LOW Options History — March 2017

In March 2017, LOW traded between $80.54 and $83.35. ATM implied volatility averaged 16.5%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 16.3% (HV 20d: 32.8%). Max pain ranged from $72.50 to $77.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.91.

Notable Days

2017-03-01: Highest Volume — 62,057 contracts
2017-03-21: Largest IV spike — 9.3% change
2017-03-01: Highest IV Rank — 28.6%
2017-03-01: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.02	$80.54	$83.35	$81.62	$82.36
Max Pain	$76.15	$72.50	$77.50	$72.50	$77.50
ATM IV	16.5%	14.8%	20.2%	20.2%	15.4%
Expected Move	4.7%	4.0%	5.8%	5.8%	4.0%
HV 20d	32.8%	9.4%	37.3%	37.0%	9.4%
HV 60d	24.1%	23.2%	26.4%	26.4%	23.2%
IV Rank	9.4%	0.0%	28.6%	28.6%	3.4%
IV Percentile	12.8%	0.0%	53.6%	53.6%	2.8%
Term Structure	0.1%	-0.7%	0.9%	-0.7%	0.2%
VWIV	16.8%	14.8%	20.5%	20.5%	15.0%
Skew 25d	2.0%	1.1%	2.8%	1.8%	1.4%
Skew 10d	4.5%	0.9%	6.4%	4.4%	6.4%
Call IV 25d	15.7%	13.8%	19.2%	19.2%	15.2%
Put IV 25d	17.7%	15.3%	21.0%	21.0%	16.6%
Bid-Ask Spread %	16.81	7.78	39.08	39.08	24.77
Gamma HHI	0.18	0.11	0.26	0.16	0.26
Net GEX	37.6M	21.5M	65.1M	35.3M	37.2M
Net DEX	-664.8M	-1.01B	-383.6M	-875.8M	-457.0M
Net VEX	-2.2M	-2.4M	-1.9M	-1.9M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.32	1.88	0.60	0.32
Total Volume	23,741.261	10,402	62,057	62,057	26,447
Total OI	238,687.957	188,699	277,310	240,133	223,257

