LOW Options History — September 2018

In September 2018, LOW traded between $108.76 and $116.67. ATM implied volatility averaged 18.7%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 2.8% (HV 20d: 21.5%). Max pain ranged from $95.00 to $103.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.17.

Notable Days

2018-09-11: Highest Volume — 37,823 contracts
2018-09-24: Largest IV spike — 5.6% change
2018-09-12: Highest IV Rank — 16.4%
2018-09-10: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.66	$108.76	$116.67	$109.91	$114.93
Max Pain	$97.55	$95.00	$103.00	$103.00	$100.00
ATM IV	18.7%	17.3%	20.4%	18.1%	18.7%
Expected Move	5.3%	4.9%	5.8%	5.1%	5.1%
HV 20d	21.5%	16.0%	25.0%	24.4%	16.2%
HV 60d	18.7%	18.0%	19.3%	18.0%	18.7%
IV Rank	10.0%	4.8%	16.4%	7.9%	10.0%
IV Percentile	18.3%	7.9%	35.3%	13.5%	17.9%
Term Structure	0.2%	-0.7%	0.9%	0.1%	0.1%
VWIV	19.3%	17.4%	21.7%	18.5%	18.7%
Skew 25d	1.6%	1.3%	1.9%	1.3%	1.6%
Skew 10d	3.6%	2.5%	6.5%	2.5%	2.7%
Call IV 25d	18.3%	16.7%	20.1%	18.0%	18.2%
Put IV 25d	20.0%	18.3%	21.6%	19.2%	19.8%
Bid-Ask Spread %	8.04	3.95	15.63	15.50	6.67
Gamma HHI	0.18	0.13	0.24	0.21	0.15
Net GEX	28.6M	17.9M	42.8M	26.7M	17.9M
Net DEX	-1.18B	-1.43B	-917.1M	-988.2M	-1.09B
Net VEX	-3.0M	-3.3M	-2.8M	-3.0M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.66	1.66	0.95	1.33
Total Volume	21,159.158	11,355	37,823	22,676	18,836
Total OI	298,123.947	264,924	327,647	264,924	286,496

Daily Data (19 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
2018-09-04	$109.91	$103.00	18.1%	5.1%	24.4%	7.9%	18.5%	1.3%	0.1%	26.7M	-988.2M	-3.0M	0.95	15.50	N/A	N/A	11,615	11,061	142,052	122,872
2018-09-05	$108.76	$103.00	18.3%	5.1%	24.9%	8.7%	18.6%	1.7%	0.6%	25.6M	-917.1M	-3.1M	1.20	4.72	N/A	N/A	9,792	11,735	146,370	133,255
2018-09-06	$109.64	$95.00	18.3%	5.4%	24.9%	8.7%	19.3%	1.5%	0.2%	27.9M	-994.3M	-3.0M	1.53	10.85	N/A	N/A	7,297	11,143	148,544	135,185
2018-09-07	$109.68	$95.00	18.5%	5.4%	25.0%	9.5%	19.6%	1.7%	0.3%	28.4M	-983.3M	-3.2M	1.25	7.83	N/A	N/A	9,026	11,292	149,879	138,693
2018-09-10	$112.29	$95.00	19.4%	5.8%	24.5%	12.9%	20.2%	1.8%	0.9%	26.9M	-1.11B	-3.0M	0.67	8.30	N/A	N/A	22,375	15,029	148,058	138,041
2018-09-11	$114.19	$95.00	20.0%	5.8%	23.8%	15.1%	20.8%	1.3%	0.1%	31.2M	-1.28B	-3.1M	0.66	8.80	N/A	N/A	22,742	15,081	158,559	142,517
2018-09-12	$114.49	$95.00	20.4%	5.8%	23.8%	16.4%	21.7%	1.4%	-0.2%	37.5M	-1.34B	-3.1M	1.57	6.41	N/A	N/A	10,812	16,968	166,005	148,195
2018-09-13	$112.57	$95.00	19.7%	5.5%	24.1%	14.0%	20.5%	1.7%	-0.7%	33.4M	-1.19B	-3.3M	1.42	6.99	N/A	N/A	10,702	15,247	167,234	152,395
2018-09-14	$114.00	$97.50	18.9%	5.4%	24.1%	11.0%	20.6%	1.4%	0.1%	42.8M	-1.30B	-3.2M	1.24	7.60	N/A	N/A	9,400	11,632	169,381	157,089
2018-09-17	$113.70	$97.50	19.3%	5.5%	24.3%	12.2%	21.4%	1.9%	0.7%	27.7M	-1.22B	-3.2M	1.33	7.55	N/A	N/A	8,889	11,797	161,452	152,229
2018-09-18	$115.62	$97.50	18.5%	5.3%	24.5%	9.3%	19.3%	1.5%	0.2%	30.8M	-1.35B	-3.0M	1.03	4.28	N/A	N/A	12,552	12,894	162,904	155,440
2018-09-19	$116.36	$97.50	18.7%	5.4%	24.5%	10.0%	18.8%	1.7%	0.6%	32.5M	-1.41B	-2.9M	0.82	3.95	N/A	N/A	9,689	7,903	165,111	156,755
2018-09-20	$116.67	$97.50	17.8%	5.1%	16.1%	6.7%	17.8%	1.8%	0.1%	31.3M	-1.43B	-2.9M	0.99	13.69	N/A	N/A	8,065	7,958	166,296	158,491
2018-09-21	$116.45	$97.50	17.3%	4.9%	16.0%	4.8%	17.4%	1.7%	0.2%	28.9M	-1.42B	-2.8M	0.97	4.69	N/A	N/A	7,939	7,700	167,033	160,614
2018-09-24	$115.24	$97.50	18.2%	5.1%	16.8%	8.4%	18.5%	1.8%	0.0%	25.0M	-1.13B	-2.9M	1.17	15.63	N/A	N/A	6,294	7,389	145,218	125,825
2018-09-25	$115.30	$97.50	18.1%	5.0%	16.7%	7.9%	18.8%	1.8%	0.1%	25.4M	-1.14B	-3.0M	1.66	5.76	N/A	N/A	4,261	7,094	147,145	127,929
2018-09-26	$115.30	$97.50	18.1%	5.0%	16.4%	7.8%	17.9%	1.6%	0.2%	25.6M	-1.13B	-3.0M	1.36	7.03	N/A	N/A	7,157	9,701	147,692	129,805
2018-09-27	$114.46	$100.00	18.3%	5.1%	16.7%	8.7%	18.0%	1.8%	0.2%	18.5M	-1.06B	-3.1M	1.17	6.60	N/A	N/A	5,972	6,985	149,976	133,620
2018-09-28	$114.93	$100.00	18.7%	5.1%	16.2%	10.0%	18.7%	1.6%	0.1%	17.9M	-1.09B	-3.0M	1.33	6.67	N/A	N/A	8,098	10,738	151,157	135,339