LOW Options History — January 2018

In January 2018, LOW traded between $91.54 and $107.23. ATM implied volatility averaged 24.8%, placing in the 64.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.2% (HV 20d: 21.5%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.56.

Notable Days

2018-01-09: Highest Volume — 77,812 contracts
2018-01-12: Largest IV spike — 38.2% change
2018-01-12: Highest IV Rank — 100.0%
2018-01-16: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$100.54	$91.54	$107.23	$91.54	$104.97
Max Pain	$90.71	$80.00	$95.00	$80.00	$95.00
ATM IV	24.8%	21.5%	32.0%	21.6%	32.0%
Expected Move	6.8%	6.2%	7.9%	6.3%	7.0%
HV 20d	21.5%	14.0%	28.4%	28.4%	24.8%
HV 60d	24.7%	23.1%	26.1%	23.1%	24.0%
IV Rank	64.0%	42.8%	100.0%	46.4%	100.0%
IV Percentile	78.4%	60.3%	100.0%	66.7%	100.0%
Term Structure	0.7%	-6.1%	6.8%	-0.2%	-2.8%
VWIV	24.2%	22.1%	27.9%	22.5%	25.1%
Skew 25d	1.8%	0.5%	10.1%	2.2%	2.4%
Skew 10d	3.3%	-5.6%	16.0%	3.6%	-5.6%
Call IV 25d	25.0%	21.2%	37.1%	21.2%	34.7%
Put IV 25d	26.8%	22.1%	38.1%	23.4%	37.1%
Bid-Ask Spread %	11.22	4.41	23.76	10.80	15.11
Gamma HHI	0.19	0.11	0.38	0.18	0.12
Net GEX	42.9M	24.3M	78.1M	43.9M	30.3M
Net DEX	-1.50B	-2.36B	-1.03B	-1.03B	-1.16B
Net VEX	-2.8M	-3.2M	-2.6M	-2.6M	-3.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.11	1.65	0.19	0.90
Total Volume	29,996.81	13,302	77,812	49,043	13,493
Total OI	318,979.429	240,300	415,929	291,139	268,966

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
2018-01-02	$91.54	$80.00	21.6%	6.3%	28.4%	46.4%	22.5%	2.2%	-0.2%	43.9M	-1.03B	-2.6M	0.19	10.80	N/A	N/A	41,114	7,929	180,099	111,040
2018-01-03	$92.05	$80.00	22.0%	6.4%	24.2%	48.8%	22.6%	1.8%	0.3%	49.6M	-1.11B	-2.8M	0.59	7.17	N/A	N/A	15,895	9,330	201,242	113,370
2018-01-04	$92.76	$90.00	21.6%	6.3%	22.8%	46.3%	22.6%	1.7%	0.0%	54.0M	-1.18B	-2.9M	0.60	4.41	N/A	N/A	8,302	5,000	207,112	118,071
2018-01-05	$94.76	$90.00	22.0%	6.4%	14.3%	49.2%	22.8%	2.1%	0.1%	50.4M	-1.36B	-2.7M	0.28	16.46	N/A	N/A	20,004	5,508	206,147	114,919
2018-01-08	$93.84	$90.00	24.9%	6.7%	15.2%	69.0%	23.7%	10.1%	-1.1%	62.5M	-1.30B	-2.8M	0.50	10.66	N/A	N/A	12,805	6,399	216,185	114,314
2018-01-09	$94.61	$90.00	24.6%	6.7%	14.0%	66.9%	23.9%	1.6%	-0.9%	68.5M	-1.41B	-2.7M	0.11	8.60	N/A	N/A	69,897	7,915	220,896	117,052
2018-01-10	$94.16	$90.00	22.6%	6.5%	14.3%	53.1%	23.6%	1.0%	0.1%	76.5M	-1.48B	-3.2M	0.42	6.99	N/A	N/A	15,458	6,570	248,906	120,728
2018-01-11	$95.76	$90.00	22.1%	6.4%	14.3%	49.7%	23.6%	1.2%	0.3%	78.1M	-1.70B	-3.1M	0.62	7.60	N/A	N/A	11,869	7,408	253,760	121,245
2018-01-12	$100.70	$90.00	30.6%	7.4%	21.3%	100.0%	27.7%	1.0%	-6.1%	45.2M	-2.09B	-2.8M	0.72	23.76	N/A	N/A	23,364	16,722	253,638	123,445
2018-01-16	$101.16	$90.00	27.7%	7.9%	21.1%	81.6%	27.9%	1.9%	-0.5%	41.4M	-2.09B	-2.9M	0.75	14.17	N/A	N/A	24,484	18,245	255,796	130,149
2018-01-17	$101.69	$90.00	25.6%	7.3%	21.1%	68.4%	24.5%	2.1%	-0.7%	35.2M	-2.14B	-2.8M	1.65	15.44	N/A	N/A	9,229	15,192	259,346	136,065
2018-01-18	$101.33	$92.50	24.0%	6.9%	21.5%	58.5%	26.5%	1.6%	-0.5%	34.3M	-2.12B	-2.9M	0.33	9.98	N/A	N/A	26,488	8,649	266,099	143,947
2018-01-19	$104.96	$92.50	23.3%	6.7%	23.5%	54.2%	24.7%	1.1%	-0.2%	33.6M	-2.36B	-2.7M	0.54	10.72	N/A	N/A	18,650	10,069	270,937	144,992
2018-01-22	$107.11	$92.50	23.5%	6.7%	23.8%	55.2%	23.5%	0.8%	4.5%	26.0M	-1.42B	-2.6M	0.31	9.38	N/A	N/A	30,244	9,480	173,554	76,213
2018-01-23	$107.17	$92.50	22.7%	6.6%	23.9%	50.0%	23.9%	1.1%	5.2%	24.3M	-1.26B	-2.6M	0.31	9.34	N/A	N/A	29,304	9,170	160,532	79,768
2018-01-24	$106.78	$92.50	21.5%	6.4%	24.2%	42.8%	23.0%	1.1%	6.1%	27.2M	-1.27B	-2.7M	0.50	10.62	N/A	N/A	16,512	8,263	166,473	82,977
2018-01-25	$106.41	$92.50	22.9%	6.4%	24.6%	51.3%	22.9%	1.1%	6.2%	29.3M	-1.25B	-2.8M	0.53	8.52	N/A	N/A	15,423	8,130	173,051	85,921
2018-01-26	$107.23	$95.00	23.9%	6.2%	24.5%	57.8%	22.1%	0.5%	6.8%	31.5M	-1.31B	-2.7M	0.42	8.77	N/A	N/A	17,580	7,397	174,832	87,435
2018-01-29	$106.95	$95.00	29.6%	7.2%	24.8%	94.0%	25.8%	1.1%	-0.9%	29.6M	-1.26B	-2.8M	0.59	13.80	N/A	N/A	14,001	8,222	173,363	82,518
2018-01-30	$105.43	$95.00	31.4%	7.5%	25.9%	100.0%	26.3%	0.9%	-1.1%	29.5M	-1.18B	-3.0M	0.86	13.28	N/A	N/A	10,892	9,327	178,154	85,311
2018-01-31	$104.97	$95.00	32.0%	7.0%	24.8%	100.0%	25.1%	2.4%	-2.8%	30.3M	-1.16B	-3.1M	0.90	15.11	N/A	N/A	7,096	6,397	181,759	87,207