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
2017-03-01	$81.62	$72.50	20.2%	5.8%	37.0%	28.6%	20.5%	1.8%	-0.7%	35.3M	-875.8M	-1.9M	0.60	39.08	N/A	N/A	38,676	23,381	148,583	91,550
2017-03-02	$80.54	$72.50	18.8%	5.2%	37.3%	21.0%	18.6%	1.5%	-0.2%	38.0M	-753.7M	-2.0M	0.60	7.78	N/A	N/A	26,013	15,669	151,537	99,804
2017-03-03	$81.78	$74.00	17.8%	4.8%	37.1%	15.9%	17.2%	1.1%	-0.7%	44.1M	-882.0M	-1.9M	0.41	9.06	N/A	N/A	30,673	12,650	156,192	105,982
2017-03-06	$81.22	$75.00	17.3%	5.1%	37.1%	13.2%	18.3%	1.8%	0.3%	48.0M	-785.6M	-2.2M	1.32	11.04	N/A	N/A	8,127	10,747	160,452	88,504
2017-03-07	$80.91	$75.00	16.4%	4.8%	36.7%	8.3%	16.8%	1.6%	-0.1%	47.2M	-714.4M	-2.1M	0.83	15.29	N/A	N/A	15,549	12,844	157,665	90,951
2017-03-08	$81.45	$75.00	16.1%	4.6%	36.6%	6.8%	17.5%	1.7%	0.1%	56.0M	-801.8M	-2.1M	1.54	8.05	N/A	N/A	10,680	16,412	163,444	95,680
2017-03-09	$81.27	$75.00	16.7%	4.8%	36.7%	10.2%	16.9%	1.9%	0.4%	54.9M	-769.4M	-2.2M	1.08	14.74	N/A	N/A	10,847	11,697	166,192	101,659
2017-03-10	$81.60	$75.00	16.3%	4.7%	36.5%	7.8%	16.9%	1.8%	0.3%	65.1M	-827.3M	-2.2M	0.97	12.23	N/A	N/A	11,427	11,080	170,813	102,414
2017-03-13	$81.58	$75.00	16.7%	4.7%	36.6%	10.0%	17.5%	1.9%	-0.6%	40.3M	-807.3M	-2.1M	1.03	12.11	N/A	N/A	7,301	7,501	159,882	97,221
2017-03-14	$82.09	$75.00	16.2%	4.7%	36.6%	7.5%	16.1%	1.3%	0.2%	41.0M	-861.1M	-2.0M	0.98	13.53	N/A	N/A	11,221	10,993	160,279	97,905
2017-03-15	$83.19	$77.50	16.7%	4.6%	36.1%	10.3%	16.1%	1.9%	-0.1%	42.2M	-963.8M	-2.0M	0.67	17.65	N/A	N/A	11,889	7,962	165,705	101,410
2017-03-16	$83.18	$77.50	15.6%	4.6%	35.8%	4.3%	15.7%	2.5%	0.9%	41.9M	-985.9M	-2.0M	0.64	16.10	N/A	N/A	15,582	9,915	167,347	102,139
2017-03-17	$83.35	$77.50	14.8%	4.3%	35.4%	0.0%	15.0%	1.6%	0.4%	35.2M	-1.01B	-2.1M	0.52	15.26	N/A	N/A	17,609	9,239	171,893	105,417
2017-03-20	$82.42	$77.50	15.1%	4.3%	35.8%	1.7%	16.4%	2.2%	0.6%	25.6M	-427.1M	-2.2M	1.33	19.41	N/A	N/A	5,974	7,972	109,841	78,858
2017-03-21	$82.00	$77.50	16.5%	4.7%	35.9%	9.1%	18.7%	2.6%	0.2%	23.0M	-390.2M	-2.2M	1.88	24.66	N/A	N/A	6,118	11,513	110,864	81,949
2017-03-22	$82.33	$77.50	16.5%	4.7%	35.8%	8.9%	16.9%	2.6%	0.2%	21.5M	-402.0M	-2.3M	0.61	19.12	N/A	N/A	17,611	10,656	112,337	88,981
2017-03-23	$82.43	$77.50	16.8%	4.8%	35.3%	10.8%	17.2%	2.7%	-0.5%	24.0M	-421.9M	-2.4M	0.72	17.60	N/A	N/A	11,576	8,351	118,561	95,399
2017-03-24	$82.29	$77.50	16.6%	4.8%	35.4%	9.4%	16.8%	2.5%	0.4%	25.7M	-432.9M	-2.4M	1.43	27.11	N/A	N/A	5,974	8,565	122,827	97,022
2017-03-27	$81.75	$77.50	17.1%	4.8%	35.6%	12.1%	16.6%	2.8%	-0.4%	26.5M	-383.6M	-2.3M	0.95	19.37	N/A	N/A	5,339	5,063	121,176	93,345
2017-03-28	$82.52	$77.50	16.2%	4.4%	34.1%	7.8%	14.8%	2.2%	-0.0%	30.3M	-462.5M	-2.3M	0.73	15.05	N/A	N/A	7,268	5,334	121,612	94,596
2017-03-29	$82.30	$77.50	15.5%	4.3%	11.9%	3.9%	15.5%	2.5%	0.4%	30.4M	-442.8M	-2.3M	0.75	14.71	N/A	N/A	6,331	4,769	123,092	95,905
2017-03-30	$82.20	$77.50	15.6%	4.1%	10.8%	4.5%	15.4%	2.5%	-0.1%	32.0M	-434.1M	-2.2M	1.07	12.86	N/A	N/A	7,484	8,020	123,334	96,247
2017-03-31	$82.36	$77.50	15.4%	4.0%	9.4%	3.4%	15.0%	1.4%	0.2%	37.2M	-457.0M	-2.2M	0.32	24.77	N/A	N/A	20,009	6,438	124,846	98,411