LOW Options History — June 2015 In June 2015, LOW traded between $67.16 and $70.63. ATM implied volatility averaged 17.9%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.1% (HV 20d: 17.9%). Max pain ranged from $70.00 to $77.50. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 3.29.
Notable Days 2015-06-04 : Highest Volume — 27,583 contracts2015-06-29 : Largest IV spike — 16.1% change2015-06-09 : Highest IV Rank — 32.8%2015-06-29 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $69.45 $67.16 $70.63 $70.11 $67.16 Max Pain $74.32 $70.00 $77.50 $70.00 $75.00 ATM IV 17.9% 15.6% 20.9% 18.2% 19.9% Expected Move 5.1% 4.5% 5.8% 5.2% 5.7% HV 20d 17.9% 9.6% 24.4% 24.4% 12.1% HV 60d 20.1% 19.1% 21.5% 21.5% 19.4% IV Rank 19.3% 8.9% 32.8% 20.6% 28.1% IV Percentile 37.7% 8.3% 69.4% 43.7% 62.7% Term Structure 2.4% -0.3% 3.7% 0.2% 2.3% VWIV 17.2% 14.1% 20.0% 19.0% 20.0% Skew 25d 2.7% 2.0% 3.6% 2.1% 3.3% Skew 10d 5.7% 4.1% 7.6% 4.9% 6.3% Call IV 25d 17.0% 14.7% 19.2% 17.7% 18.9% Put IV 25d 19.7% 17.2% 22.7% 19.8% 22.2% Bid-Ask Spread % 9.08 6.41 13.37 8.91 6.98 Gamma HHI 0.24 0.17 0.64 0.19 0.24 Net GEX -2.7M -27.7M 4.2M -800.6K -5.3M Net DEX 61.2M -52.6M 152.3M -48.0M 152.3M Net VEX -1.3M -1.4M -1.1M -1.4M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.29 0.82 6.05 0.98 1.96 Total Volume 17,075.182 4,143 27,583 4,143 15,531 Total OI 173,977.227 152,080 191,153 152,887 167,495
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 2015-06-01 $70.11 $70.00 18.2% 5.2% 24.4% 20.6% 19.0% 2.1% 0.2% -800.6K -48.0M -1.4M 0.98 8.91 N/A N/A 2,092 2,051 75,377 77,510 2015-06-02 $70.15 $70.00 18.6% 5.3% 24.2% 22.1% 19.5% 2.0% -0.3% -372.8K -52.6M -1.4M 1.09 6.69 N/A N/A 7,313 7,943 74,768 77,312 2015-06-03 $70.63 $70.00 18.5% 5.3% 24.0% 21.8% 18.5% 2.0% -0.3% 511.8K -27.5M -1.4M 0.92 6.41 N/A N/A 9,873 9,106 82,433 84,511 2015-06-04 $70.12 $72.50 18.9% 5.3% 24.1% 23.7% 17.7% 2.8% 2.0% -345.0K -6.6M -1.4M 1.52 12.35 N/A N/A 10,926 16,657 83,422 84,852 2015-06-05 $69.85 $75.00 18.2% 5.2% 22.3% 20.6% 15.4% 2.6% 2.2% -1.2M 60.3M -1.4M 0.82 12.02 N/A N/A 11,467 9,376 92,188 92,952 2015-06-08 $68.76 $75.00 20.4% 5.5% 22.1% 30.2% 16.7% 2.9% 1.4% -3.8M 108.2M -1.4M 1.05 10.10 N/A N/A 13,011 13,679 92,470 92,900 2015-06-09 $68.57 $77.50 20.9% 5.7% 22.1% 32.8% 18.1% 3.0% 1.9% -5.0M 128.9M -1.4M 1.87 10.11 N/A N/A 6,549 12,238 95,314 94,873 2015-06-10 $69.22 $75.00 18.0% 5.2% 22.3% 19.6% 19.0% 2.8% 2.5% -3.7M 99.9M -1.3M 2.54 9.01 N/A N/A 4,657 11,814 95,532 95,228 2015-06-11 $68.98 $75.00 17.6% 5.0% 22.2% 17.8% 14.1% 2.7% 2.7% -5.0M 109.4M -1.3M 6.05 13.37 N/A N/A 1,998 12,088 95,282 95,293 2015-06-12 $69.07 $75.00 17.7% 5.1% 21.9% 18.1% 15.3% 2.7% 2.8% -4.7M 107.7M -1.3M 4.35 8.77 N/A N/A 2,778 12,078 95,156 95,427 2015-06-15 $69.10 $75.00 18.0% 5.2% 21.4% 19.5% 18.3% 3.1% 2.7% -5.9M 115.1M -1.3M 2.59 9.36 N/A N/A 4,708 12,217 94,816 95,421 2015-06-16 $69.37 $75.00 18.0% 5.2% 21.5% 19.6% 15.8% 2.9% 2.5% -3.3M 88.0M -1.3M 3.39 8.71 N/A N/A 3,371 11,429 95,694 95,162 2015-06-17 $69.69 $75.00 17.5% 5.0% 21.0% 17.4% 17.4% 2.4% 3.0% -1.8M 73.2M -1.3M 2.89 8.64 N/A N/A 3,932 11,359 95,858 95,139 2015-06-18 $70.16 $75.00 16.7% 4.8% 11.5% 14.0% 15.9% 2.7% 3.4% -689.0K 39.8M -1.2M 5.39 9.26 N/A N/A 2,312 12,452 96,136 95,017 2015-06-19 $70.00 $75.00 16.1% 4.6% 11.5% 11.0% 16.2% 2.8% 3.3% -27.7M 50.7M -1.1M 3.34 7.45 N/A N/A 5,178 17,298 96,047 94,486 2015-06-22 $70.39 $75.00 15.6% 4.5% 10.9% 8.9% 16.0% 2.5% 3.7% 3.5M 30.7M -1.2M 6.04 6.82 N/A N/A 2,091 12,624 79,986 73,339 2015-06-23 $70.62 $75.00 15.8% 4.5% 10.9% 9.9% 16.5% 2.5% 3.3% 4.2M 23.4M -1.2M 5.66 8.66 N/A N/A 2,085 11,794 80,590 73,340 2015-06-24 $70.11 $75.00 15.8% 4.5% 9.6% 9.8% 16.1% 2.7% 3.6% 2.9M 40.5M -1.2M 5.41 8.78 N/A N/A 2,367 12,798 81,088 73,738 2015-06-25 $69.71 $75.00 16.0% 4.6% 9.7% 10.6% 16.8% 2.8% 3.7% 2.1M 52.6M -1.2M 4.53 8.67 N/A N/A 2,709 12,276 81,751 74,663 2015-06-26 $68.60 $75.00 17.5% 5.0% 11.0% 17.5% 16.8% 2.6% 3.0% -586.6K 88.7M -1.1M 4.42 10.62 N/A N/A 2,990 13,202 82,200 74,959 2015-06-29 $67.63 $75.00 20.4% 5.8% 12.0% 30.2% 19.7% 3.6% 2.3% -1.5M 112.5M -1.1M 5.55 8.12 N/A N/A 3,546 19,691 82,718 75,056 2015-06-30 $67.16 $75.00 19.9% 5.7% 12.1% 28.1% 20.0% 3.3% 2.3% -5.3M 152.3M -1.3M 1.96 6.98 N/A N/A 5,255 10,276 82,567 84,928
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