LOW Options History — May 2020 In May 2020, LOW traded between $104.15 and $129.50. ATM implied volatility averaged 41.8%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 7.1% (HV 20d: 34.7%). Max pain ranged from $92.50 to $108.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.38.
Notable Days 2020-05-20 : Highest Volume — 97,118 contracts2020-05-20 : Largest IV drop — 11.8% change2020-05-15 : Highest IV Rank — 28.1%2020-05-14 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $115.92 $104.15 $129.50 $104.15 $129.50 Max Pain $104.17 $92.50 $108.00 $92.50 $108.00 ATM IV 41.8% 30.0% 49.1% 49.1% 30.9% Expected Move 11.6% 8.8% 13.9% 11.8% 9.1% HV 20d 34.7% 26.1% 48.0% 48.0% 26.1% HV 60d 87.9% 86.2% 88.7% 87.8% 86.2% IV Rank 21.7% 11.4% 28.1% 28.1% 12.1% IV Percentile 77.7% 56.7% 87.3% 86.9% 63.1% Term Structure -2.4% -7.8% 1.2% -7.8% -0.6% VWIV 39.8% 30.9% 48.0% 43.9% 30.9% Skew 25d 4.9% -7.6% 15.8% -7.6% 5.9% Skew 10d 14.9% -6.3% 31.3% 31.3% 12.0% Call IV 25d 38.7% 28.1% 51.8% 51.8% 28.3% Put IV 25d 43.6% 34.1% 60.5% 44.3% 34.2% Bid-Ask Spread % 21.51 5.43 43.87 11.16 12.15 Gamma HHI 0.17 0.07 0.45 0.07 0.23 Net GEX 23.7M 4.5M 68.1M 4.5M 23.2M Net DEX -473.8M -881.3M -148.7M -148.7M -708.7M Net VEX -2.4M -2.6M -2.1M -2.1M -2.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.09 0.78 0.73 0.28 Total Volume 29,334.45 6,204 97,118 7,754 29,956 Total OI 190,567.95 148,046 247,589 150,234 198,177
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 2020-05-01 $104.15 $92.50 49.1% 11.8% 48.0% 28.1% 43.9% -7.6% -7.8% 4.5M -148.7M -2.1M 0.73 11.16 N/A N/A 4,490 3,264 78,426 71,808 2020-05-04 $106.89 $100.00 48.0% 13.7% 47.7% 27.2% 43.9% 5.7% -1.9% 5.7M -203.5M -2.1M 0.78 20.08 N/A N/A 3,495 2,709 77,191 70,855 2020-05-05 $109.71 $100.00 48.4% 13.1% 40.9% 27.5% 44.7% -4.4% -1.4% 6.9M -277.6M -2.2M 0.30 20.94 N/A N/A 7,548 2,300 78,730 72,333 2020-05-06 $110.03 $105.00 46.2% 13.2% 39.5% 25.6% 44.6% 5.3% -1.9% 7.2M -279.8M -2.2M 0.48 17.18 N/A N/A 5,950 2,828 79,615 73,359 2020-05-07 $112.09 $105.00 47.7% 12.9% 39.4% 26.9% 42.7% 3.8% -4.4% 8.9M -333.9M -2.2M 0.23 19.81 N/A N/A 12,296 2,847 81,993 75,326 2020-05-08 $114.05 $105.00 43.5% 11.7% 39.5% 23.2% 38.3% 4.9% -7.7% 9.9M -383.7M -2.3M 0.09 43.87 N/A N/A 38,843 3,592 85,986 76,615 2020-05-11 $113.78 $105.00 46.0% 11.9% 39.5% 25.4% 41.0% 7.5% -7.1% 19.9M -471.0M -2.4M 0.16 33.77 N/A N/A 15,154 2,365 112,574 75,623 2020-05-12 $111.52 $105.00 44.8% 12.5% 39.2% 24.4% 40.4% -1.9% -0.8% 19.6M -406.3M -2.5M 0.33 25.04 N/A N/A 10,732 3,582 123,029 76,803 2020-05-13 $109.61 $105.00 47.9% 13.6% 34.8% 27.1% 46.1% 5.3% -1.2% 16.7M -343.8M -2.5M 0.32 30.12 N/A N/A 11,654 3,688 126,776 79,206 2020-05-14 $109.80 $105.00 48.3% 13.9% 33.5% 27.4% 46.1% 3.8% -2.3% 17.8M -346.4M -2.5M 0.22 37.41 N/A N/A 15,849 3,558 129,156 80,346 2020-05-15 $113.27 $105.00 49.1% 13.1% 32.5% 28.1% 48.0% 15.8% -4.9% 24.2M -507.9M -2.6M 0.39 36.11 N/A N/A 15,733 6,114 135,510 82,678 2020-05-18 $117.51 $105.00 45.5% 12.9% 33.3% 25.0% 43.3% 7.8% -5.4% 25.0M -536.4M -2.6M 0.32 31.67 N/A N/A 33,624 10,657 118,672 69,935 2020-05-19 $117.28 $105.00 41.2% 11.7% 30.0% 21.2% 40.7% 6.8% -3.0% 30.4M -525.9M -2.6M 0.54 15.41 N/A N/A 49,941 26,899 127,246 77,996 2020-05-20 $117.19 $105.00 36.4% 10.4% 29.5% 17.0% 35.6% 6.6% 1.0% 42.9M -490.8M -2.6M 0.50 24.56 N/A N/A 64,795 32,323 139,666 95,683 2020-05-21 $120.55 $105.00 34.1% 9.8% 29.9% 14.9% 34.4% 6.2% -0.3% 65.5M -751.5M -2.6M 0.37 17.63 N/A N/A 33,522 12,335 148,280 99,309 2020-05-22 $122.10 $105.00 33.5% 9.5% 28.0% 14.4% 34.2% 6.7% 0.8% 68.1M -881.3M -2.4M 0.42 6.86 N/A N/A 23,845 10,092 144,395 98,666 2020-05-26 $123.59 $105.00 32.3% 9.2% 27.1% 13.3% 32.8% 5.8% 1.2% 22.5M -526.1M -2.4M 0.30 8.00 N/A N/A 17,679 5,317 97,858 80,267 2020-05-27 $127.73 $105.00 30.0% 8.8% 28.2% 11.4% 32.2% 7.2% 0.3% 27.3M -677.7M -2.3M 0.49 5.43 N/A N/A 16,143 7,833 99,406 83,591 2020-05-28 $127.97 $108.00 32.6% 9.3% 28.0% 13.7% 32.8% 6.5% -0.5% 27.5M -675.8M -2.3M 0.31 13.07 N/A N/A 25,292 7,845 99,720 88,554 2020-05-29 $129.50 $108.00 30.9% 9.1% 26.1% 12.1% 30.9% 5.9% -0.6% 23.2M -708.7M -2.3M 0.28 12.15 N/A N/A 23,458 6,498 106,315 91,862
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