LOW Options History — July 2015 In July 2015, LOW traded between $66.27 and $69.38. ATM implied volatility averaged 20.5%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 7.1% (HV 20d: 13.5%). Max pain ranged from $67.50 to $75.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.55.
Notable Days 2015-07-17 : Highest Volume — 33,433 contracts2015-07-15 : Largest IV spike — 13.0% change2015-07-27 : Highest IV Rank — 42.8%2015-07-27 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $67.60 $66.27 $69.38 $67.30 $69.38 Max Pain $69.20 $67.50 $75.00 $75.00 $67.50 ATM IV 20.5% 18.0% 23.5% 19.0% 21.5% Expected Move 6.1% 5.4% 6.7% 5.4% 6.2% HV 20d 13.5% 11.7% 15.0% 11.7% 14.1% HV 60d 18.8% 17.3% 19.4% 19.2% 17.4% IV Rank 29.2% 17.4% 42.8% 24.0% 33.4% IV Percentile 64.9% 37.7% 85.3% 57.1% 70.6% Term Structure -1.3% -3.2% 2.8% 2.8% -2.3% VWIV 21.1% 19.3% 24.2% 19.4% 22.0% Skew 25d 3.5% 3.0% 4.0% 3.0% 3.6% Skew 10d 7.7% 5.8% 9.1% 5.8% 8.2% Call IV 25d 20.3% 18.1% 22.4% 18.1% 21.0% Put IV 25d 23.8% 21.2% 26.1% 21.2% 24.6% Bid-Ask Spread % 8.46 5.55 12.20 8.96 9.27 Gamma HHI 0.31 0.22 0.90 0.24 0.26 Net GEX -10.1M -134.4M 2.1M -4.9M 2.1M Net DEX 72.7M -83.5M 193.3M 142.9M -83.5M Net VEX -1.2M -1.3M -1.2M -1.2M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.55 0.18 6.10 3.65 0.68 Total Volume 10,805.136 4,480 33,433 11,991 8,508 Total OI 159,540.045 115,775 194,837 169,250 131,179
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 2015-07-01 $67.30 $75.00 19.0% 5.4% 11.7% 24.0% 19.4% 3.0% 2.8% -4.9M 142.9M -1.2M 3.65 8.96 N/A N/A 2,579 9,412 84,242 85,008 2015-07-02 $66.74 $75.00 19.1% 5.5% 11.8% 24.8% 19.5% 3.3% 2.7% -6.1M 164.0M -1.2M 4.26 10.59 N/A N/A 2,755 11,749 84,814 85,235 2015-07-06 $66.27 $67.50 19.7% 6.4% 11.9% 27.0% 21.9% 3.9% -1.4% -8.4M 188.4M -1.2M 2.07 5.70 N/A N/A 7,791 16,125 84,722 87,966 2015-07-07 $67.26 $70.00 18.0% 6.1% 12.4% 17.4% 20.9% 3.4% -1.1% -9.0M 173.0M -1.3M 1.85 10.30 N/A N/A 8,758 16,240 90,100 94,572 2015-07-08 $66.63 $70.00 19.5% 6.2% 12.7% 24.2% 20.4% 3.6% -0.8% -9.1M 193.3M -1.3M 0.95 11.90 N/A N/A 3,395 3,232 92,209 97,142 2015-07-09 $67.16 $67.50 19.4% 6.3% 12.5% 23.9% 20.5% 3.6% -1.1% -8.3M 168.5M -1.3M 1.36 7.46 N/A N/A 2,355 3,195 93,202 97,355 2015-07-10 $67.86 $67.50 18.0% 6.1% 13.2% 17.5% 20.6% 3.5% -1.0% -6.9M 134.5M -1.3M 1.42 8.86 N/A N/A 2,878 4,097 92,947 97,587 2015-07-13 $68.37 $67.50 19.3% 6.0% 13.5% 23.2% 19.3% 3.2% -1.0% -6.4M 115.2M -1.2M 1.33 5.55 N/A N/A 2,649 3,521 92,694 98,030 2015-07-14 $68.35 $70.00 18.2% 5.9% 13.5% 18.4% 20.0% 3.2% -1.0% -6.1M 111.4M -1.2M 0.95 6.72 N/A N/A 4,520 4,308 92,860 98,141 2015-07-15 $68.26 $70.00 20.6% 5.9% 13.4% 29.4% 19.7% 3.1% -1.3% -7.4M 117.0M -1.2M 1.10 8.99 N/A N/A 2,635 2,899 93,498 98,887 2015-07-16 $68.24 $70.00 20.4% 5.9% 13.3% 28.5% 19.5% 3.3% -1.5% -9.6M 118.7M -1.2M 4.27 12.20 N/A N/A 2,381 10,170 93,405 98,914 2015-07-17 $67.55 $70.00 20.4% 5.9% 13.3% 28.7% 20.7% 4.0% -1.3% -134.4M 148.9M -1.2M 6.10 9.20 N/A N/A 4,706 28,727 93,281 101,556 2015-07-20 $66.67 $70.00 20.6% 5.9% 13.9% 29.2% 21.1% 4.0% -1.3% -4.3M 43.3M -1.2M 0.54 7.59 N/A N/A 6,472 3,506 52,466 63,309 2015-07-21 $66.43 $70.00 21.3% 6.1% 13.6% 32.4% 20.9% 3.8% -1.8% -4.2M 46.9M -1.2M 0.57 7.44 N/A N/A 5,223 3,000 55,726 64,629 2015-07-22 $67.46 $70.00 21.2% 6.1% 14.9% 32.0% 21.3% 3.6% -2.0% -3.0M 12.2M -1.2M 0.18 6.52 N/A N/A 9,826 1,767 57,163 65,635 2015-07-23 $67.70 $67.50 21.6% 6.2% 14.9% 34.2% 21.1% 3.2% -2.1% -159.3K -21.3M -1.3M 0.28 8.28 N/A N/A 5,589 1,555 64,144 66,053 2015-07-24 $67.26 $67.50 22.2% 6.4% 15.0% 36.6% 22.5% 3.8% -2.3% -134.1K -7.2M -1.3M 0.58 8.28 N/A N/A 3,488 2,035 65,391 66,142 2015-07-27 $66.98 $67.50 23.5% 6.7% 14.0% 42.8% 24.2% 3.7% -3.0% -511.8K 2.0M -1.3M 0.69 6.30 N/A N/A 3,061 2,112 65,795 66,474 2015-07-28 $67.77 $67.50 23.3% 6.7% 13.8% 41.7% 22.7% 3.4% -3.2% 658.3K -28.1M -1.3M 0.59 9.82 N/A N/A 2,824 1,656 66,537 66,917 2015-07-29 $68.74 $67.50 23.2% 6.6% 14.4% 41.1% 23.1% 3.5% -3.1% 2.1M -75.6M -1.3M 0.27 9.05 N/A N/A 7,073 1,933 66,740 66,874 2015-07-30 $68.90 $67.50 21.4% 6.1% 14.4% 33.0% 22.5% 3.5% -2.6% 1.0M -64.2M -1.3M 0.50 7.17 N/A N/A 4,683 2,325 63,222 67,118 2015-07-31 $69.38 $67.50 21.5% 6.2% 14.1% 33.4% 22.0% 3.6% -2.3% 2.1M -83.5M -1.3M 0.68 9.27 N/A N/A 5,071 3,437 63,865 67,314
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