LOW Options History — September 2019 In September 2019, LOW traded between $109.66 and $114.94. ATM implied volatility averaged 21.6%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 10.4% (HV 20d: 32.0%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.16.
Notable Days 2019-09-27 : Highest Volume — 32,967 contracts2019-09-24 : Largest IV spike — 9.9% change2019-09-03 : Highest IV Rank — 34.6%2019-09-03 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $112.31 $109.66 $114.94 $111.29 $109.85 Max Pain $100.75 $100.00 $105.00 $105.00 $105.00 ATM IV 21.6% 19.7% 25.0% 25.0% 22.2% Expected Move 6.1% 5.6% 7.3% 7.3% 6.2% HV 20d 32.0% 13.2% 42.9% 42.5% 13.2% HV 60d 29.0% 28.4% 29.6% 29.3% 28.4% IV Rank 17.9% 10.2% 34.6% 34.6% 18.9% IV Percentile 26.8% 16.7% 45.2% 45.2% 29.8% Term Structure 0.2% -0.7% 1.6% -0.3% 0.2% VWIV 22.6% 18.4% 27.0% 25.5% 21.7% Skew 25d 3.6% 2.8% 4.4% 4.4% 4.0% Skew 10d 7.3% 5.9% 8.4% 7.4% 7.5% Call IV 25d 20.1% 18.2% 23.0% 23.0% 20.6% Put IV 25d 23.7% 21.5% 27.4% 27.4% 24.5% Bid-Ask Spread % 3.38 2.61 4.41 4.03 3.05 Gamma HHI 0.14 0.12 0.18 0.12 0.16 Net GEX 28.8M 25.0M 34.9M 27.9M 26.7M Net DEX -865.4M -1.10B -581.6M -857.3M -595.5M Net VEX -2.5M -3.0M -2.3M -2.9M -3.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.16 0.13 2.07 1.27 0.70 Total Volume 13,220.3 5,681 32,967 19,508 5,681 Total OI 232,946.05 211,058 243,172 231,907 235,194
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 2019-09-03 $111.29 $105.00 25.0% 7.3% 42.5% 34.6% 25.5% 4.4% -0.3% 27.9M -857.3M -2.9M 1.27 4.03 N/A N/A 8,578 10,930 140,674 91,233 2019-09-04 $111.85 $105.00 22.9% 6.8% 42.5% 23.9% 23.8% 4.0% 0.4% 26.2M -900.0M -2.8M 0.99 3.08 N/A N/A 7,803 7,707 142,715 95,804 2019-09-05 $114.46 $100.00 22.3% 6.3% 42.9% 21.5% 23.1% 3.7% 0.1% 31.4M -1.09B -2.6M 0.75 3.44 N/A N/A 8,795 6,572 143,700 93,823 2019-09-06 $114.70 $100.00 21.8% 6.3% 42.8% 19.2% 23.3% 2.8% 0.2% 34.9M -1.10B -2.6M 0.48 3.85 N/A N/A 9,736 4,700 144,786 94,894 2019-09-09 $114.88 $100.00 21.8% 6.4% 42.2% 19.5% 23.0% 3.6% 0.8% 30.7M -1.04B -2.5M 0.84 3.31 N/A N/A 4,580 3,863 139,968 89,327 2019-09-10 $114.94 $100.00 22.1% 6.4% 40.2% 20.8% 23.3% 3.4% 0.2% 32.3M -1.06B -2.5M 1.31 3.19 N/A N/A 4,608 6,027 142,095 90,294 2019-09-11 $113.26 $100.00 21.4% 6.0% 41.1% 17.8% 22.2% 3.2% -0.7% 29.5M -950.2M -2.5M 1.78 3.05 N/A N/A 4,477 7,988 142,611 92,715 2019-09-12 $114.27 $100.00 20.3% 5.9% 38.8% 13.1% 21.9% 2.9% -0.0% 33.0M -1.01B -2.4M 1.45 2.61 N/A N/A 3,084 4,474 143,551 94,154 2019-09-13 $113.42 $100.00 19.7% 5.6% 38.9% 10.3% 21.8% 2.8% -0.1% 28.9M -967.3M -2.4M 1.53 3.06 N/A N/A 3,990 6,112 144,520 95,526 2019-09-16 $112.60 $100.00 20.3% 5.8% 39.4% 13.0% 22.1% 3.6% 1.0% 29.3M -893.6M -2.4M 0.86 2.87 N/A N/A 3,527 3,040 138,687 91,340 2019-09-17 $112.67 $100.00 20.0% 5.7% 39.4% 11.8% 21.2% 3.5% 1.3% 29.5M -901.9M -2.4M 2.05 3.05 N/A N/A 2,000 4,091 139,498 92,475 2019-09-18 $112.69 $100.00 19.7% 5.6% 38.7% 10.2% 21.3% 3.6% 1.6% 28.7M -912.8M -2.3M 1.90 4.18 N/A N/A 2,543 4,823 140,172 93,096 2019-09-19 $111.84 $100.00 20.2% 5.8% 21.2% 12.5% 18.4% 3.5% -0.1% 27.7M -864.4M -2.3M 1.07 3.28 N/A N/A 5,526 5,932 140,747 95,226 2019-09-20 $111.49 $100.00 21.0% 6.0% 21.3% 16.0% 19.8% 3.4% 0.7% 26.6M -841.7M -2.4M 1.60 3.34 N/A N/A 3,772 6,017 144,283 98,889 2019-09-23 $110.69 $100.00 21.0% 5.8% 20.3% 16.0% 20.5% 3.5% 0.1% 26.9M -698.5M -2.3M 0.83 2.87 N/A N/A 6,394 5,326 129,322 81,736 2019-09-24 $110.08 $100.00 23.1% 6.4% 20.3% 22.5% 21.8% 3.7% -0.5% 26.4M -651.5M -2.5M 1.28 3.13 N/A N/A 4,752 6,081 134,326 86,127 2019-09-25 $110.81 $100.00 22.0% 6.0% 20.4% 17.7% 24.8% 3.6% -0.1% 28.2M -708.6M -2.5M 2.07 4.35 N/A N/A 6,009 12,420 136,253 86,031 2019-09-26 $110.84 $100.00 21.8% 6.0% 19.5% 17.1% 27.0% 3.9% 0.1% 26.0M -685.8M -2.6M 0.13 3.39 N/A N/A 25,984 3,497 139,173 95,076 2019-09-27 $109.66 $100.00 22.8% 6.3% 13.3% 21.5% 26.4% 4.1% 0.1% 25.0M -581.6M -2.9M 0.24 4.41 N/A N/A 26,630 6,337 142,467 96,413 2019-09-30 $109.85 $105.00 22.2% 6.2% 13.2% 18.9% 21.7% 4.0% 0.2% 26.7M -595.5M -3.0M 0.70 3.05 N/A N/A 3,336 2,345 140,833 94,361
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