LOW Options History — May 2017

In May 2017, LOW traded between $78.68 and $86.10. ATM implied volatility averaged 23.9%, placing in the 57.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 11.3% (HV 20d: 12.7%). Max pain ranged from $82.00 to $85.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.10.

Notable Days

2017-05-23: Highest Volume — 130,967 contracts
2017-05-24: Largest IV drop — 31.6% change
2017-05-11: Highest IV Rank — 97.6%
2017-05-17: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.83	$78.68	$86.10	$84.55	$78.68
Max Pain	$84.11	$82.00	$85.00	$82.50	$82.00
ATM IV	23.9%	16.4%	29.1%	23.4%	18.4%
Expected Move	6.5%	4.6%	8.1%	4.8%	5.3%
HV 20d	12.7%	9.8%	19.3%	10.0%	19.1%
HV 60d	20.8%	13.7%	22.9%	22.8%	13.9%
IV Rank	57.4%	11.4%	97.6%	45.3%	24.5%
IV Percentile	76.8%	16.7%	99.6%	83.7%	34.5%
Term Structure	-1.0%	-2.1%	0.4%	-1.3%	-0.5%
VWIV	22.9%	16.6%	28.1%	17.7%	19.1%
Skew 25d	1.7%	0.6%	2.4%	2.4%	2.1%
Skew 10d	3.9%	2.7%	5.3%	4.5%	3.6%
Call IV 25d	23.5%	16.0%	29.9%	22.1%	17.7%
Put IV 25d	25.2%	17.6%	31.0%	24.5%	19.8%
Bid-Ask Spread %	10.70	3.24	27.97	12.62	8.00
Gamma HHI	0.15	0.10	0.26	0.15	0.10
Net GEX	19.5M	-21.7M	57.1M	19.6M	12.3M
Net DEX	-319.1M	-466.1M	119.4M	-346.0M	-19.8M
Net VEX	-2.3M	-2.6M	-2.1M	-2.1M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.49	2.19	1.65	0.73
Total Volume	33,843.318	9,041	130,967	9,041	19,694
Total OI	238,300.864	169,126	373,264	169,126	307,573

