LOW Options History — August 2016 In August 2016, LOW traded between $76.43 and $82.28. ATM implied volatility averaged 18.4%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.2% (HV 20d: 18.6%). Max pain ranged from $80.00 to $82.50. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.94.
Notable Days 2016-08-16 : Highest Volume — 59,373 contracts2016-08-17 : Largest IV drop — 16.9% change2016-08-15 : Highest IV Rank — 30.0%2016-08-02 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $79.41 $76.43 $82.28 $82.28 $76.54 Max Pain $80.33 $80.00 $82.50 $80.00 $80.00 ATM IV 18.4% 15.5% 21.9% 20.2% 16.4% Expected Move 5.2% 4.3% 6.9% 6.5% 4.5% HV 20d 18.6% 12.2% 24.7% 15.2% 23.5% HV 60d 18.4% 15.1% 19.6% 18.8% 19.0% IV Rank 15.5% 3.0% 30.0% 22.9% 6.8% IV Percentile 23.0% 1.6% 50.4% 32.5% 9.1% Term Structure -0.3% -1.4% 1.2% -0.6% 0.1% VWIV 18.7% 14.2% 24.7% 23.8% 14.2% Skew 25d 3.8% 2.9% 4.6% 4.3% 3.3% Skew 10d 7.3% 4.8% 10.2% 10.2% 5.2% Call IV 25d 17.0% 14.1% 20.6% 18.4% 14.9% Put IV 25d 20.7% 17.3% 24.4% 22.6% 18.3% Bid-Ask Spread % 6.72 4.26 12.10 6.82 6.81 Gamma HHI 0.11 0.09 0.36 0.10 0.13 Net GEX -4.4M -49.0M 14.3M 13.9M -21.7M Net DEX -22.2M -209.8M 290.4M -209.8M 121.0M Net VEX -1.7M -1.9M -1.5M -1.7M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.94 0.75 7.10 1.73 0.75 Total Volume 22,509.174 11,174 59,373 12,399 16,755 Total OI 186,871.565 142,337 244,172 142,337 201,349
Daily Data (23 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 2016-08-01 $82.28 $80.00 20.2% 6.5% 15.2% 22.9% 23.8% 4.3% -0.6% 13.9M -209.8M -1.7M 1.73 6.82 N/A N/A 4,536 7,863 74,951 67,386 2016-08-02 $81.97 $80.00 21.1% 6.9% 15.2% 26.6% 23.9% 4.6% -0.8% 13.4M -196.5M -1.7M 1.01 6.30 N/A N/A 6,639 6,697 76,230 68,401 2016-08-03 $81.99 $80.00 20.5% 6.8% 15.0% 24.3% 24.7% 4.3% -0.8% 14.3M -200.7M -1.7M 1.48 6.20 N/A N/A 5,422 8,041 78,940 69,895 2016-08-04 $80.85 $80.00 21.7% 6.0% 15.8% 29.2% 21.2% 4.6% -1.0% 10.1M -147.1M -1.8M 3.16 8.00 N/A N/A 4,031 12,746 81,883 71,520 2016-08-05 $81.72 $80.00 20.4% 5.4% 13.8% 23.7% 20.5% 4.6% -1.0% 12.4M -193.2M -1.8M 2.53 5.56 N/A N/A 4,653 11,777 83,018 74,973 2016-08-08 $81.58 $80.00 20.3% 5.4% 13.6% 23.2% 19.4% 4.2% -1.3% 12.0M -183.2M -1.7M 4.03 6.64 N/A N/A 2,923 11,787 81,365 