LOW Options History — February 2017

In February 2017, LOW traded between $72.03 and $77.30. ATM implied volatility averaged 22.8%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 7.4% (HV 20d: 15.4%). Max pain ranged from $72.50 to $72.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.72.

Notable Days

2017-02-28: Highest Volume — 54,459 contracts
2017-02-28: Largest IV spike — 8.6% change
2017-02-28: Highest IV Rank — 58.2%
2017-02-28: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.72	$72.03	$77.30	$72.60	$74.55
Max Pain	$72.50	$72.50	$72.50	$72.50	$72.50
ATM IV	22.8%	20.3%	25.8%	23.0%	25.8%
Expected Move	6.6%	5.0%	8.6%	5.0%	8.6%
HV 20d	15.4%	12.0%	18.9%	12.4%	18.9%
HV 60d	19.6%	18.2%	20.8%	20.5%	18.9%
IV Rank	39.1%	24.6%	58.2%	34.6%	58.2%
IV Percentile	76.0%	56.0%	91.3%	75.0%	91.3%
Term Structure	-0.7%	-1.6%	0.2%	-0.8%	-0.9%
VWIV	23.2%	18.0%	29.7%	18.0%	29.7%
Skew 25d	2.4%	1.8%	3.0%	2.7%	2.0%
Skew 10d	5.0%	1.8%	7.4%	5.4%	4.3%
Call IV 25d	22.0%	19.9%	24.8%	21.9%	24.8%
Put IV 25d	24.4%	21.9%	26.8%	24.6%	26.8%
Bid-Ask Spread %	17.22	3.24	47.60	13.72	42.90
Gamma HHI	0.16	0.12	0.22	0.16	0.14
Net GEX	17.1M	10.4M	29.2M	14.6M	15.0M
Net DEX	-253.6M	-440.2M	-75.3M	-124.9M	-173.5M
Net VEX	-1.7M	-2.0M	-1.5M	-1.7M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.21	1.53	0.56	0.40
Total Volume	19,412.842	7,771	54,459	8,834	54,459
Total OI	169,955.737	146,751	199,777	149,865	195,966

Daily Data (19 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
2017-02-01	$72.60	$72.50	23.0%	5.0%	12.4%	34.6%	18.0%	2.7%	-0.8%	14.6M	-124.9M	-1.7M	0.56	13.72	N/A	N/A	5,650	3,184	83,300	66,565
2017-02-02	$72.03	$72.50	23.4%	6.4%	12.0%	36.2%	23.3%	3.0%	-0.9%	10.9M	-75.3M	-1.6M	0.49	7.73	N/A	N/A	7,890	3,885	83,714	68,477
2017-02-03	$73.38	$72.50	21.7%	6.2%	13.1%	29.2%	21.0%	2.0%	-0.8%	14.6M	-176.4M	-1.6M	0.61	6.90	N/A	N/A	6,402	3,916	82,287	69,217
2017-02-06	$72.54	$72.50	22.2%	6.3%	13.9%	31.5%	22.0%	2.4%	-0.1%	12.2M	-107.0M	-1.6M	0.40	15.23	N/A	N/A	11,135	4,449	79,884	66,867
2017-02-07	$72.25	$72.50	22.4%	6.2%	14.0%	32.0%	21.7%	2.7%	-0.4%	10.4M	-87.0M	-1.6M	0.64	5.29	N/A	N/A	5,841	3,763	81,497	68,458
2017-02-08	$72.51	$72.50	21.9%	6.2%	14.0%	31.3%	21.6%	2.8%	-0.4%	12.6M	-111.5M	-1.6M	1.53	3.24	N/A	N/A	3,073	4,698	83,702	68,991
2017-02-09	$73.56	$72.50	21.1%	6.1%	14.8%	27.8%	21.4%	2.1%	0.1%	16.2M	-194.3M	-1.6M	0.70	7.07	N/A	N/A	7,016	4,926	84,266	70,160
2017-02-10	$73.80	$72.50	20.3%	5.7%	14.8%	24.6%	20.7%	1.9%	-0.7%	18.7M	-220.1M	-1.6M	1.06	5.99	N/A	N/A	5,472	5,804	86,381	70,872
2017-02-13	$73.99	$72.50	20.7%	5.9%	14.7%	30.9%	20.9%	2.8%	-0.2%	17.8M	-215.7M	-1.6M	1.10	6.74	N/A	N/A	3,925	4,331	84,038	70,009
2017-02-14	$75.73	$72.50	22.4%	6.4%	16.6%	40.4%	22.5%	3.0%	-1.0%	16.6M	-338.0M	-1.5M	0.71	9.56	N/A	N/A	13,686	9,707	85,127	70,996
2017-02-15	$77.11	$72.50	23.9%	6.9%	16.5%	48.3%	24.4%	3.0%	0.2%	12.2M	-397.8M	-1.5M	0.31	10.80	N/A	N/A	32,526	10,115	87,937	75,418
2017-02-16	$76.35	$72.50	23.0%	6.6%	17.1%	43.1%	23.5%	2.6%	-0.8%	21.1M	-402.3M	-1.8M	0.48	8.38	N/A	N/A	12,623	6,105	109,105	79,709
2017-02-17	$76.70	$72.50	23.6%	6.9%	17.1%	46.6%	23.9%	2.9%	-1.1%	21.9M	-431.0M	-1.8M	0.21	8.82	N/A	N/A	28,541	5,891	113,505	81,813
2017-02-21	$77.30	$72.50	22.6%	6.7%	16.7%	41.1%	23.7%	1.9%	-0.9%	29.2M	-440.2M	-2.0M	0.87	23.30	N/A	N/A	10,870	9,441	122,765	67,854
2017-02-22	$76.88	$72.50	22.6%	6.8%	16.2%	41.2%	24.2%	1.8%	-1.0%	26.4M	-391.7M	-1.9M	1.19	46.47	N/A	N/A	7,410	8,795	118,850	72,716
2017-02-23	$75.94	$72.50	23.9%	7.1%	16.5%	48.2%	25.2%	2.5%	-1.6%	18.9M	-316.4M	-1.9M	1.28	47.60	N/A	N/A	5,569	7,105	119,376	76,738
2017-02-24	$76.04	$72.50	24.3%	7.5%	16.5%	50.3%	25.8%	2.2%	-0.8%	15.2M	-329.6M	-2.0M	0.51	11.46	N/A	N/A	13,332	6,792	121,390	78,387
2017-02-27	$76.38	$72.50	23.8%	7.7%	16.5%	47.4%	26.7%	1.8%	-0.7%	20.0M	-286.5M	-2.0M	0.70	46.05	N/A	N/A	17,926	12,591	111,822	71,000
2017-02-28	$74.55	$72.50	25.8%	8.6%	18.9%	58.2%	29.7%	2.0%	-0.9%	15.0M	-173.5M	-2.0M	0.40	42.90	N/A	N/A	38,871	15,588	117,723	78,243