LOW Options History — June 2016

In June 2016, LOW traded between $76.00 and $80.65. ATM implied volatility averaged 19.4%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.1% (HV 20d: 19.2%). Max pain ranged from $75.00 to $77.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.93.

Notable Days

2016-06-24: Highest Volume — 21,861 contracts
2016-06-06: Largest IV spike — 16.3% change
2016-06-27: Highest IV Rank — 37.4%
2016-06-27: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.37	$76.00	$80.65	$80.21	$79.13
Max Pain	$75.11	$75.00	$77.50	$77.50	$75.00
ATM IV	19.4%	15.5%	23.6%	16.3%	18.1%
Expected Move	5.5%	4.7%	6.7%	4.7%	5.1%
HV 20d	19.2%	14.6%	23.6%	22.3%	19.1%
HV 60d	17.3%	16.6%	18.6%	16.6%	18.6%
IV Rank	19.3%	3.1%	37.4%	6.6%	14.0%
IV Percentile	27.0%	0.4%	66.7%	3.6%	10.7%
Term Structure	1.1%	-0.5%	3.1%	1.0%	0.4%
VWIV	19.9%	17.0%	24.7%	17.6%	18.2%
Skew 25d	5.1%	2.9%	6.3%	2.9%	4.6%
Skew 10d	10.5%	6.2%	14.5%	6.2%	10.7%
Call IV 25d	17.4%	15.2%	21.5%	15.2%	16.2%
Put IV 25d	22.6%	18.1%	27.8%	18.1%	20.8%
Bid-Ask Spread %	10.24	6.28	16.29	8.08	12.75
Gamma HHI	0.21	0.10	0.30	0.30	0.13
Net GEX	12.9M	1.7M	24.0M	24.0M	7.4M
Net DEX	-196.7M	-359.1M	-49.4M	-329.4M	-227.5M
Net VEX	-1.7M	-1.7M	-1.6M	-1.7M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	0.59	5.60	0.97	3.82
Total Volume	10,356.5	5,043	21,861	5,043	12,356
Total OI	163,203.682	142,244	178,548	156,694	172,202

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
2016-06-01	$80.21	$77.50	16.3%	4.7%	22.3%	6.6%	17.6%	2.9%	1.0%	24.0M	-329.4M	-1.7M	0.97	8.08	N/A	N/A	2,563	2,480	91,177	65,517
2016-06-02	$80.65	$75.00	15.9%	5.0%	22.3%	4.9%	19.6%	3.9%	2.8%	23.3M	-359.1M	-1.7M	4.75	7.72	N/A	N/A	2,039	9,685	92,023	66,312
2016-06-03	$80.05	$75.00	15.5%	4.9%	22.0%	3.1%	17.6%	4.1%	3.1%	21.6M	-311.6M	-1.7M	2.42	8.45	N/A	N/A	1,818	4,391	92,252	74,390
2016-06-06	$78.55	$75.00	18.0%	5.2%	23.3%	13.7%	18.0%	4.3%	2.5%	16.9M	-212.0M	-1.7M	1.49	9.56	N/A	N/A	4,105	6,102	92,335	75,913
2016-06-07	$79.52	$75.00	15.8%	4.9%	23.6%	4.3%	18.1%	4.3%	2.6%	19.8M	-269.2M	-1.7M	1.81	8.04	N/A	N/A	2,920	5,282	91,885	76,086
2016-06-08	$78.86	$75.00	16.7%	4.8%	23.4%	8.1%	18.2%	4.2%	2.8%	18.0M	-224.7M	-1.7M	1.29	8.29	N/A	N/A	3,581	4,627	92,351	77,753
2016-06-09	$78.67	$75.00	18.3%	5.2%	21.3%	14.7%	17.0%	4.1%	2.5%	17.5M	-214.6M	-1.7M	1.23	8.35	N/A	N/A	2,406	2,965	91,901	78,409
2016-06-10	$78.36	$75.00	19.1%	5.5%	21.4%	18.5%	19.1%	4.6%	2.3%	16.9M	-192.9M	-1.6M	3.65	8.36	N/A	N/A	1,356	4,953	92,428	78,620
2016-06-13	$77.44	$75.00	20.5%	5.9%	22.0%	24.0%	20.4%	5.9%	1.8%	9.0M	-119.1M	-1.7M	0.75	6.28	N/A	N/A	8,453	6,317	92,371	79,165
2016-06-14	$76.00	$75.00	23.3%	6.7%	21.6%	36.0%	22.9%	6.1%	0.5%	5.8M	-49.4M	-1.6M	0.59	10.52	N/A	N/A	13,089	7,712	97,040	77,915
2016-06-15	$77.01	$75.00	20.7%	5.9%	21.1%	25.2%	21.4%	6.1%	1.8%	16.0M	-121.1M	-1.7M	0.60	11.74	N/A	N/A	6,622	3,987	97,034	79,295
2016-06-16	$78.22	$75.00	21.5%	6.2%	17.0%	28.5%	22.0%	5.8%	0.2%	23.8M	-211.4M	-1.7M	1.44	9.87	N/A	N/A	3,433	4,928	98,551	79,560
2016-06-17	$78.36	$75.00	21.1%	6.0%	15.7%	26.5%	20.9%	5.9%	0.5%	7.8M	-233.6M	-1.7M	0.60	8.69	N/A	N/A	7,556	4,551	98,617	79,931
2016-06-20	$78.53	$75.00	19.0%	5.4%	15.7%	17.7%	18.4%	5.5%	0.0%	9.7M	-189.1M	-1.6M	1.15	11.54	N/A	N/A	3,263	3,768	78,754	63,490
2016-06-21	$78.35	$75.00	19.5%	5.4%	15.2%	20.1%	19.5%	6.0%	-0.0%	9.3M	-177.3M	-1.6M	1.72	10.87	N/A	N/A	2,672	4,590	79,637	64,286
2016-06-22	$78.38	$75.00	20.8%	5.8%	14.7%	25.3%	21.2%	5.8%	-0.5%	9.4M	-176.6M	-1.6M	1.87	10.64	N/A	N/A	2,548	4,761	80,123	65,467
2016-06-23	$78.49	$75.00	19.5%	5.4%	14.6%	19.9%	19.6%	5.9%	-0.2%	9.7M	-179.2M	-1.6M	1.79	14.77	N/A	N/A	2,576	4,620	80,456	66,517
2016-06-24	$77.36	$75.00	22.3%	6.3%	15.3%	31.7%	24.7%	6.2%	-0.5%	6.1M	-124.5M	-1.6M	1.62	16.29	N/A	N/A	8,332	13,529	81,105	67,030
2016-06-27	$76.32	$75.00	23.6%	6.7%	15.8%	37.4%	23.9%	6.3%	0.1%	1.7M	-74.1M	-1.7M	1.60	11.97	N/A	N/A	3,667	5,873	83,968	74,826
2016-06-28	$78.02	$75.00	20.8%	5.7%	18.0%	25.4%	20.5%	5.5%	-0.5%	5.6M	-171.8M	-1.6M	1.69	13.90	N/A	N/A	3,929	6,638	84,741	76,240
2016-06-29	$77.75	$75.00	19.4%	5.4%	18.0%	19.7%	19.1%	4.6%	0.1%	5.4M	-158.6M	-1.6M	5.60	8.54	N/A	N/A	2,547	14,253	85,549	77,259
2016-06-30	$79.13	$75.00	18.1%	5.1%	19.1%	14.0%	18.2%	4.6%	0.4%	7.4M	-227.5M	-1.6M	3.82	12.75	N/A	N/A	2,563	9,793	86,070	86,132