LOW Options History — April 2020 In April 2020, LOW traded between $79.60 and $106.53. ATM implied volatility averaged 54.1%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 42.0% (HV 20d: 96.1%). Max pain ranged from $80.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.75.
Notable Days 2020-04-15 : Highest Volume — 31,078 contracts2020-04-08 : Largest IV drop — 24.6% change2020-04-01 : Highest IV Rank — 43.0%2020-04-01 : Largest Expected Move — 21.0%Monthly Statistics Metric Avg Min Max Open Close Price $94.74 $79.60 $106.53 $79.60 $104.67 Max Pain $87.83 $80.00 $100.00 $100.00 $91.00 ATM IV 54.1% 43.5% 66.0% 66.0% 49.4% Expected Move 14.1% 9.9% 21.0% 21.0% 10.7% HV 20d 96.1% 48.2% 136.8% 135.9% 48.2% HV 60d 86.2% 82.8% 88.0% 82.8% 87.9% IV Rank 32.5% 23.2% 43.0% 43.0% 28.4% IV Percentile 90.8% 86.5% 94.8% 94.8% 87.7% Term Structure 1.2% -14.3% 15.3% 5.4% -3.6% VWIV 50.4% 35.6% 71.4% 71.4% 38.1% Skew 25d 13.6% 2.7% 32.0% 2.7% 3.8% Skew 10d 31.6% 9.2% 48.0% 35.1% 27.8% Call IV 25d 46.0% 25.8% 67.7% 67.7% 49.9% Put IV 25d 59.6% 44.3% 73.3% 70.4% 53.7% Bid-Ask Spread % 25.04 9.95 56.88 56.88 18.82 Gamma HHI 0.14 0.04 0.50 0.09 0.07 Net GEX 5.3M 129.8K 16.9M 129.8K 7.4M Net DEX 25.1M -200.9M 267.8M 267.8M -166.9M Net VEX -1.8M -2.1M -1.3M -1.3M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.13 1.51 1.48 0.93 Total Volume 9,017.286 3,787 31,078 5,074 5,107 Total OI 167,967.905 125,535 201,290 182,440 147,781
Daily Data (21 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 2020-04-01 $79.60 $100.00 66.0% 21.0% 135.9% 43.0% 71.4% 2.7% 5.4% 129.8K 267.8M -1.3M 1.48 56.88 N/A N/A 2,047 3,027 111,801 70,639 2020-04-02 $82.35 $80.00 65.2% 18.0% 136.5% 42.3% 61.3% 24.8% -1.4% 658.1K 248.5M -1.4M 0.69 34.33 N/A N/A 2,690 1,857 112,694 71,827 2020-04-03 $81.76 $80.00 62.6% 17.7% 136.4% 40.0% 59.3% 13.8% 4.2% 623.1K 246.6M -1.4M 0.76 32.76 N/A N/A 3,146 2,376 114,336 71,805 2020-04-06 $88.62 $80.00 58.4% 14.8% 136.8% 36.3% 48.0% 32.0% -7.0% 2.5M 186.7M -1.5M 0.27 28.48 N/A N/A 9,732 2,623 111,457 72,067 2020-04-07 $92.27 $80.00 57.7% 14.6% 134.5% 35.7% 53.8% 23.2% -8.5% 7.2M 69.0M -1.8M 1.03 41.44 N/A N/A 5,194 5,354 117,354 73,241 2020-04-08 $94.18 $87.50 43.5% 13.7% 134.3% 23.2% 53.1% 14.9% 6.5% 9.6M 31.9M -1.9M 1.51 19.78 N/A N/A 2,605 3,921 119,160 74,951 2020-04-09 $95.60 $87.50 49.1% 13.7% 131.3% 28.1% 48.1% 11.4% 2.1% 10.3M -9.3M -1.9M 0.61 36.42 N/A N/A 3,467 2,106 120,230 77,818 2020-04-13 $95.48 $87.50 50.3% 14.3% 131.3% 29.2% 51.9% 13.6% 8.0% 10.4M 10.2M -1.8M 0.52 37.14 N/A N/A 2,897 1,519 118,394 75,615 2020-04-14 $99.17 $87.50 45.4% 12.8% 104.8% 24.9% 51.7% 11.8% 11.7% 16.9M -121.7M -1.9M 1.22 26.32 N/A N/A 4,223 5,156 119,953 76,279 2020-04-15 $94.51 $87.50 49.7% 14.3% 105.8% 28.7% 52.6% 13.6% 13.0% 9.2M 52.1M -1.8M 0.13 33.44 N/A N/A 27,520 3,558 121,574 79,716 2020-04-16 $92.74 $87.50 53.1% 14.7% 85.7% 31.6% 50.0% 13.3% 10.0% 2.3M 102.8M -1.7M 1.08 19.31 N/A N/A 3,923 4,248 104,802 80,847 2020-04-17 $96.58 $87.50 52.5% 13.7% 78.9% 31.1% 48.3% 12.3% 15.3% 2.8M 16.7M -1.8M 0.56 20.38 N/A N/A 6,932 3,895 106,051 82,769 2020-04-20 $95.69 $90.00 61.9% 14.3% 77.5% 39.4% 50.1% 12.2% -7.6% 1.9M 15.1M -1.8M 0.66 13.51 N/A N/A 7,553 4,959 64,949 60,586 2020-04-21 $92.77 $90.00 59.0% 15.6% 79.2% 36.8% 55.6% 15.5% 2.2% 641.4K 77.2M -1.8M 0.73 17.42 N/A N/A 3,347 2,458 69,093 64,841 2020-04-22 $95.56 $90.00 59.8% 14.1% 67.2% 37.5% 49.5% 24.2% -14.3% 2.2M 18.6M -1.9M 0.44 14.34 N/A N/A 3,509 1,529 71,241 65,917 2020-04-23 $95.49 $90.00 58.6% 13.6% 58.2% 36.5% 52.5% 15.2% -4.1% 2.9M 18.6M -1.9M 0.90 18.19 N/A N/A 1,995 1,792 73,326 67,216 2020-04-24 $99.37 $90.00 48.3% 12.2% 58.7% 27.5% 41.8% 7.2% 2.1% 4.5M -76.1M -1.9M 0.28 11.23 N/A N/A 10,083 2,790 74,270 68,403 2020-04-27 $102.34 $90.00 48.2% 11.4% 59.2% 27.3% 42.9% 8.4% -2.3% 5.0M -109.0M -2.0M 0.53 9.96 N/A N/A 7,139 3,772 69,854 63,124 2020-04-28 $104.17 $90.00 48.8% 11.1% 59.3% 27.9% 41.6% 8.7% -3.2% 6.8M -151.6M -2.0M 1.05 9.95 N/A N/A 4,881 5,125 73,037 64,976 2020-04-29 $106.53 $91.00 48.4% 9.9% 57.5% 27.5% 35.6% 3.7% -3.9% 7.2M -200.9M -2.1M 0.45 25.82 N/A N/A 6,413 2,895 74,115 69,217 2020-04-30 $104.67 $91.00 49.4% 10.7% 48.2% 28.4% 38.1% 3.8% -3.6% 7.4M -166.9M -2.1M 0.93 18.82 N/A N/A 2,653 2,454 77,489 70,292
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