LOW Options History — March 2016

In March 2016, LOW traded between $68.92 and $76.06. ATM implied volatility averaged 20.7%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.8% (HV 20d: 19.9%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.12.

Notable Days

2016-03-15: Highest Volume — 13,656 contracts
2016-03-16: Largest IV drop — 13.5% change
2016-03-08: Highest IV Rank — 47.0%
2016-03-08: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.91	$68.92	$76.06	$68.92	$75.75
Max Pain	$68.07	$67.50	$70.00	$67.50	$70.00
ATM IV	20.7%	17.2%	26.4%	23.3%	17.3%
Expected Move	5.8%	4.9%	6.8%	6.7%	5.0%
HV 20d	19.9%	10.9%	35.9%	35.9%	11.3%
HV 60d	28.8%	28.5%	29.3%	29.3%	28.5%
IV Rank	22.1%	7.0%	47.0%	33.6%	7.3%
IV Percentile	39.9%	3.6%	82.9%	68.7%	4.0%
Term Structure	1.8%	-0.5%	3.8%	-0.5%	3.8%
VWIV	20.9%	17.6%	25.4%	25.4%	20.4%
Skew 25d	4.9%	3.4%	6.3%	6.1%	3.4%
Skew 10d	10.8%	7.5%	14.0%	13.0%	8.3%
Call IV 25d	18.5%	14.8%	22.3%	22.3%	15.6%
Put IV 25d	23.4%	18.7%	28.4%	28.4%	19.0%
Bid-Ask Spread %	6.78	3.59	10.96	10.96	5.94
Gamma HHI	0.41	0.35	0.63	0.35	0.39
Net GEX	46.6M	30.8M	71.8M	33.9M	39.2M
Net DEX	-458.7M	-842.3M	-209.6M	-209.6M	-507.9M
Net VEX	-1.4M	-1.4M	-1.3M	-1.4M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.49	2.49	2.49	0.65
Total Volume	7,955	4,429	13,656	11,034	8,586
Total OI	174,496.955	137,329	211,225	179,832	155,680

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
2016-03-01	$68.92	$67.50	23.3%	6.7%	35.9%	33.6%	25.4%	6.1%	-0.5%	33.9M	-209.6M	-1.4M	2.49	10.96	N/A	N/A	3,164	7,870	134,442	45,390
2016-03-02	$69.05	$67.50	22.6%	6.5%	35.8%	30.7%	23.8%	6.3%	-0.5%	35.2M	-212.1M	-1.4M	1.14	10.63	N/A	N/A	2,526	2,871	134,375	42,177
2016-03-03	$69.93	$67.50	22.9%	6.4%	28.1%	31.9%	22.5%	5.7%	1.1%	42.5M	-283.6M	-1.4M	1.36	7.12	N/A	N/A	1,877	2,552	135,099	42,290
2016-03-04	$70.37	$67.50	23.5%	6.4%	28.1%	34.4%	21.8%	5.7%	1.0%	44.8M	-325.8M	-1.4M	0.49	10.35	N/A	N/A	6,805	3,337	135,118	42,584
2016-03-07	$70.59	$67.50	24.7%	6.5%	24.7%	39.9%	23.3%	5.6%	0.9%	48.7M	-346.0M	-1.4M	0.86	10.12	N/A	N/A	3,001	2,568	137,263	43,249
2016-03-08	$70.99	$67.50	26.4%	6.8%	20.7%	47.0%	23.9%	5.7%	0.4%	49.0M	-387.5M	-1.4M	1.52	7.71	N/A	N/A	3,234	4,907	138,176	44,128
2016-03-09	$70.66	$67.50	23.2%	6.7%	21.0%	33.1%	22.4%	5.9%	0.5%	50.2M	-340.5M	-1.4M	0.79	7.19	N/A	N/A	4,460	3,527	137,810	42,648
2016-03-10	$70.55	$67.50	22.9%	6.6%	21.1%	31.7%	22.5%	5.4%	0.8%	52.8M	-347.0M	-1.3M	1.12	7.53	N/A	N/A	2,917	3,263	140,721	43,539
2016-03-11	$72.11	$67.50	19.8%	5.7%	21.3%	18.4%	20.3%	5.2%	2.2%	61.7M	-471.8M	-1.3M	0.56	5.51	N/A	N/A	5,597	3,154	140,082	43,732
2016-03-14	$72.76	$67.50	20.7%	5.9%	20.7%	22.3%	21.2%	5.5%	1.5%	61.1M	-548.6M	-1.3M	1.47	4.43	N/A	N/A	1,825	2,688	139,882	44,243
2016-03-15	$73.07	$67.50	21.6%	6.2%	17.1%	26.2%	20.8%	5.1%	0.8%	68.2M	-630.7M	-1.4M	0.60	3.59	N/A	N/A	8,537	5,119	160,977	45,235
2016-03-16	$73.77	$67.50	18.7%	5.4%	17.1%	13.4%	19.4%	4.7%	2.1%	60.2M	-747.5M	-1.4M	0.68	7.20	N/A	N/A	6,385	4,343	162,654	46,055
2016-03-17	$73.69	$67.50	20.2%	5.8%	17.0%	20.1%	19.2%	4.4%	1.7%	60.5M	-717.7M	-1.4M	1.60	5.57	N/A	N/A	2,776	4,441	162,507	46,956
2016-03-18	$74.92	$67.50	18.3%	5.3%	17.4%	11.9%	19.4%	4.0%	2.4%	71.8M	-842.3M	-1.3M	0.65	8.37	N/A	N/A	6,036	3,905	163,899	47,326
2016-03-21	$75.24	$67.50	18.7%	5.3%	17.1%	13.3%	19.8%	4.2%	2.8%	30.8M	-427.9M	-1.3M	0.87	5.20	N/A	N/A	5,472	4,766	103,347	33,982
2016-03-22	$75.28	$67.50	18.7%	5.4%	14.8%	13.3%	18.8%	3.9%	2.9%	33.7M	-447.9M	-1.4M	1.45	5.39	N/A	N/A	3,223	4,668	109,630	35,785
2016-03-23	$74.91	$67.50	18.8%	5.4%	15.1%	13.7%	19.3%	4.2%	3.0%	34.3M	-426.1M	-1.4M	1.33	5.51	N/A	N/A	2,565	3,399	110,771	37,756
2016-03-24	$74.72	$70.00	18.4%	5.3%	15.3%	12.2%	18.8%	4.2%	3.5%	35.7M	-417.0M	-1.4M	1.54	4.91	N/A	N/A	2,514	3,881	112,095	38,644
2016-03-28	$75.00	$70.00	18.8%	5.4%	15.3%	13.9%	19.2%	3.8%	3.1%	37.6M	-434.8M	-1.4M	1.51	5.22	N/A	N/A	2,860	4,319	112,429	38,941
2016-03-29	$75.60	$70.00	18.3%	5.2%	11.8%	11.7%	18.9%	3.9%	3.2%	37.7M	-489.8M	-1.3M	1.00	5.60	N/A	N/A	3,236	3,226	113,500	39,845
2016-03-30	$76.06	$70.00	17.2%	4.9%	10.9%	7.0%	17.6%	3.8%	3.7%	35.6M	-529.6M	-1.3M	0.89	5.19	N/A	N/A	4,560	4,050	113,469	40,502
2016-03-31	$75.75	$70.00	17.3%	5.0%	11.3%	7.3%	20.4%	3.4%	3.8%	39.2M	-507.9M	-1.3M	0.65	5.94	N/A	N/A	5,213	3,373	114,874	40,806