LOW Options History — December 2017

In December 2017, LOW traded between $82.47 and $93.05. ATM implied volatility averaged 19.9%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 8.8% (HV 20d: 28.7%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2017-12-06: Highest Volume — 62,238 contracts
2017-12-04: Largest IV spike — 21.1% change
2017-12-06: Highest IV Rank — 51.1%
2017-12-04: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.87	$82.47	$93.05	$84.30	$93.05
Max Pain	$78.63	$75.00	$80.00	$80.00	$80.00
ATM IV	19.9%	17.9%	22.3%	17.9%	20.9%
Expected Move	5.7%	5.3%	6.3%	6.0%	6.0%
HV 20d	28.7%	18.9%	31.5%	18.9%	27.5%
HV 60d	22.2%	18.0%	23.0%	18.0%	22.9%
IV Rank	34.6%	21.2%	51.1%	21.2%	41.5%
IV Percentile	51.5%	32.5%	69.8%	32.5%	60.3%
Term Structure	-0.0%	-2.9%	1.2%	0.6%	-0.1%
VWIV	20.3%	18.8%	22.5%	21.5%	21.4%
Skew 25d	1.9%	0.8%	3.6%	2.3%	1.8%
Skew 10d	5.5%	2.4%	13.1%	13.1%	3.0%
Call IV 25d	19.4%	17.3%	22.5%	19.0%	20.3%
Put IV 25d	21.4%	19.6%	24.5%	21.3%	22.1%
Bid-Ask Spread %	9.07	4.84	14.13	10.24	6.10
Gamma HHI	0.19	0.13	0.25	0.20	0.15
Net GEX	41.9M	33.2M	53.9M	46.1M	35.2M
Net DEX	-784.4M	-1.15B	-339.7M	-641.8M	-1.15B
Net VEX	-2.3M	-2.6M	-2.1M	-2.3M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.29	1.56	0.46	0.60
Total Volume	24,123.05	11,144	62,238	20,018	18,826
Total OI	275,226.25	230,478	293,585	275,678	291,378

Daily Data (20 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
2017-12-01	$84.30	$80.00	17.9%	6.0%	18.9%	21.2%	21.5%	2.3%	0.6%	46.1M	-641.8M	-2.3M	0.46	10.24	N/A	N/A	13,689	6,329	159,440	116,238
2017-12-04	$88.11	$75.00	21.7%	6.3%	23.1%	46.7%	22.5%	2.1%	-1.5%	37.3M	-905.7M	-2.2M	0.34	10.16	N/A	N/A	29,678	10,185	157,945	112,528
2017-12-05	$86.34	$77.50	21.1%	5.6%	24.6%	43.1%	20.1%	0.8%	-0.8%	53.9M	-798.8M	-2.2M	0.75	14.13	N/A	N/A	14,765	11,005	164,809	115,521
2017-12-06	$82.47	$77.50	22.3%	6.1%	30.6%	51.1%	21.0%	2.7%	-2.9%	37.3M	-339.7M	-2.3M	0.29	11.12	N/A	N/A	48,423	13,815	160,672	120,611
2017-12-07	$83.66	$77.50	19.8%	5.9%	30.9%	34.0%	20.8%	3.1%	0.6%	48.5M	-465.3M	-2.4M	0.60	12.12	N/A	N/A	10,802	6,470	164,848	128,737
2017-12-08	$85.52	$77.50	19.3%	5.8%	31.5%	30.4%	20.2%	2.4%	-0.0%	50.4M	-675.5M	-2.3M	0.77	10.61	N/A	N/A	12,383	9,474	164,708	128,717
2017-12-11	$85.56	$77.50	19.0%	5.7%	31.2%	28.5%	20.0%	3.6%	0.4%	53.3M	-671.8M	-2.2M	0.79	8.48	N/A	N/A	9,122	7,192	159,830	125,940
2017-12-12	$84.99	$77.50	19.3%	5.6%	31.5%	30.6%	19.9%	1.8%	0.5%	47.8M	-596.8M	-2.2M	1.14	8.96	N/A	N/A	7,047	8,068	153,345	126,493
2017-12-13	$85.61	$77.50	18.4%	5.5%	30.8%	24.6%	19.1%	2.2%	0.8%	47.4M	-641.3M	-2.2M	0.80	10.05	N/A	N/A	13,993	11,245	154,701	128,571
2017-12-14	$85.63	$77.50	19.9%	5.7%	30.3%	34.4%	20.2%	1.6%	-0.1%	44.6M	-637.5M	-2.2M	1.02	9.01	N/A	N/A	9,990	10,158	152,067	126,885
2017-12-15	$86.58	$80.00	19.5%	5.5%	30.1%	32.0%	19.3%	1.5%	-0.9%	33.2M	-754.8M	-2.2M	0.33	12.04	N/A	N/A	24,039	7,989	155,809	130,147
2017-12-18	$87.47	$77.50	18.6%	5.3%	30.2%	26.2%	18.8%	2.0%	1.2%	34.3M	-594.6M	-2.1M	0.40	8.39	N/A	N/A	17,715	7,153	128,317	102,161
2017-12-19	$88.93	$80.00	19.2%	5.5%	30.2%	30.2%	19.2%	1.5%	0.8%	35.2M	-743.1M	-2.3M	0.53	7.94	N/A	N/A	14,926	7,872	137,068	103,562
2017-12-20	$90.25	$80.00	20.6%	5.9%	29.8%	39.4%	20.7%	1.5%	0.1%	36.0M	-849.2M	-2.3M	0.35	10.37	N/A	N/A	32,585	11,559	144,598	105,599
2017-12-21	$90.76	$80.00	20.0%	5.7%	29.0%	35.3%	20.3%	1.6%	0.5%	41.2M	-984.8M	-2.6M	1.25	5.16	N/A	N/A	5,298	6,628	166,231	110,696
2017-12-22	$91.17	$80.00	19.4%	5.5%	28.7%	31.3%	19.8%	1.4%	0.4%	45.8M	-1.01B	-2.6M	1.56	4.84	N/A	N/A	4,352	6,792	164,959	111,791
2017-12-26	$91.90	$80.00	20.4%	5.7%	28.7%	38.3%	20.5%	1.3%	-0.4%	36.6M	-1.04B	-2.5M	0.59	7.83	N/A	N/A	8,791	5,208	162,824	109,487
2017-12-27	$92.10	$80.00	20.3%	5.6%	28.2%	37.6%	20.6%	1.7%	-0.0%	38.1M	-1.06B	-2.5M	0.47	5.84	N/A	N/A	10,447	4,945	166,259	110,576
2017-12-28	$92.90	$80.00	20.1%	5.5%	27.6%	36.1%	19.3%	1.3%	-0.1%	36.5M	-1.12B	-2.5M	0.50	8.09	N/A	N/A	15,713	7,790	168,791	111,666
2017-12-29	$93.05	$80.00	20.9%	6.0%	27.5%	41.5%	21.4%	1.8%	-0.1%	35.2M	-1.15B	-2.6M	0.60	6.10	N/A	N/A	11,778	7,048	176,591	114,787