LOW Options History — September 2016

In September 2016, LOW traded between $70.87 and $76.95. ATM implied volatility averaged 18.4%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.4% (HV 20d: 19.9%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.97.

Notable Days

2016-09-20: Highest Volume — 26,041 contracts
2016-09-09: Largest IV spike — 12.0% change
2016-09-13: Highest IV Rank — 27.2%
2016-09-13: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.67	$70.87	$76.95	$76.43	$72.38
Max Pain	$76.07	$75.00	$80.00	$80.00	$75.00
ATM IV	18.4%	15.3%	21.2%	16.5%	17.1%
Expected Move	5.3%	3.9%	6.4%	4.5%	4.9%
HV 20d	19.9%	15.3%	25.5%	23.1%	18.0%
HV 60d	19.3%	18.9%	19.9%	18.9%	19.1%
IV Rank	15.5%	2.1%	27.2%	7.1%	10.0%
IV Percentile	25.5%	1.6%	52.8%	9.5%	12.7%
Term Structure	0.1%	-0.4%	1.2%	0.2%	0.1%
VWIV	18.5%	15.0%	21.3%	15.2%	18.2%
Skew 25d	4.0%	3.3%	4.7%	3.5%	4.0%
Skew 10d	7.3%	4.6%	10.6%	5.8%	10.6%
Call IV 25d	16.8%	13.9%	19.3%	15.0%	15.6%
Put IV 25d	20.8%	17.1%	23.7%	18.5%	19.7%
Bid-Ask Spread %	6.37	2.96	9.04	5.98	6.38
Gamma HHI	0.15	0.08	0.50	0.13	0.19
Net GEX	-8.7M	-60.4M	4.4M	-24.6M	-226.0K
Net DEX	152.3M	35.9M	322.0M	131.1M	35.9M
Net VEX	-1.4M	-1.5M	-1.2M	-1.5M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.53	1.73	1.32	1.16
Total Volume	17,956.429	12,383	26,041	14,263	21,421
Total OI	191,626.238	156,576	207,468	201,717	202,660

Daily Data (21 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
2016-09-01	$76.43	$80.00	16.5%	4.5%	23.1%	7.1%	15.2%	3.5%	0.2%	-24.6M	131.1M	-1.5M	1.32	5.98	N/A	N/A	6,151	8,112	89,806	111,911
2016-09-02	$76.95	$80.00	15.3%	3.9%	22.9%	2.1%	15.0%	3.3%	0.4%	-60.4M	89.2M	-1.5M	1.10	4.31	N/A	N/A	5,891	6,492	90,534	112,487
2016-09-06	$76.00	$77.50	16.4%	5.1%	23.1%	6.8%	17.2%	3.5%	0.3%	-16.5M	129.4M	-1.4M	0.78	2.96	N/A	N/A	7,284	5,682	88,585	105,246
2016-09-07	$75.48	$77.50	16.5%	5.0%	23.1%	7.3%	17.0%	3.6%	0.2%	-18.9M	157.5M	-1.4M	0.95	8.05	N/A	N/A	7,774	7,402	89,798	105,169
2016-09-08	$74.25	$77.50	17.6%	5.0%	23.6%	11.9%	17.6%	3.3%	0.0%	-14.4M	225.6M	-1.3M	0.95	5.30	N/A	N/A	8,167	7,763	92,769	105,832
2016-09-09	$72.01	$77.50	19.7%	5.6%	24.7%	20.8%	19.1%	4.0%	-0.1%	-11.8M	322.0M	-1.2M	1.11	5.54	N/A	N/A	8,557	9,521	95,112	106,990
2016-09-12	$72.54	$77.50	19.2%	5.6%	25.1%	18.8%	19.8%	3.9%	0.1%	-12.6M	263.4M	-1.3M	1.05	6.15	N/A	N/A	6,722	7,042	92,587	103,100
2016-09-13	$71.20	$75.00	21.2%	6.4%	25.5%	27.2%	21.3%	4.5%	1.2%	-10.6M	312.7M	-1.2M	0.84	6.55	N/A	N/A	9,281	7,788	93,596	104,523
2016-09-14	$71.06	$75.00	20.9%	6.2%	25.4%	25.8%	20.7%	4.4%	0.8%	-8.8M	315.8M	-1.2M	0.90	4.54	N/A	N/A	8,208	7,359	95,923	105,964
2016-09-15	$71.38	$75.00	19.1%	5.4%	16.9%	18.2%	19.1%	4.1%	-0.4%	-7.8M	307.5M	-1.2M	1.10	8.01	N/A	N/A	7,721	8,529	96,802	107,075
2016-09-16	$70.87	$75.00	19.7%	5.8%	16.9%	20.7%	19.0%	3.8%	1.1%	-2.1M	311.1M	-1.2M	1.18	5.47	N/A	N/A	7,043	8,287	98,649	108,819
2016-09-19	$71.32	$75.00	19.3%	5.5%	15.3%	18.9%	19.0%	4.3%	0.1%	-280.1K	94.3M	-1.2M	0.66	8.85	N/A	N/A	13,229	8,768	81,730	74,846
2016-09-20	$71.54	$75.00	19.6%	5.6%	15.5%	20.3%	20.0%	4.4%	-0.1%	2.2M	68.1M	-1.3M	1.49	9.04	N/A	N/A	10,449	15,592	89,467	78,437
2016-09-21	$72.05	$75.00	18.4%	5.3%	15.9%	15.3%	19.5%	4.2%	-0.1%	543.3K	65.2M	-1.4M	0.76	7.00	N/A	N/A	12,453	9,411	88,520	86,922
2016-09-22	$72.11	$75.00	17.6%	5.1%	16.0%	12.1%	17.7%	3.8%	-0.2%	1.8M	58.5M	-1.4M	0.64	7.26	N/A	N/A	10,983	7,012	91,362	89,554
2016-09-23	$72.39	$75.00	17.8%	5.1%	15.9%	12.8%	18.1%	4.1%	-0.4%	4.4M	43.6M	-1.4M	0.53	7.66	N/A	N/A	14,711	7,727	92,342	90,093
2016-09-26	$70.90	$75.00	19.4%	5.6%	17.1%	19.3%	19.6%	4.2%	-0.1%	-1.7M	99.4M	-1.4M	0.55	6.10	N/A	N/A	12,360	6,747	93,194	87,823
2016-09-27	$71.34	$75.00	18.5%	5.3%	17.4%	15.8%	18.4%	4.4%	0.1%	577.8K	70.6M	-1.4M	0.71	6.58	N/A	N/A	9,172	6,546	98,347	89,263
2016-09-28	$71.70	$75.00	18.6%	5.3%	17.6%	16.0%	18.5%	4.2%	-0.1%	1.6M	55.7M	-1.4M	1.73	6.11	N/A	N/A	8,946	15,491	98,526	89,873
2016-09-29	$72.22	$75.00	19.1%	5.6%	18.0%	18.1%	19.4%	4.7%	-0.2%	-2.3M	42.1M	-1.5M	0.82	5.89	N/A	N/A	10,588	8,703	100,959	98,956
2016-09-30	$72.38	$75.00	17.1%	4.9%	18.0%	10.0%	18.2%	4.0%	0.1%	-226.0K	35.9M	-1.5M	1.16	6.38	N/A	N/A	9,900	11,521	102,585	100,075