LOW Options History — July 2016

In July 2016, LOW traded between $79.36 and $82.92. ATM implied volatility averaged 18.2%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.7% (HV 20d: 17.6%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.77.

Notable Days

2016-07-13: Highest Volume — 25,775 contracts
2016-07-08: Largest IV drop — 13.6% change
2016-07-21: Highest IV Rank — 27.4%
2016-07-27: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.28	$79.36	$82.92	$79.67	$82.36
Max Pain	$79.38	$75.00	$80.00	$75.00	$80.00
ATM IV	18.2%	15.1%	21.3%	17.8%	19.7%
Expected Move	5.7%	4.8%	6.4%	4.8%	6.1%
HV 20d	17.6%	15.1%	19.2%	19.2%	15.3%
HV 60d	18.9%	18.5%	19.3%	18.5%	19.0%
IV Rank	14.6%	1.5%	27.4%	12.8%	20.6%
IV Percentile	17.8%	0.4%	41.3%	7.9%	27.8%
Term Structure	0.6%	-0.8%	3.8%	0.4%	-0.8%
VWIV	20.1%	17.0%	22.1%	17.0%	21.5%
Skew 25d	4.0%	3.5%	4.8%	4.2%	4.2%
Skew 10d	8.6%	7.1%	13.3%	8.5%	7.4%
Call IV 25d	16.7%	13.6%	19.4%	15.9%	18.2%
Put IV 25d	20.7%	17.1%	23.7%	20.0%	22.4%
Bid-Ask Spread %	11.72	5.81	17.00	10.24	5.81
Gamma HHI	0.22	0.10	0.49	0.15	0.11
Net GEX	7.3M	-14.9M	36.4M	9.5M	14.4M
Net DEX	-245.3M	-451.8M	-58.5M	-265.2M	-213.8M
Net VEX	-1.5M	-1.6M	-1.4M	-1.6M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.77	0.60	4.55	4.55	1.40
Total Volume	16,261.8	9,459	25,775	20,236	18,433
Total OI	162,474.7	122,106	197,767	173,820	151,055

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
2016-07-01	$79.67	$75.00	17.8%	4.8%	19.2%	12.8%	17.0%	4.2%	0.4%	9.5M	-265.2M	-1.6M	4.55	10.24	N/A	N/A	3,647	16,589	86,413	87,407
2016-07-05	$79.36	$77.50	18.3%	6.0%	17.9%	15.1%	21.5%	3.9%	0.1%	5.9M	-231.7M	-1.6M	3.84	13.01	N/A	N/A	3,777	14,489	87,255	89,677
2016-07-06	$80.08	$77.50	18.1%	6.1%	17.7%	14.1%	21.4%	4.5%	0.3%	9.8M	-278.4M	-1.6M	1.10	11.70	N/A	N/A	6,353	6,977	87,639	89,776
2016-07-07	$80.43	$77.50	17.5%	6.0%	17.4%	11.6%	20.9%	4.2%	0.3%	13.0M	-305.9M	-1.5M	3.98	11.56	N/A	N/A	3,297	13,116	88,812	90,489
2016-07-08	$82.38	$80.00	15.2%	5.4%	19.2%	1.6%	19.6%	3.8%	0.3%	21.4M	-425.6M	-1.5M	0.93	13.14	N/A	N/A	6,190	5,749	89,450	96,762
2016-07-11	$82.80	$80.00	15.1%	5.5%	19.0%	1.5%	19.5%	3.5%	3.8%	24.9M	-449.6M	-1.4M	0.66	10.48	N/A	N/A	8,268	5,447	89,954	97,836
2016-07-12	$82.92	$80.00	15.3%	5.4%	18.3%	2.1%	19.7%	3.6%	3.6%	26.3M	-451.8M	-1.4M	0.85	12.47	N/A	N/A	7,971	6,791	91,375	98,986
2016-07-13	$81.61	$80.00	16.2%	5.4%	17.8%	5.9%	19.9%	3.6%	2.7%	16.3M	-350.4M	-1.5M	0.78	15.73	N/A	N/A	14,486	11,289	90,698	101,106
2016-07-14	$82.19	$80.00	15.8%	5.3%	17.5%	4.5%	19.0%	3.8%	3.1%	36.4M	-401.3M	-1.4M	0.77	9.57	N/A	N/A	7,212	5,527	93,217	101,794
2016-07-15	$81.69	$80.00	15.8%	5.1%	17.2%	4.5%	18.6%	3.5%	3.1%	2.4M	-362.9M	-1.5M	0.88	12.94	N/A	N/A	6,829	5,980	94,406	103,361
2016-07-18	$81.95	$80.00	18.0%	5.4%	17.2%	13.5%	19.1%	4.0%	-0.5%	8.1M	-175.6M	-1.5M	0.60	14.04	N/A	N/A	5,924	3,535	57,781	64,325
2016-07-19	$81.32	$80.00	18.9%	5.5%	17.5%	17.5%	19.0%	4.3%	-0.6%	6.9M	-156.9M	-1.5M	2.99	14.35	N/A	N/A	5,564	16,638	60,309	65,024
2016-07-20	$81.20	$80.00	20.0%	5.7%	17.5%	21.8%	19.5%	3.9%	-0.4%	-5.7M	-124.0M	-1.6M	1.98	17.00	N/A	N/A	6,281	12,453	61,514	78,628
2016-07-21	$80.08	$80.00	21.3%	6.1%	18.4%	27.4%	21.1%	4.3%	-0.8%	-14.9M	-58.5M	-1.6M	2.06	12.63	N/A	N/A	6,000	12,348	63,429	79,963
2016-07-22	$80.63	$80.00	20.2%	5.8%	18.5%	22.7%	20.4%	4.0%	-0.6%	-10.6M	-95.7M	-1.6M	0.76	10.67	N/A	N/A	6,841	5,188	64,804	80,979
2016-07-25	$80.94	$80.00	20.3%	6.0%	17.5%	23.4%	21.1%	4.2%	-0.3%	-6.6M	-124.5M	-1.6M	0.93	10.29	N/A	N/A	7,262	6,720	65,759	69,072
2016-07-26	$81.03	$80.00	20.4%	6.1%	16.5%	23.7%	21.5%	4.8%	-0.8%	-6.5M	-128.7M	-1.6M	2.37	10.05	N/A	N/A	5,146	12,207	66,949	71,634
2016-07-27	$80.71	$80.00	20.9%	6.4%	15.1%	26.0%	22.1%	4.5%	-0.7%	-12.2M	-103.8M	-1.6M	2.54	8.24	N/A	N/A	4,436	11,268	67,187	78,057
2016-07-28	$82.33	$80.00	20.0%	6.1%	16.2%	22.0%	20.5%	3.9%	-0.7%	7.8M	-201.5M	-1.6M	1.38	10.47	N/A	N/A	8,003	11,005	67,912	78,700
2016-07-29	$82.36	$80.00	19.7%	6.1%	15.3%	20.6%	21.5%	4.2%	-0.8%	14.4M	-213.8M	-1.6M	1.40	5.81	N/A	N/A	7,675	10,758	70,990	80,065