LOW Options History — April 2015 In April 2015, LOW traded between $68.74 and $75.25. ATM implied volatility averaged 18.7%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.2% (HV 20d: 17.6%). Max pain ranged from $70.00 to $72.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.79.
Notable Days 2015-04-30 : Highest Volume — 49,330 contracts2015-04-30 : Largest IV spike — 49.7% change2015-04-30 : Highest IV Rank — 68.9%2015-04-30 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $73.26 $68.74 $75.25 $74.32 $68.74 Max Pain $72.38 $70.00 $72.50 $70.00 $72.50 ATM IV 18.7% 16.9% 29.0% 19.3% 29.0% Expected Move 5.4% 4.9% 8.3% 5.5% 8.3% HV 20d 17.6% 15.1% 20.1% 20.1% 17.7% HV 60d 19.2% 17.2% 21.1% 21.1% 18.0% IV Rank 22.9% 14.8% 68.9% 25.5% 68.9% IV Percentile 46.5% 23.0% 98.8% 57.1% 98.8% Term Structure 2.9% -1.7% 4.9% 0.4% -1.7% VWIV 19.0% 16.7% 29.1% 19.5% 29.1% Skew 25d 2.9% 1.9% 5.4% 2.7% 5.4% Skew 10d 6.5% 4.3% 14.7% 6.4% 14.7% Call IV 25d 18.0% 15.9% 26.9% 18.8% 26.9% Put IV 25d 21.0% 18.3% 32.4% 21.4% 32.4% Bid-Ask Spread % 10.68 7.18 14.59 8.15 11.86 Gamma HHI 0.37 0.16 0.89 0.36 0.16 Net GEX 4.6M -126.2M 27.3M 20.8M -466.8K Net DEX -202.3M -339.0M -6.2M -298.3M -6.2M Net VEX -1.3M -1.4M -1.2M -1.4M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.15 4.27 0.94 4.27 Total Volume 11,034.286 3,640 49,330 10,580 49,330 Total OI 140,809.571 97,432 176,642 162,385 112,074
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 2015-04-01 $74.32 $70.00 19.3% 5.5% 20.1% 25.5% 19.5% 2.7% 0.4% 20.8M -298.3M -1.4M 0.94 8.15 N/A N/A 5,441 5,139 100,209 62,176 2015-04-02 $74.91 $72.50 18.5% 5.6% 20.1% 21.8% 21.8% 3.0% 2.1% 24.1M -330.1M -1.4M 1.42 8.51 N/A N/A 3,046 4,338 99,634 65,256 2015-04-06 $75.25 $72.50 19.0% 5.7% 19.1% 24.0% 19.4% 2.9% 2.1% 27.3M -339.0M -1.3M 0.26 10.20 N/A N/A 12,634 3,249 99,571 67,012 2015-04-07 $74.09 $72.50 17.5% 5.4% 19.6% 17.6% 19.4% 3.0% 2.5% 17.8M -266.5M -1.3M 0.27 9.75 N/A N/A 13,520 3,695 100,182 67,237 2015-04-08 $74.81 $72.50 18.8% 5.4% 18.9% 23.2% 18.7% 2.9% 2.4% 22.1M -304.4M -1.3M 0.53 9.07 N/A N/A 4,752 2,532 98,255 67,446 2015-04-09 $74.21 $72.50 18.4% 5.3% 19.2% 21.4% 18.0% 3.0% 2.9% 15.0M -263.0M -1.3M 0.43 7.18 N/A N/A 6,376 2,754 100,186 67,717 2015-04-10 $74.86 $72.50 18.9% 5.4% 17.2% 23.5% 18.8% 2.6% 2.4% 20.3M -303.0M -1.3M 0.27 8.39 N/A N/A 11,020 3,017 99,059 68,321 2015-04-13 $73.86 $72.50 18.7% 5.4% 17.4% 22.9% 18.4% 3.2% 2.4% 12.4M -252.1M -1.2M 0.23 9.32 N/A N/A 9,006 2,084 101,598 69,244 2015-04-14 $73.92 $72.50 18.1% 5.2% 16.2% 20.3% 18.7% 2.9% 2.7% 14.3M -260.6M -1.3M 0.45 8.99 N/A N/A 4,017 1,807 101,609 69,555 2015-04-15 $73.39 $72.50 18.8% 5.4% 15.9% 23.4% 17.8% 2.6% 2.4% -4.1M -218.0M -1.2M 0.32 9.71 N/A N/A 5,229 1,684 101,664 69,593 2015-04-16 $74.07 $72.50 18.4% 5.3% 16.3% 21.3% 18.4% 2.4% 2.2% 22.1M -272.8M -1.2M 0.15 10.45 N/A N/A 12,317 1,889 102,839 69,793 2015-04-17 $72.50 $72.50 19.1% 5.5% 17.9% 24.6% 19.5% 2.4% 2.4% -126.2M -172.7M -1.2M 0.91 9.33 N/A N/A 6,575 5,996 105,895 70,747 2015-04-20 $72.66 $72.50 17.3% 5.0% 17.6% 16.6% 17.2% 2.5% 4.0% 4.4M -126.9M -1.2M 0.52 13.07 N/A N/A 5,383 2,785 54,632 42,800 2015-04-21 $73.33 $72.50 17.0% 4.9% 17.9% 15.3% 16.7% 2.7% 4.4% 5.7M -144.2M -1.2M 0.52 12.01 N/A N/A 4,786 2,502 55,614 44,169 2015-04-22 $73.08 $72.50 17.3% 5.0% 17.9% 16.6% 17.4% 2.7% 4.3% 4.9M -136.5M -1.3M 0.69 13.93 N/A N/A 2,380 1,642 57,377 45,371 2015-04-23 $73.41 $72.50 17.3% 5.0% 16.9% 16.4% 17.1% 1.9% 4.8% 6.0M -151.7M -1.2M 0.65 14.59 N/A N/A 2,531 1,649 57,507 45,534 2015-04-24 $73.17 $72.50 16.9% 4.9% 15.6% 14.8% 17.1% 2.6% 4.9% 5.1M -138.5M -1.3M 0.81 11.59 N/A N/A 2,011 1,629 57,486 45,787 2015-04-27 $71.89 $72.50 17.7% 5.1% 16.3% 18.1% 18.5% 3.4% 4.5% 2.2M -101.0M -1.2M 0.44 13.34 N/A N/A 3,531 1,546 57,660 45,845 2015-04-28 $71.66 $72.50 17.6% 5.0% 15.1% 17.8% 17.8% 3.5% 4.3% 1.7M -96.0M -1.2M 0.47 12.86 N/A N/A 4,474 2,123 58,312 45,970 2015-04-29 $70.41 $72.50 19.4% 5.6% 16.1% 25.7% 19.1% 3.5% 3.4% 620.1K -65.7M -1.2M 1.92 11.95 N/A N/A 3,868 7,433 59,541 46,524 2015-04-30 $68.74 $72.50 29.0% 8.3% 17.7% 68.9% 29.1% 5.4% -1.7% -466.8K -6.2M -1.3M 4.27 11.86 N/A N/A 9,353 39,977 60,757 51,317
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