0.39 10.40 N/A N/A 5,096 1,963 85,248 55,769 2015-03-05 $74.59 $62.50 18.4% 5.4% 14.2% 21.3% 19.0% 3.3% 2.2% 14.9M -328.3M -1.2M 0.48 8.87 N/A N/A 7,645 3,639 86,005 56,037 2015-03-06 $73.38 $62.50 20.3% 5.8% 15.3% 29.8% 19.7% 3.0% 1.6% 11.3M -279.8M -1.2M 0.29 7.26 N/A N/A 6,460 1,896 88,047 58,394 2015-03-09 $74.26 $65.00 20.3% 5.6% 15.7% 29.7% 19.8% 3.2% 1.8% 14.3M -308.0M -1.3M 0.61 6.92 N/A N/A 3,405 2,084 88,698 58,477 2015-03-10 $73.06 $65.00 22.6% 6.1% 16.1% 40.3% 20.9% 3.2% 1.2% 10.6M -264.8M -1.2M 0.72 6.69 N/A N/A 2,200 1,591 90,045 59,944 2015-03-11 $73.07 $65.00 21.5% 6.2% 15.6% 35.4% 21.7% 3.1% 1.1% 10.5M -256.6M -1.3M 0.71 7.26 N/A N/A 2,042 1,460 90,961 60,498 2015-03-12 $74.94 $65.00 20.1% 5.8% 17.6% 29.2% 20.1% 3.0% 1.7% 16.2M -344.0M -1.2M 0.66 7.48 N/A N/A 4,153 2,753 90,343 60,893 2015-03-13 $74.16 $65.00 21.3% 6.1% 17.8% 34.2% 21.3% 3.0% 1.0% 13.5M -300.1M -1.3M 0.49 8.67 N/A N/A 4,392 2,166 89,208 63,016 2015-03-16 $75.44 $65.00 20.9% 6.0% 18.6% 32.5% 20.9% 2.9% 1.1% 17.2M -365.9M -1.2M 0.09 7.40 N/A N/A 14,848 1,372 90,764 63,622 2015-03-17 $74.57 $65.00 21.3% 6.1% 19.2% 34.5% 21.9% 3.2% 0.6% 10.5M -311.1M -1.2M 0.66 5.66 N/A N/A 8,147 5,345 85,621 64,108 2015-03-18 $74.52 $67.50 20.1% 5.8% 19.2% 28.9% 20.8% 3.1% 1.7% 11.8M -322.2M -1.3M 0.94 6.88 N/A N/A 10,130 9,566 92,055 68,280 2015-03-19 $74.56 $67.50 19.4% 5.6% 19.1% 26.1% 20.5% 3.0% 2.1% 14.4M -322.9M -1.3M 0.72 6.49 N/A N/A 1,954 1,411 96,310 71,029 2015-03-20 $75.23 $67.50 17.8% 5.1% 18.4% 18.8% 17.2% 2.9% 3.2% 22.7M -388.9M -1.3M 0.11 6.68 N/A N/A 27,066 3,057 97,035 71,914 2015-03-23 $75.37 $67.50 18.0% 5.2% 18.4% 19.7% 17.3% 2.9% 0.5% 24.8M -366.6M -1.4M 0.36 6.84 N/A N/A 6,354 2,313 96,533 56,094 2015-03-24 $75.61 $67.50 18.1% 5.2% 17.8% 20.0% 17.7% 2.8% 0.9% 24.1M -360.8M -1.4M 0.46 5.24 N/A N/A 3,722 1,698 93,471 56,668 2015-03-25 $74.26 $70.00 18.7% 5.4% 18.9% 22.7% 18.7% 2.9% 0.8% 18.9M -300.7M -1.4M 0.23 5.92 N/A N/A 6,716 1,531 95,315 57,332 2015-03-26 $72.90 $70.00 21.2% 6.1% 20.0% 34.0% 21.2% 2.9% 0.3% 12.6M -229.2M -1.4M 0.64 7.06 N/A N/A 7,881 5,058 96,913 57,894 2015-03-27 $73.67 $70.00 20.7% 5.9% 20.4% 31.7% 20.5% 3.1% 0.5% 17.8M -272.3M -1.4M 0.25 9.23 N/A N/A 2,929 731 99,743 56,865 2015-03-30 $74.79 $70.00 19.1% 5.5% 20.6% 24.6% 21.0% 3.0% 1.2% 23.4M -346.2M -1.3M 1.54 7.79 N/A N/A 5,877 9,072 99,332 57,132 2015-03-31 $74.44 $70.00 19.5% 5.6% 20.6% 26.5% 20.2% 3.2% 0.8% 20.9M -306.6M -1.4M 0.42 7.47 N/A N/A 4,411 1,861 99,883 61,782
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