LOW Options History — July 2019 In July 2019, LOW traded between $101.97 and $108.02. ATM implied volatility averaged 23.0%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.2% (HV 20d: 18.8%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.75.
Notable Days 2019-07-12 : Highest Volume — 27,537 contracts2019-07-22 : Largest IV spike — 18.7% change2019-07-31 : Highest IV Rank — 62.2%2019-07-31 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $103.95 $101.97 $108.02 $102.03 $101.97 Max Pain $103.18 $95.00 $105.00 $95.00 $105.00 ATM IV 23.0% 18.0% 31.6% 19.6% 31.6% Expected Move 5.6% 5.1% 6.3% 5.5% 6.3% HV 20d 18.8% 16.8% 21.4% 21.0% 18.0% HV 60d 36.9% 36.7% 37.2% 37.1% 37.0% IV Rank 26.1% 4.9% 62.2% 11.7% 62.2% IV Percentile 36.3% 3.2% 84.5% 19.8% 84.5% Term Structure 1.6% -1.8% 9.5% 0.1% -1.6% VWIV 19.6% 18.1% 21.7% 19.5% 21.7% Skew 25d 3.2% 2.6% 3.7% 2.9% 3.7% Skew 10d 5.9% 4.8% 7.4% 5.3% 7.4% Call IV 25d 21.7% 17.1% 30.0% 18.3% 30.0% Put IV 25d 24.8% 19.7% 33.7% 21.2% 33.7% Bid-Ask Spread % 3.40 2.52 6.26 2.83 5.32 Gamma HHI 0.21 0.16 0.27 0.24 0.16 Net GEX 28.2M 20.0M 36.4M 26.6M 24.2M Net DEX -561.1M -869.9M -314.0M -533.2M -332.2M Net VEX -3.1M -3.2M -3.0M -3.2M -3.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.24 1.24 1.02 0.43 Total Volume 11,500.273 6,388 27,537 11,619 15,738 Total OI 212,775.727 176,817 235,161 217,990 194,561
Daily Data (22 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 2019-07-01 $102.03 $95.00 19.6% 5.5% 21.0% 11.7% 19.5% 2.9% 0.1% 26.6M -533.2M -3.2M 1.02 2.83 N/A N/A 5,752 5,867 137,630 80,360 2019-07-02 $102.33 $95.00 18.5% 5.1% 18.2% 7.4% 18.2% 3.2% 0.1% 25.9M -553.6M -3.2M 1.24 2.62 N/A N/A 3,023 3,761 139,812 81,898 2019-07-03 $102.88 $95.00 18.8% 5.1% 17.9% 8.3% 18.1% 2.8% -0.1% 27.4M -590.2M -3.2M 1.01 3.54 N/A N/A 3,172 3,216 140,770 82,936 2019-07-05 $104.26 $100.00 18.7% 5.5% 18.2% 8.1% 20.2% 3.0% -0.1% 32.4M -679.3M -3.2M 0.80 3.25 N/A N/A 5,447 4,370 141,677 83,021 2019-07-08 $104.58 $100.00 18.9% 5.6% 18.2% 8.9% 19.3% 3.0% 0.5% 31.1M -679.2M -3.1M 0.49 3.02 N/A N/A 6,243 3,055 140,025 79,180 2019-07-09 $104.74 $105.00 18.6% 5.5% 18.0% 7.7% 19.6% 2.8% 0.9% 30.8M -688.0M -3.1M 0.90 3.21 N/A N/A 3,424 3,073 141,449 80,369 2019-07-10 $103.20 $105.00 19.2% 5.4% 19.2% 10.1% 20.1% 2.8% -0.1% 28.2M -591.6M -3.1M 0.77 2.69 N/A N/A 8,781 6,786 142,286 81,193 2019-07-11 $105.03 $105.00 18.1% 5.3% 19.8% 5.5% 19.1% 2.6% 0.5% 35.1M -716.6M -3.1M 0.81 2.92 N/A N/A 6,679 5,418 145,035 83,795 2019-07-12 $107.31 $105.00 18.6% 5.5% 19.9% 7.4% 19.3% 2.9% 0.9% 31.2M -856.7M -3.1M 0.62 4.01 N/A N/A 16,973 10,564 145,571 85,441 2019-07-15 $108.02 $105.00 18.0% 5.1% 19.5% 4.9% 18.9% 3.0% 8.4% 31.4M -869.9M -3.1M 0.62 2.52 N/A N/A 4,931 3,081 146,641 84,352 2019-07-16 $106.84 $105.00 19.1% 5.5% 20.2% 9.6% 18.7% 3.0% 7.6% 30.4M -792.1M -3.1M 0.98 3.22 N/A N/A 4,167 4,066 147,672 85,413 2019-07-17 $105.09 $105.00 19.0% 5.4% 21.1% 9.2% 18.8% 3.0% 8.5% 31.9M -676.6M -3.1M 0.78 2.63 N/A N/A 4,167 3,240 148,094 85,889 2019-07-18 $103.95 $105.00 20.9% 5.5% 21.4% 17.4% 19.3% 2.9% 9.2% 30.0M -589.7M -3.0M 0.93 3.52 N/A N/A 4,469 4,175 148,152 86,150 2019-07-19 $102.91 $105.00 22.6% 5.4% 19.2% 24.2% 19.9% 2.7% 9.5% 20.5M -524.5M -3.0M 0.98 6.26 N/A N/A 5,006 4,926 148,705 86,456 2019-07-22 $102.63 $105.00 26.8% 5.5% 19.1% 41.9% 20.1% 3.7% -1.1% 20.0M -314.0M -3.0M 0.73 3.19 N/A N/A 6,687 4,888 115,334 61,483 2019-07-23 $102.70 $105.00 28.3% 5.7% 17.6% 48.3% 19.8% 3.5% -1.1% 21.6M -350.2M -3.0M 0.37 3.24 N/A N/A 13,800 5,122 118,502 64,749 2019-07-24 $102.67 $105.00 29.9% 5.7% 17.1% 55.1% 20.2% 3.6% -1.2% 26.0M -356.5M -3.0M 1.12 3.82 N/A N/A 5,960 6,664 123,672 65,523 2019-07-25 $102.23 $105.00 30.0% 5.7% 17.0% 55.6% 19.7% 3.6% -1.5% 23.3M -336.3M -3.1M 0.84 3.08 N/A N/A 5,493 4,634 124,564 65,000 2019-07-26 $103.81 $105.00 29.9% 5.7% 17.7% 55.2% 19.7% 3.7% -1.4% 36.4M -430.8M -3.1M 0.56 3.50 N/A N/A 10,016 5,649 125,806 65,819 2019-07-29 $104.01 $105.00 30.3% 6.1% 17.2% 56.7% 20.4% 3.6% -1.5% 25.6M -444.8M -3.1M 0.24 3.13 N/A N/A 7,775 1,832 120,969 64,137 2019-07-30 $103.76 $105.00 30.6% 6.1% 16.8% 58.0% 20.7% 3.4% -1.8% 29.6M -438.5M -3.1M 0.28 3.18 N/A N/A 8,534 2,382 125,730 65,245 2019-07-31 $101.97 $105.00 31.6% 6.3% 18.0% 62.2% 21.7% 3.7% -1.6% 24.2M -332.2M -3.0M 0.43 5.32 N/A N/A 10,998 4,740 128,144 66,417
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