LOW Options History — July 2018 In July 2018, LOW traded between $94.45 and $101.53. ATM implied volatility averaged 22.5%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 9.0% (HV 20d: 13.5%). Max pain ranged from $85.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.88.
Notable Days 2018-07-13 : Highest Volume — 39,535 contracts2018-07-23 : Largest IV spike — 14.4% change2018-07-27 : Highest IV Rank — 43.2%2018-07-02 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $98.66 $94.45 $101.53 $94.45 $99.40 Max Pain $96.79 $85.00 $100.00 $85.00 $98.50 ATM IV 22.5% 18.9% 27.5% 23.3% 27.1% Expected Move 5.8% 5.5% 6.6% 6.6% 5.9% HV 20d 13.5% 11.9% 14.6% 12.0% 13.0% HV 60d 25.7% 24.3% 27.0% 27.0% 24.3% IV Rank 24.4% 10.9% 43.2% 27.2% 41.7% IV Percentile 44.0% 17.9% 75.8% 52.4% 73.4% Term Structure 1.0% -1.9% 5.8% -0.3% -1.2% VWIV 20.8% 19.1% 22.9% 22.9% 21.5% Skew 25d 2.5% 1.7% 3.6% 3.0% 2.4% Skew 10d 5.3% 3.2% 8.8% 6.9% 5.4% Call IV 25d 21.7% 18.4% 27.2% 22.3% 26.1% Put IV 25d 24.2% 20.4% 30.8% 25.4% 28.5% Bid-Ask Spread % 5.73 2.75 15.61 3.02 4.15 Gamma HHI 0.16 0.12 0.25 0.12 0.15 Net GEX 23.3M 13.6M 40.4M 18.2M 18.2M Net DEX -704.3M -1.06B -421.3M -506.5M -519.0M Net VEX -3.7M -3.8M -3.5M -3.8M -3.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.24 1.51 0.75 0.68 Total Volume 16,285.857 8,495 39,535 16,172 9,689 Total OI 271,203.905 211,286 304,571 282,687 225,188
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 2018-07-02 $94.45 $85.00 23.3% 6.6% 12.0% 27.2% 22.9% 3.0% -0.3% 18.2M -506.5M -3.8M 0.75 3.02 N/A N/A 9,239 6,933 172,742 109,945 2018-07-03 $95.06 $85.00 22.2% 6.2% 12.2% 23.1% 22.2% 3.3% 0.1% 18.5M -560.3M -3.8M 1.45 7.65 N/A N/A 6,159 8,906 175,026 112,343 2018-07-05 $95.51 $97.50 21.1% 6.3% 12.0% 19.0% 22.1% 3.0% -0.0% 17.8M -576.6M -3.7M 0.73 4.16 N/A N/A 6,403 4,671 175,542 116,662 2018-07-06 $96.20 $97.50 20.8% 6.0% 11.9% 18.1% 20.9% 2.9% 0.1% 19.9M -638.1M -3.7M 0.72 5.48 N/A N/A 7,052 5,082 176,490 117,457 2018-07-09 $97.16 $97.50 20.2% 5.8% 11.9% 15.5% 20.1% 3.1% 0.1% 22.4M -714.3M -3.6M 1.41 9.59 N/A N/A 6,686 9,413 175,767 114,392 2018-07-10 $98.95 $97.50 18.9% 5.6% 13.6% 10.9% 20.9% 2.4% 0.8% 26.0M -852.9M -3.6M 1.07 15.61 N/A N/A 9,160 9,817 176,804 117,944 2018-07-11 $98.61 $97.50 19.9% 5.9% 13.6% 14.7% 21.2% 2.3% 0.7% 25.4M -830.0M -3.6M 1.08 5.75 N/A N/A 8,626 9,357 177,088 119,623 2018-07-12 $98.29 $97.50 19.4% 5.7% 13.4% 12.7% 20.7% 2.4% 0.7% 24.9M -805.1M -3.6M 1.13 3.00 N/A N/A 6,169 6,991 179,460 121,726 2018-07-13 $99.55 $97.50 19.6% 5.6% 14.1% 13.3% 20.3% 2.1% 0.2% 28.0M -917.1M -3.5M 0.24 4.98 N/A N/A 31,778 7,757 179,992 122,309 2018-07-16 $99.57 $97.50 19.6% 5.6% 14.1% 13.5% 20.6% 2.1% 5.5% 29.4M -877.7M -3.7M 0.33 2.75 N/A N/A 16,499 5,368 178,059 120,227 2018-07-17 $100.41 $97.50 19.3% 5.6% 14.3% 12.2% 20.2% 1.8% 5.6% 33.0M -957.0M -3.7M 0.39 4.19 N/A N/A 18,494 7,135 178,827 120,977 2018-07-18 $100.93 $97.50 19.2% 5.5% 14.1% 12.2% 19.6% 1.7% 5.7% 35.2M -1.01B -3.6M 0.76 5.59 N/A N/A 7,929 6,051 180,615 121,995 2018-07-19 $101.53 $97.50 20.3% 5.5% 14.1% 16.3% 20.8% 2.0% 5.5% 29.4M -1.06B -3.6M 0.82 3.08 N/A N/A 8,403 6,878 181,152 123,419 2018-07-20 $100.71 $97.50 21.4% 5.5% 14.4% 20.4% 19.1% 1.9% 5.8% 40.4M -984.5M -3.6M 0.44 12.64 N/A N/A 10,099 4,436 180,734 123,688 2018-07-23 $101.17 $97.50 24.5% 5.6% 14.2% 32.0% 19.9% 2.5% -1.4% 21.5M -600.8M -3.6M 1.02 2.88 N/A N/A 5,419 5,517 128,629 82,657 2018-07-24 $99.79 $100.00 26.7% 5.6% 13.9% 40.0% 20.1% 2.5% -1.9% 19.1M -532.4M -3.6M 0.92 2.99 N/A N/A 6,126 5,648 129,193 85,405 2018-07-25 $98.92 $100.00 26.8% 5.7% 14.3% 40.3% 20.2% 2.3% -1.4% 17.0M -480.7M -3.7M 1.14 8.25 N/A N/A 9,182 10,508 130,166 86,748 2018-07-26 $98.39 $99.00 27.3% 5.8% 14.3% 42.2% 20.3% 2.4% -1.0% 13.6M -440.7M -3.7M 0.90 3.69 N/A N/A 6,655 6,008 132,861 91,676 2018-07-27 $98.05 $99.00 27.5% 5.9% 14.2% 43.2% 20.6% 3.6% -1.7% 14.6M -421.3M -3.7M 1.51 5.68 N/A N/A 6,871 10,394 134,883 92,930 2018-07-30 $99.23 $98.50 27.5% 6.0% 14.6% 42.9% 22.2% 2.9% -1.1% 17.3M -507.5M -3.7M 1.06 5.19 N/A N/A 4,130 4,365 132,837 91,104 2018-07-31 $99.40 $98.50 27.1% 5.9% 13.0% 41.7% 21.5% 2.4% -1.2% 18.2M -519.0M -3.7M 0.68 4.15 N/A N/A 5,755 3,934 133,586 91,602
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