LOW Options History — June 2019 In June 2019, LOW traded between $93.76 and $101.74. ATM implied volatility averaged 22.8%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 22.3% (HV 20d: 45.1%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.83.
Notable Days 2019-06-05 : Highest Volume — 32,299 contracts2019-06-04 : Largest IV drop — 9.4% change2019-06-03 : Highest IV Rank — 40.6%2019-06-03 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $98.30 $93.76 $101.74 $93.76 $100.81 Max Pain $95.75 $95.00 $100.00 $100.00 $95.00 ATM IV 22.8% 21.0% 26.5% 26.5% 21.0% Expected Move 6.5% 5.9% 7.6% 7.6% 5.9% HV 20d 45.1% 20.7% 58.8% 57.0% 20.8% HV 60d 36.9% 36.5% 37.2% 36.5% 37.1% IV Rank 25.0% 17.6% 40.6% 40.6% 17.6% IV Percentile 38.1% 26.6% 54.0% 54.0% 26.6% Term Structure 0.1% -0.5% 0.9% -0.5% 0.1% VWIV 23.2% 21.1% 26.9% 26.9% 21.1% Skew 25d 2.9% 2.3% 3.5% 3.0% 3.4% Skew 10d 5.8% 4.0% 7.3% 7.0% 7.3% Call IV 25d 21.5% 19.6% 25.1% 25.1% 19.6% Put IV 25d 24.4% 23.0% 28.1% 28.1% 23.0% Bid-Ask Spread % 2.72 1.91 3.76 3.04 2.92 Gamma HHI 0.17 0.12 0.24 0.14 0.19 Net GEX 17.3M 572.6K 33.2M 572.6K 26.4M Net DEX -280.0M -546.9M 76.2M 76.2M -479.0M Net VEX -3.3M -3.6M -2.7M -2.7M -3.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.23 2.61 0.76 0.93 Total Volume 14,583.85 7,308 32,299 11,208 7,709 Total OI 246,847.6 214,051 275,175 214,108 226,476
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 2019-06-03 $93.76 $100.00 26.5% 7.6% 57.0% 40.6% 26.9% 3.0% -0.5% 572.6K 76.2M -2.7M 0.76 3.04 N/A N/A 6,360 4,848 121,098 93,010 2019-06-04 $96.79 $100.00 24.0% 6.9% 58.8% 30.1% 24.2% 2.9% 0.0% 5.4M -81.2M -2.8M 0.59 2.50 N/A N/A 15,611 9,248 123,078 93,743 2019-06-05 $96.12 $100.00 24.1% 6.9% 57.1% 30.5% 24.3% 2.6% 0.3% 6.4M -59.4M -3.0M 1.17 2.91 N/A N/A 14,889 17,410 131,704 98,875 2019-06-06 $96.51 $95.00 23.4% 6.7% 57.1% 27.9% 24.3% 2.7% 0.3% 9.3M -110.6M -3.1M 0.27 2.35 N/A N/A 17,254 4,672 141,691 104,781 2019-06-07 $96.83 $95.00 22.7% 6.6% 57.2% 24.9% 23.3% 2.3% -0.2% 13.7M -164.9M -3.4M 0.50 2.69 N/A N/A 11,903 5,924 155,132 108,977 2019-06-10 $96.42 $95.00 23.2% 6.6% 57.1% 27.1% 23.7% 3.5% -0.1% 12.6M -144.5M -3.4M 0.23 3.49 N/A N/A 12,087 2,823 154,742 103,900 2019-06-11 $96.51 $95.00 22.8% 6.5% 57.0% 25.1% 23.9% 2.5% -0.1% 15.4M -169.0M -3.5M 1.48 2.88 N/A N/A 4,555 6,748 163,249 105,363 2019-06-12 $96.44 $95.00 22.8% 6.5% 56.7% 25.2% 22.9% 2.5% -0.1% 14.3M -142.9M -3.5M 0.85 2.52 N/A N/A 6,073 5,167 164,260 108,869 2019-06-13 $98.45 $95.00 22.0% 6.5% 56.9% 22.1% 22.9% 2.5% 0.9% 22.3M -325.6M -3.6M 1.20 2.28 N/A N/A 5,206 6,224 164,971 107,097 2019-06-14 $99.92 $95.00 21.8% 6.3% 57.2% 21.2% 22.8% 2.6% 0.3% 23.2M -443.8M -3.6M 0.69 2.05 N/A N/A 8,216 5,668 165,706 109,469 2019-06-17 $100.14 $95.00 22.2% 6.4% 57.1% 22.7% 23.0% 3.0% 0.3% 18.8M -415.3M -3.5M 0.34 1.91 N/A N/A 8,916 3,073 156,236 101,965 2019-06-18 $99.47 $95.00 21.8% 6.3% 57.1% 21.1% 22.1% 2.7% 0.5% 19.7M -365.6M -3.5M 0.30 2.26 N/A N/A 8,008 2,396 159,200 102,790 2019-06-19 $98.74 $95.00 22.0% 6.3% 56.5% 21.9% 22.7% 2.7% 0.0% 16.2M -303.1M -3.4M 2.61 2.88 N/A N/A 5,706 14,886 159,853 103,729 2019-06-20 $101.74 $95.00 22.1% 6.3% 25.0% 22.2% 22.0% 2.9% -0.3% 30.6M -546.9M -3.4M 0.92 3.76 N/A N/A 13,505 12,440 160,790 102,342 2019-06-21 $101.22 $95.00 22.3% 6.4% 24.2% 23.3% 23.5% 2.6% -0.3% 33.2M -520.2M -3.4M 0.75 3.61 N/A N/A 8,261 6,164 163,086 103,163 2019-06-24 $99.26 $95.00 22.9% 6.5% 25.5% 25.6% 23.1% 3.5% -0.2% 19.6M -363.9M -3.3M 0.76 2.63 N/A N/A 4,148 3,160 135,774 78,277 2019-06-25 $98.27 $95.00 23.1% 6.5% 21.4% 26.6% 22.9% 3.5% -0.0% 17.6M -301.4M -3.3M 0.82 2.59 N/A N/A 4,038 3,312 138,079 80,060 2019-06-26 $99.09 $95.00 22.5% 6.4% 20.7% 24.1% 22.2% 3.2% -0.1% 19.9M -358.0M -3.4M 0.86 2.38 N/A N/A 3,936 3,404 140,108 81,566 2019-06-27 $99.47 $95.00 21.8% 6.2% 20.7% 21.0% 21.8% 3.4% 0.1% 21.3M -380.1M -3.3M 0.53 2.69 N/A N/A 5,038 2,691 140,966 82,777 2019-06-28 $100.81 $95.00 21.0% 5.9% 20.8% 17.6% 21.1% 3.4% 0.1% 26.4M -479.0M -3.3M 0.93 2.92 N/A N/A 3,998 3,711 142,824 83,652
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