Daily Data (22 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
2017-05-01	$84.55	$82.50	23.4%	4.8%	10.0%	45.3%	17.7%	2.4%	-1.3%	19.6M	-346.0M	-2.1M	1.65	12.62	N/A	N/A	3,416	5,625	94,745	74,381
2017-05-02	$85.30	$82.50	23.1%	4.7%	10.2%	43.8%	17.0%	1.8%	-1.1%	21.1M	-394.2M	-2.1M	1.29	7.95	N/A	N/A	4,404	5,660	96,091	75,363
2017-05-03	$85.56	$82.50	23.2%	4.9%	9.8%	44.3%	17.9%	1.7%	-1.2%	22.2M	-408.2M	-2.1M	1.25	16.94	N/A	N/A	4,891	6,113	97,850	76,404
2017-05-04	$85.36	$85.00	23.2%	6.1%	10.0%	44.6%	21.1%	1.8%	-1.2%	24.1M	-406.5M	-2.1M	1.84	7.02	N/A	N/A	3,665	6,739	100,400	77,138
2017-05-05	$85.86	$85.00	23.1%	6.2%	10.0%	43.8%	21.1%	2.1%	-1.2%	29.0M	-430.9M	-2.1M	1.56	5.11	N/A	N/A	4,425	6,897	99,874	78,231
2017-05-08	$85.92	$85.00	25.1%	6.9%	10.0%	54.1%	23.5%	1.5%	-0.6%	23.1M	-428.5M	-2.1M	0.49	5.44	N/A	N/A	13,805	6,734	99,550	77,530
2017-05-09	$85.77	$85.00	25.5%	6.9%	10.1%	56.4%	24.3%	1.6%	-1.3%	26.3M	-440.9M	-2.1M	1.44	8.31	N/A	N/A	7,226	10,381	107,266	79,254
2017-05-10	$86.10	$85.00	25.8%	7.1%	10.0%	64.4%	24.7%	1.7%	-1.1%	28.0M	-466.1M	-2.2M	2.19	8.27	N/A	N/A	5,594	12,226	110,037	81,184
2017-05-11	$84.60	$85.00	29.1%	8.0%	11.9%	97.6%	27.9%	0.6%	-1.5%	16.5M	-338.8M	-2.3M	0.62	9.93	N/A	N/A	18,685	11,508	112,251	87,277
2017-05-12	$84.74	$85.00	29.1%	7.9%	11.6%	97.0%	27.7%	1.4%	-2.1%	20.7M	-380.6M	-2.4M	1.98	8.82	N/A	N/A	9,648	19,096	125,736	93,043
2017-05-15	$85.28	$85.00	28.1%	7.9%	11.6%	90.5%	27.6%	1.2%	-1.3%	21.7M	-437.7M	-2.4M	0.90	9.22	N/A	N/A	14,379	12,910	127,228	94,761
2017-05-16	$85.46	$85.00	26.2%	7.4%	11.1%	77.2%	25.8%	1.7%	-1.2%	21.4M	-465.1M	-2.3M	0.61	3.50	N/A	N/A	25,350	15,451	135,369	102,499
2017-05-17	$84.04	$85.00	28.4%	8.1%	12.9%	92.4%	28.1%	2.2%	-1.6%	13.0M	-327.9M	-2.6M	0.71	6.49	N/A	N/A	10,707	7,578	150,643	104,237
2017-05-18	$84.11	$85.00	27.5%	7.9%	11.4%	86.0%	27.7%	2.0%	-1.3%	6.6M	-339.0M	-2.5M	0.82	3.24	N/A	N/A	9,849	8,061	154,800	105,201
2017-05-19	$84.48	$85.00	26.4%	7.7%	11.4%	78.7%	26.8%	1.5%	-1.0%	416.1K	-386.3M	-2.5M	0.87	3.89	N/A	N/A	9,747	8,474	157,530	105,035
2017-05-22	$84.08	$85.00	25.7%	7.8%	11.3%	74.0%	26.9%	1.8%	-1.2%	27.9M	-374.6M	-2.4M	0.62	3.56	N/A	N/A	24,096	14,937	136,409	82,291
2017-05-23	$82.58	$85.00	26.1%	8.1%	12.6%	76.7%	27.7%	1.9%	-1.6%	23.7M	-259.3M	-2.4M	0.69	15.31	N/A	N/A	77,344	53,623	149,870	91,255
2017-05-24	$79.79	$84.00	17.8%	5.0%	16.9%	20.7%	18.2%	1.5%	-0.3%	-21.7M	119.4M	-2.2M	0.89	16.96	N/A	N/A	66,455	59,333	215,731	134,312
2017-05-25	$81.34	$83.00	17.4%	4.9%	18.7%	17.6%	17.6%	1.6%	-0.1%	15.9M	-183.8M	-2.6M	0.61	23.62	N/A	N/A	57,317	35,225	227,680	142,126
2017-05-26	$81.05	$82.00	16.4%	4.6%	18.6%	11.4%	16.6%	1.5%	0.4%	57.1M	-189.4M	-2.5M	1.44	27.97	N/A	N/A	12,301	17,652	236,201	137,063
2017-05-30	$79.72	$82.00	18.0%	5.1%	19.3%	21.7%	18.4%	1.8%	-0.3%	19.7M	-115.5M	-2.3M	0.97	23.30	N/A	N/A	8,786	8,546	202,208	98,992
2017-05-31	$78.68	$82.00	18.4%	5.3%	19.1%	24.5%	19.1%	2.1%	-0.5%	12.3M	-19.8M	-2.3M	0.73	8.00	N/A	N/A	11,410	8,284	206,375	101,198