74,040 2016-08-09 $81.35 $80.00 20.3% 5.4% 13.6% 23.4% 20.2% 3.8% -1.4% 10.5M -165.6M -1.7M 2.72 4.26 N/A N/A 4,241 11,554 81,907 75,770 2016-08-10 $80.94 $80.00 20.8% 5.9% 12.5% 25.4% 21.8% 4.0% -0.2% 10.6M -145.3M -1.7M 7.10 7.28 N/A N/A 5,060 35,909 83,761 76,848 2016-08-11 $81.69 $80.00 20.4% 5.5% 12.7% 23.7% 19.9% 3.9% -1.4% 7.2M -146.0M -1.9M 3.90 6.77 N/A N/A 5,049 19,679 84,466 101,142 2016-08-12 $81.75 $80.00 21.3% 5.8% 12.5% 27.7% 20.4% 4.4% -1.4% 8.7M -141.6M -1.9M 1.18 7.25 N/A N/A 13,255 15,621 85,516 108,905 2016-08-15 $81.50 $82.50 21.9% 6.2% 12.5% 30.0% 21.0% 3.6% -0.2% 3.5M -134.8M -1.9M 1.33 7.24 N/A N/A 13,990 18,548 86,304 106,928 2016-08-16 $81.50 $82.50 20.2% 5.7% 12.2% 22.7% 21.1% 3.6% 0.2% 6.2M -145.5M -1.9M 1.97 12.10 N/A N/A 19,979 39,394 94,018 111,394 2016-08-17 $76.88 $82.50 16.8% 4.8% 24.1% 8.3% 18.6% 3.4% 1.0% -28.2M 290.4M -1.6M 1.13 8.67 N/A N/A 25,632 28,898 103,897 125,969 2016-08-18 $76.43 $80.00 15.5% 4.4% 23.8% 3.3% 16.4% 3.3% 1.2% -18.7M 283.8M -1.6M 1.12 7.35 N/A N/A 5,260 5,914 112,650 128,583 2016-08-19 $77.85 $80.00 15.6% 4.4% 24.7% 3.3% 15.6% 2.9% 0.3% -49.0M 141.9M -1.7M 1.30 7.02 N/A N/A 13,055 16,937 115,116 129,056 2016-08-22 $77.41 $80.00 15.7% 4.4% 24.6% 4.0% 15.6% 3.3% 0.1% -12.5M 78.4M -1.7M 1.10 5.05 N/A N/A 8,975 9,917 86,721 100,565 2016-08-23 $77.33 $80.00 15.5% 4.3% 24.6% 3.0% 15.2% 2.9% 0.2% -12.7M 80.9M -1.7M 1.23 6.13 N/A N/A 7,578 9,305 88,692 101,980 2016-08-24 $76.96 $80.00 16.3% 4.5% 24.6% 6.5% 16.0% 3.5% 0.2% -15.4M 105.1M -1.7M 1.57 6.67 N/A N/A 5,514 8,655 89,544 103,238 2016-08-25 $77.37 $80.00 15.8% 4.4% 23.4% 4.5% 15.2% 3.2% 0.2% -13.7M 73.9M -1.7M 1.17 4.62 N/A N/A 10,360 12,162 91,320 110,405 2016-08-26 $76.93 $80.00 16.0% 4.4% 23.4% 5.2% 15.4% 3.6% 0.2% -13.4M 105.7M -1.7M 1.13 6.54 N/A N/A 8,182 9,206 94,626 114,790 2016-08-29 $77.06 $80.00 15.6% 4.3% 23.4% 3.5% 15.2% 3.6% 0.2% -17.8M 93.0M -1.6M 0.98 5.17 N/A N/A 6,486 6,343 88,156 110,744 2016-08-30 $76.54 $80.00 16.0% 4.4% 23.5% 5.0% 15.3% 3.4% 0.3% -20.9M 123.4M -1.5M 0.90 6.20 N/A N/A 6,926 6,257 90,085 110,999 2016-08-31 $76.54 $80.00 16.4% 4.5% 23.5% 6.8% 14.2% 3.3% 0.1% -21.7M 121.0M -1.6M 0.75 6.81 N/A N/A 9,579 7,176 90,173 111,176
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