LOW Options History — February 2016

In February 2016, LOW traded between $63.56 and $72.75. ATM implied volatility averaged 30.6%, placing in the 69.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 6.4% (HV 20d: 36.9%). Max pain ranged from $67.50 to $72.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2016-02-23: Highest Volume — 69,175 contracts
2016-02-03: Largest IV spike — 35.4% change
2016-02-05: Highest IV Rank — 100.0%
2016-02-11: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.45	$63.56	$72.75	$72.75	$67.69
Max Pain	$68.25	$67.50	$72.50	$72.50	$67.50
ATM IV	30.6%	21.6%	38.5%	21.6%	26.4%
Expected Move	8.7%	6.2%	10.7%	6.2%	7.6%
HV 20d	36.9%	32.1%	39.9%	32.2%	37.7%
HV 60d	28.5%	25.3%	29.4%	25.3%	29.0%
IV Rank	69.4%	34.1%	100.0%	34.1%	47.2%
IV Percentile	91.1%	54.4%	100.0%	54.4%	83.3%
Term Structure	-2.1%	-4.6%	2.8%	2.8%	-1.6%
VWIV	29.8%	22.3%	36.0%	22.3%	25.3%
Skew 25d	6.7%	4.5%	8.5%	4.5%	5.4%
Skew 10d	14.3%	10.9%	19.6%	10.9%	11.0%
Call IV 25d	27.5%	20.0%	32.8%	20.0%	24.3%
Put IV 25d	34.2%	24.5%	41.3%	24.5%	29.6%
Bid-Ask Spread %	10.68	6.90	19.51	8.40	8.05
Gamma HHI	0.23	0.13	0.33	0.21	0.32
Net GEX	10.5M	2.9M	29.0M	8.6M	26.8M
Net DEX	-58.7M	-207.6M	51.8M	-73.1M	-147.3M
Net VEX	-1.1M	-1.4M	-834.7K	-963.3K	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.11	2.65	0.94	0.69
Total Volume	18,344.25	4,444	69,175	5,301	4,444
Total OI	124,835.55	95,912	179,344	95,912	179,344

Daily Data (20 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
2016-02-01	$72.75	$72.50	21.6%	6.2%	32.2%	34.1%	22.3%	4.5%	2.8%	8.6M	-73.1M	-963.3K	0.94	8.40	N/A	N/A	2,732	2,569	66,875	29,037
2016-02-02	$71.89	$72.50	23.1%	6.6%	32.1%	42.5%	23.4%	5.5%	2.4%	7.3M	-54.5M	-947.2K	0.95	7.88	N/A	N/A	2,614	2,492	67,532	29,408
2016-02-03	$67.55	$72.50	31.3%	9.0%	38.4%	88.9%	31.9%	6.5%	0.1%	2.9M	20.8M	-834.7K	0.24	8.93	N/A	N/A	49,747	11,867	68,264	30,077
2016-02-04	$67.94	$67.50	31.0%	8.8%	38.1%	87.3%	30.2%	6.8%	-2.2%	8.2M	-52.5M	-1.1M	0.24	6.90	N/A	N/A	31,301	7,444	92,482	36,897
2016-02-05	$65.63	$67.50	33.5%	9.5%	39.2%	100.0%	33.3%	7.0%	-2.8%	5.8M	2.4M	-1.0M	2.65	11.76	N/A	N/A	2,129	5,643	94,919	38,465
2016-02-08	$63.56	$67.50	38.5%	10.4%	39.9%	100.0%	35.1%	7.5%	-3.3%	3.0M	51.8M	-932.8K	1.19	13.72	N/A	N/A	4,255	5,050	72,585	40,702
2016-02-09	$64.05	$67.50	35.6%	10.1%	38.1%	87.2%	36.0%	8.1%	-3.1%	3.7M	37.3M	-955.8K	0.76	13.15	N/A	N/A	4,770	3,632	73,577	40,324
2016-02-10	$64.08	$67.50	34.0%	9.7%	37.9%	80.1%	33.3%	7.9%	-2.8%	4.1M	36.5M	-942.6K	0.54	11.94	N/A	N/A	5,779	3,124	75,485	40,957
2016-02-11	$63.56	$67.50	37.5%	10.7%	34.1%	95.4%	33.6%	8.5%	-3.9%	3.7M	42.5M	-945.7K	0.31	12.22	N/A	N/A	8,498	2,649	76,860	41,513
2016-02-12	$64.85	$67.50	33.9%	9.7%	35.2%	80.0%	32.2%	8.2%	-3.3%	5.4M	9.8M	-1.0M	0.96	8.48	N/A	N/A	2,870	2,752	79,559	41,817
2016-02-16	$67.30	$67.50	31.6%	9.1%	37.9%	69.7%	31.5%	7.3%	-2.5%	8.5M	-55.2M	-1.1M	0.98	8.65	N/A	N/A	4,669	4,588	79,659	42,103
2016-02-17	$67.94	$67.50	30.3%	8.7%	38.0%	64.0%	29.9%	7.1%	-2.8%	9.5M	-72.9M	-1.1M	0.54	10.20	N/A	N/A	5,839	3,133	79,979	43,232
2016-02-18	$67.72	$67.50	30.9%	8.8%	37.4%	66.5%	29.9%	7.1%	-3.1%	8.1M	-62.5M	-1.0M	0.69	11.21	N/A	N/A	4,482	3,093	79,027	43,710
2016-02-19	$68.48	$67.50	32.1%	9.2%	36.9%	71.9%	31.2%	6.3%	-4.1%	8.9M	-93.2M	-1.1M	0.62	15.61	N/A	N/A	14,522	8,964	79,705	44,078
2016-02-22	$69.42	$67.50	31.4%	9.0%	36.7%	69.2%	32.2%	6.2%	-4.4%	11.7M	-152.4M	-1.1M	0.98	7.47	N/A	N/A	7,406	7,272	74,984	37,071
2016-02-23	$68.09	$67.50	32.9%	9.4%	37.2%	75.5%	30.8%	6.9%	-4.6%	10.7M	-103.4M	-1.1M	0.17	19.51	N/A	N/A	59,254	9,921	77,956	42,135
2016-02-24	$68.61	$67.50	26.6%	7.6%	37.3%	47.9%	25.6%	5.4%	-1.3%	22.1M	-151.6M	-1.2M	0.57	10.85	N/A	N/A	14,825	8,393	103,139	41,135
2016-02-25	$68.68	$67.50	25.7%	7.4%	37.3%	44.2%	24.7%	5.6%	-1.2%	22.7M	-149.8M	-1.2M	0.14	9.61	N/A	N/A	19,453	2,768	103,777	44,630
2016-02-26	$69.19	$67.50	23.9%	6.9%	37.4%	36.4%	24.3%	6.1%	-0.6%	29.0M	-207.6M	-1.4M	0.11	8.97	N/A	N/A	19,722	2,220	118,878	44,834
2016-02-29	$67.69	$67.50	26.4%	7.6%	37.7%	47.2%	25.3%	5.4%	-1.6%	26.8M	-147.3M	-1.3M	0.69	8.05	N/A	N/A	2,632	1,812	134,244	45,100