LOW Options History — December 2016

In December 2016, LOW traded between $70.81 and $76.36. ATM implied volatility averaged 20.1%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 6.1% (HV 20d: 26.2%). Max pain ranged from $70.00 to $72.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.31.

Notable Days

2016-12-07: Highest Volume — 50,436 contracts
2016-12-22: Largest IV spike — 7.7% change
2016-12-28: Highest IV Rank — 28.5%
2016-12-01: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.17	$70.81	$76.36	$70.81	$71.02
Max Pain	$71.90	$70.00	$72.50	$70.00	$72.50
ATM IV	20.1%	18.7%	21.5%	21.2%	21.4%
Expected Move	5.8%	5.4%	6.7%	6.7%	6.1%
HV 20d	26.2%	22.9%	29.9%	22.9%	24.8%
HV 60d	22.3%	19.9%	22.9%	20.7%	22.9%
IV Rank	22.5%	16.7%	28.5%	26.9%	28.0%
IV Percentile	45.8%	27.4%	62.3%	59.1%	61.9%
Term Structure	0.1%	-0.4%	1.0%	-0.3%	-0.1%
VWIV	21.1%	19.1%	23.8%	23.2%	20.9%
Skew 25d	2.9%	1.9%	4.1%	3.5%	4.1%
Skew 10d	6.0%	2.8%	9.2%	7.2%	6.1%
Call IV 25d	19.2%	18.0%	20.2%	20.2%	19.9%
Put IV 25d	22.1%	20.6%	24.1%	23.7%	24.0%
Bid-Ask Spread %	13.64	5.91	33.64	14.81	13.72
Gamma HHI	0.12	0.08	0.17	0.17	0.09
Net GEX	11.8M	-4.3M	25.9M	2.5M	-4.3M
Net DEX	-167.6M	-536.2M	91.8M	-69.2M	91.8M
Net VEX	-1.7M	-1.8M	-1.6M	-1.6M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.42	2.66	1.84	0.80
Total Volume	23,496.81	14,308	50,436	14,308	18,556
Total OI	230,227.048	197,984	265,018	226,043	223,893

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
2016-12-01	$70.81	$70.00	21.2%	6.7%	22.9%	26.9%	23.2%	3.5%	-0.3%	2.5M	-69.2M	-1.6M	1.84	14.81	N/A	N/A	5,041	9,267	120,524	105,519
2016-12-02	$72.42	$70.00	20.8%	6.6%	23.8%	25.3%	22.6%	3.2%	-0.2%	21.4M	-217.3M	-1.7M	0.42	13.60	N/A	N/A	31,991	13,526	121,691	105,996
2016-12-05	$72.61	$70.00	20.5%	5.9%	23.6%	24.1%	21.0%	2.9%	-0.2%	25.9M	-221.9M	-1.7M	0.62	8.12	N/A	N/A	13,210	8,157	130,671	103,553
2016-12-06	$72.37	$70.00	20.1%	5.8%	23.5%	22.5%	23.3%	2.8%	-0.0%	25.5M	-216.0M	-1.7M	1.39	8.49	N/A	N/A	8,455	11,739	130,308	105,904
2016-12-07	$76.36	$70.00	18.7%	5.4%	29.2%	16.7%	20.4%	2.2%	0.2%	20.5M	-536.2M	-1.6M	0.79	10.30	N/A	N/A	28,173	22,263	130,952	110,759
2016-12-08	$75.27	$72.50	19.2%	5.7%	29.9%	18.6%	20.4%	2.1%	0.3%	23.7M	-446.4M	-1.8M	1.48	6.91	N/A	N/A	11,590	17,160	135,150	123,229
2016-12-09	$74.60	$72.50	19.2%	5.6%	29.2%	18.8%	20.1%	2.3%	0.2%	19.8M	-386.0M	-1.8M	0.99	8.12	N/A	N/A	10,952	10,886	137,170	127,848
2016-12-12	$74.45	$72.50	20.0%	5.7%	29.3%	21.8%	20.2%	2.6%	-0.1%	17.0M	-306.0M	-1.7M	0.64	6.99	N/A	N/A	15,436	9,894	126,926	116,759
2016-12-13	$74.61	$72.50	19.8%	5.7%	29.3%	21.3%	20.5%	1.9%	-0.3%	19.1M	-349.6M	-1.7M	0.97	5.91	N/A	N/A	13,940	13,546	130,494	118,857
2016-12-14	$73.76	$72.50	20.0%	5.6%	29.1%	22.0%	19.1%	2.1%	-0.4%	17.7M	-248.2M	-1.7M	1.02	9.97	N/A	N/A	9,631	9,820	129,870	120,339
2016-12-15	$73.54	$72.50	20.1%	5.8%	26.9%	22.3%	23.8%	2.8%	0.8%	16.3M	-210.8M	-1.7M	2.13	7.49	N/A	N/A	7,722	16,480	129,895	120,956
2016-12-16	$73.06	$72.50	19.6%	5.7%	27.0%	20.3%	21.6%	2.6%	1.0%	9.7M	-187.9M	-1.7M	1.33	9.59	N/A	N/A	7,382	9,815	131,980	119,141
2016-12-19	$72.94	$72.50	18.9%	5.4%	26.2%	17.5%	19.3%	2.8%	0.1%	6.6M	-54.8M	-1.6M	1.16	10.25	N/A	N/A	7,859	9,126	101,549	96,435
2016-12-20	$74.24	$72.50	18.8%	5.4%	26.6%	17.1%	19.6%	2.6%	0.2%	11.5M	-139.8M	-1.6M	0.90	23.34	N/A	N/A	12,525	11,266	102,789	97,179
2016-12-21	$74.13	$72.50	19.0%	5.4%	24.2%	17.8%	19.9%	2.8%	0.3%	12.1M	-130.7M	-1.7M	2.22	33.41	N/A	N/A	5,825	12,930	105,406	99,660
2016-12-22	$73.08	$72.50	20.4%	5.9%	24.8%	24.0%	21.2%	3.2%	0.2%	7.9M	-54.0M	-1.7M	1.88	33.64	N/A	N/A	7,446	14,033	106,166	103,126
2016-12-23	$72.29	$72.50	20.8%	5.9%	25.1%	25.2%	20.9%	3.3%	-0.0%	886.8K	9.6M	-1.7M	2.66	15.45	N/A	N/A	5,445	14,464	105,605	107,137
2016-12-27	$72.21	$72.50	21.1%	6.0%	24.7%	26.8%	22.3%	3.4%	-0.1%	787.5K	22.3M	-1.6M	1.96	18.33	N/A	N/A	7,660	14,982	102,767	106,994
2016-12-28	$71.57	$72.50	21.5%	6.2%	24.7%	28.5%	21.8%	3.9%	-0.1%	-2.7M	58.5M	-1.6M	1.22	14.98	N/A	N/A	8,561	10,439	106,197	112,815
2016-12-29	$71.30	$72.50	21.4%	6.1%	24.7%	27.8%	21.7%	4.1%	-0.0%	-4.3M	72.7M	-1.6M	1.00	13.13	N/A	N/A	8,140	8,100	108,178	114,381
2016-12-30	$71.02	$72.50	21.4%	6.1%	24.8%	28.0%	20.9%	4.1%	-0.1%	-4.3M	91.8M	-1.6M	0.80	13.72	N/A	N/A	10,310	8,246	109,378	114,515