LOW Options History — October 2019 In October 2019, LOW traded between $106.08 and $112.94. ATM implied volatility averaged 25.6%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 8.1% (HV 20d: 17.5%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.10.
Notable Days 2019-10-10 : Highest Volume — 20,759 contracts2019-10-21 : Largest IV spike — 18.7% change2019-10-29 : Highest IV Rank — 53.9%2019-10-02 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $110.14 $106.08 $112.94 $109.62 $111.31 Max Pain $109.57 $105.00 $110.00 $105.00 $110.00 ATM IV 25.6% 21.5% 30.2% 23.1% 29.5% Expected Move 6.4% 5.5% 7.5% 6.5% 5.9% HV 20d 17.5% 12.7% 21.0% 13.0% 19.0% HV 60d 28.7% 28.4% 29.0% 28.4% 28.6% IV Rank 33.8% 15.4% 53.9% 22.6% 50.9% IV Percentile 47.2% 20.6% 73.0% 36.9% 68.7% Term Structure 1.2% -2.2% 9.5% 0.1% -1.2% VWIV 22.2% 19.5% 27.8% 23.6% 20.7% Skew 25d 4.4% 3.5% 5.1% 4.2% 4.6% Skew 10d 9.1% 7.0% 13.9% 8.6% 9.5% Call IV 25d 23.6% 18.2% 27.4% 21.7% 27.3% Put IV 25d 27.9% 21.7% 32.1% 25.9% 31.9% Bid-Ask Spread % 4.13 2.59 10.97 3.75 4.25 Gamma HHI 0.16 0.13 0.20 0.15 0.14 Net GEX 22.9M 10.9M 35.2M 26.5M 14.3M Net DEX -530.7M -934.4M -300.0M -575.1M -408.3M Net VEX -2.8M -3.2M -2.6M -3.1M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.24 2.52 0.65 1.61 Total Volume 10,013.304 4,719 20,759 9,693 15,277 Total OI 231,602.957 176,923 276,133 237,684 191,823
Daily Data (23 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 2019-10-01 $109.62 $105.00 23.1% 6.5% 13.0% 22.6% 23.6% 4.2% 0.1% 26.5M -575.1M -3.1M 0.65 3.75 N/A N/A 5,859 3,834 142,159 95,525 2019-10-02 $106.64 $105.00 25.6% 7.5% 15.9% 33.9% 26.9% 4.6% 0.1% 21.7M -357.3M -3.1M 2.42 4.24 N/A N/A 5,323 12,865 144,048 96,909 2019-10-03 $106.08 $110.00 25.2% 7.4% 12.7% 31.9% 26.2% 4.3% 0.3% 19.5M -300.0M -3.2M 1.59 3.97 N/A N/A 4,335 6,878 144,696 104,723 2019-10-04 $107.26 $110.00 23.4% 7.0% 13.7% 24.0% 22.7% 4.5% -0.1% 24.3M -385.4M -3.1M 1.02 3.87 N/A N/A 9,437 9,635 146,366 107,624 2019-10-07 $108.31 $110.00 23.1% 6.5% 14.3% 22.8% 23.2% 4.2% -0.1% 26.3M -493.3M -3.1M 0.86 4.19 N/A N/A 2,532 2,187 147,517 110,092 2019-10-08 $107.07 $110.00 24.8% 7.5% 14.6% 30.2% 24.8% 5.1% 1.6% 25.4M -394.0M -3.1M 0.95 4.54 N/A N/A 3,987 3,776 148,393 110,934 2019-10-09 $106.67 $110.00 24.4% 7.2% 14.0% 28.4% 23.7% 4.3% 0.7% 26.3M -367.3M -3.0M 1.49 10.97 N/A N/A 4,134 6,179 150,009 112,629 2019-10-10 $108.11 $110.00 24.5% 6.8% 14.6% 28.8% 27.8% 4.7% -0.8% 28.6M -510.0M -3.0M 2.52 3.15 N/A N/A 5,904 14,855 150,203 112,026 2019-10-11 $111.26 $110.00 22.9% 6.7% 18.2% 22.0% 24.2% 4.6% 0.4% 35.2M -807.7M -2.9M 1.24 8.69 N/A N/A 5,123 6,331 151,808 121,352 2019-10-14 $110.36 $110.00 22.4% 6.4% 18.3% 19.4% 21.2% 4.4% 7.6% 30.9M -735.9M -2.8M 0.24 3.65 N/A N/A 4,455 1,055 148,264 120,112 2019-10-15 $112.44 $110.00 22.0% 6.3% 19.6% 17.9% 21.4% 4.1% 7.5% 33.0M -902.0M -2.7M 0.50 2.90 N/A N/A 8,137 4,047 150,396 120,497 2019-10-16 $112.42 $110.00 21.5% 6.2% 19.6% 15.4% 21.1% 4.4% 7.8% 33.0M -853.0M -2.7M 0.49 3.57 N/A N/A 4,610 2,237 150,747 121,822 2019-10-17 $112.44 $110.00 21.8% 5.8% 19.4% 16.9% 19.8% 3.5% 7.9% 25.4M -891.8M -2.6M 0.39 3.55 N/A N/A 5,553 2,178 151,863 122,939 2019-10-18 $112.94 $110.00 22.9% 5.5% 19.4% 21.6% 20.7% 3.7% 9.5% 29.9M -934.4M -2.6M 0.85 3.52 N/A N/A 5,029 4,263 152,356 123,777 2019-10-21 $112.06 $110.00 27.1% 5.7% 19.4% 40.5% 20.4% 4.5% -1.7% 18.2M -452.6M -2.6M 0.67 2.74 N/A N/A 7,860 5,243 101,069 75,854 2019-10-22 $112.47 $110.00 28.8% 6.0% 19.3% 47.7% 20.5% 4.4% -1.9% 19.9M -468.7M -2.6M 0.64 3.62 N/A N/A 5,935 3,791 101,836 78,859 2019-10-23 $111.31 $110.00 29.9% 5.9% 19.6% 52.6% 20.8% 4.5% -2.0% 16.1M -409.9M -2.6M 0.94 2.59 N/A N/A 3,647 3,425 103,421 80,266 2019-10-24 $110.76 $110.00 29.3% 5.7% 19.7% 50.1% 19.8% 4.9% -2.0% 10.9M -379.6M -2.7M 0.89 3.63 N/A N/A 2,711 2,425 105,488 81,904 2019-10-25 $111.87 $110.00 29.0% 5.6% 19.6% 48.7% 19.5% 4.1% -2.2% 17.5M -440.3M -2.7M 1.44 2.91 N/A N/A 2,413 3,471 106,449 82,905 2019-10-28 $111.52 $110.00 28.9% 5.8% 19.6% 48.3% 20.5% 4.3% -1.2% 17.1M -425.5M -2.6M 0.63 3.34 N/A N/A 3,175 1,990 102,585 80,157 2019-10-29 $109.26 $110.00 30.2% 6.3% 21.0% 53.9% 21.5% 4.5% -1.1% 10.9M -311.7M -2.7M 1.76 3.49 N/A N/A 2,837 4,988 104,391 81,230 2019-10-30 $111.15 $110.00 29.1% 5.8% 19.2% 49.4% 20.5% 4.3% -1.4% 15.9M -403.3M -2.6M 1.46 3.84 N/A N/A 2,597 3,783 104,917 83,928 2019-10-31 $111.31 $110.00 29.5% 5.9% 19.0% 50.9% 20.7% 4.6% -1.2% 14.3M -408.3M -2.6M 1.61 4.25 N/A N/A 5,852 9,425 106,252 85,571
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