LOW Options History — March 2020 In March 2020, LOW traded between $62.32 and $113.06. ATM implied volatility averaged 70.0%, placing in the 70.4% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded below realized volatility by 21.1% (HV 20d: 91.1%). Max pain ranged from $100.00 to $118.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.96.
Notable Days 2020-03-02 : Highest Volume — 13,373 contracts2020-03-12 : Largest IV spike — 42.3% change2020-03-06 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 37.5%Monthly Statistics Metric Avg Min Max Open Close Price $88.90 $62.32 $113.06 $109.72 $86.15 Max Pain $102.41 $100.00 $118.00 $118.00 $100.00 ATM IV 70.0% 32.2% 130.9% 33.8% 62.7% Expected Move 19.9% 9.1% 37.5% 10.5% 14.2% HV 20d 91.1% 42.7% 137.5% 43.0% 134.9% HV 60d 55.9% 27.3% 81.4% 27.4% 81.4% IV Rank 70.4% 40.1% 100.0% 53.4% 40.1% IV Percentile 97.3% 87.3% 100.0% 89.3% 94.4% Term Structure -3.2% -18.2% 7.0% -1.1% -4.4% VWIV 70.5% 33.2% 109.2% 39.6% 69.0% Skew 25d 22.8% 9.8% 42.7% 10.6% 28.4% Skew 10d 40.4% 14.1% 86.2% 18.3% 34.2% Call IV 25d 57.9% 27.6% 105.8% 30.0% 48.2% Put IV 25d 80.7% 37.6% 148.4% 40.6% 76.6% Bid-Ask Spread % 42.31 10.81 89.00 10.81 74.56 Gamma HHI 0.12 0.06 0.24 0.11 0.20 Net GEX 2.0M -939.7K 10.8M 5.6M 1.0M Net DEX 177.1M -170.5M 358.7M -44.5M 222.1M Net VEX -1.7M -2.5M -732.4K -2.4M -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.22 3.20 0.63 0.35 Total Volume 8,174.909 5,201 13,373 13,373 6,124 Total OI 180,876.864 164,993 189,476 178,399 178,467
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 2020-03-02 $109.72 $118.00 33.8% 10.5% 43.0% 53.4% 39.6% 10.6% -1.1% 5.6M -44.5M -2.4M 0.63 10.81 N/A N/A 8,202 5,171 109,715 68,684 2020-03-03 $109.63 $118.00 35.8% 11.2% 42.7% 59.8% 39.8% 14.2% 0.1% 6.0M -41.9M -2.4M 0.58 20.04 N/A N/A 6,134 3,575 112,902 70,716 2020-03-04 $113.06 $117.00 32.2% 9.1% 43.8% 48.2% 33.2% 9.8% -1.8% 10.8M -170.5M -2.5M 0.44 13.08 N/A N/A 5,314 2,363 115,746 71,260 2020-03-05 $107.47 $100.00 42.4% 12.1% 46.0% 80.9% 41.9% 13.0% -2.4% 5.0M -3.0M -2.5M 1.54 19.12 N/A N/A 2,866 4,415 115,923 71,759 2020-03-06 $104.72 $100.00 53.5% 13.4% 46.5% 100.0% 50.0% 19.8% -4.5% 2.9M 61.8M -2.5M 1.80 27.13 N/A N/A 3,805 6,833 116,845 72,631 2020-03-09 $95.47 $100.00 63.9% 17.9% 55.3% 100.0% 56.1% 18.8% 1.8% 891.1K 226.4M -2.1M 0.94 20.05 N/A N/A 3,014 2,820 108,415 72,579 2020-03-10 $103.09 $100.00 53.8% 15.2% 63.7% 78.4% 55.5% 16.3% -0.1% 2.3M 87.1M -2.4M 0.96 22.78 N/A N/A 4,266 4,103 108,734 72,591 2020-03-11 $99.25 $100.00 56.3% 16.4% 63.8% 83.6% 67.1% 17.5% 0.1% 1.5M 150.2M -2.3M 0.63 19.83 N/A N/A 5,506 3,462 109,809 73,330 2020-03-12 $91.77 $100.00 80.0% 22.6% 67.1% 100.0% 87.7% 23.6% 2.3% 1.1M 231.3M -2.1M 3.20 29.22 N/A N/A 1,896 6,064 112,718 73,552 2020-03-13 $93.17 $100.00 79.0% 20.9% 67.9% 98.4% 74.9% 28.6% -9.7% 1.2M 228.5M -2.0M 0.80 29.66 N/A N/A 5,587 4,471 113,144 72,606 2020-03-16 $75.40 $100.00 108.0% 30.6% 97.0% 100.0% 98.1% 33.5% -10.2% -125.3K 333.1M -1.3M 0.83 43.99 N/A N/A 3,551 2,934 111,762 71,468 2020-03-17 $72.97 $100.00 101.9% 29.2% 96.9% 93.3% 95.2% 39.1% -2.5% -490.9K 358.7M -1.0M 0.46 33.72 N/A N/A 5,660 2,590 113,468 71,270 2020-03-18 $62.32 $100.00 130.9% 37.5% 106.9% 100.0% 109.2% 42.7% -12.1% -518.9K 330.8M -750.2K 1.30 41.75 N/A N/A 5,797 7,530 115,488 69,166 2020-03-19 $69.74 $100.00 96.5% 28.4% 117.3% 69.8% 91.9% 38.0% -18.2% -274.9K 313.7M -1.1M 0.68 63.65 N/A N/A 5,818 3,944 117,678 70,328 2020-03-20 $67.58 $100.00 71.0% 20.3% 117.1% 47.4% 84.6% 24.7% 7.0% -939.7K 352.2M -770.3K 1.19 89.00 N/A N/A 2,674 3,169 116,267 70,595 2020-03-23 $67.53 $100.00 75.0% 23.7% 117.4% 50.9% 86.2% 24.7% 2.4% -819.7K 311.5M -732.4K 0.75 54.81 N/A N/A 2,971 2,230 100,502 64,491 2020-03-24 $76.87 $100.00 70.4% 19.1% 130.3% 46.9% 73.6% 13.1% -6.1% -244.6K 286.2M -1.1M 0.77 68.47 N/A N/A 3,833 2,935 101,322 65,376 2020-03-25 $85.06 $100.00 76.4% 23.0% 137.1% 52.2% 79.0% 13.5% -4.7% 1.4M 190.5M -1.6M 0.60 65.74 N/A N/A 5,401 3,222 102,714 66,970 2020-03-26 $87.81 $100.00 71.3% 21.4% 137.5% 47.7% 66.6% 29.6% -0.1% 1.9M 170.7M -1.7M 0.22 64.19 N/A N/A 5,760 1,245 105,014 69,232 2020-03-27 $87.94 $100.00 73.7% 21.9% 136.7% 49.7% 72.8% 17.4% 0.2% 1.9M 148.6M -1.8M 0.56 57.11 N/A N/A 4,674 2,601 108,665 69,725 2020-03-30 $89.05 $100.00 72.0% 20.4% 134.7% 48.3% 78.5% 25.4% -7.2% 2.7M 151.7M -1.8M 1.99 62.05 N/A N/A 1,780 3,538 107,673 67,991 2020-03-31 $86.15 $100.00 62.7% 14.2% 134.9% 40.1% 69.0% 28.4% -4.4% 1.0M 222.1M -1.5M 0.35 74.56 N/A N/A 4,521 1,603 108,481 69,986
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