LOW Options History — June 2020 In June 2020, LOW traded between $124.24 and $135.41. ATM implied volatility averaged 33.9%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 4.4% (HV 20d: 29.6%). Max pain ranged from $108.00 to $120.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2020-06-17 : Highest Volume — 27,703 contracts2020-06-11 : Largest IV spike — 24.3% change2020-06-11 : Highest IV Rank — 19.5%2020-06-12 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $131.15 $124.24 $135.41 $129.58 $135.12 Max Pain $115.59 $108.00 $120.00 $108.00 $120.00 ATM IV 33.9% 29.4% 39.2% 32.8% 31.8% Expected Move 9.7% 8.5% 11.4% 9.5% 9.0% HV 20d 29.6% 24.4% 32.1% 25.7% 31.3% HV 60d 58.1% 36.3% 85.4% 85.4% 36.3% IV Rank 14.8% 10.8% 19.5% 13.8% 12.9% IV Percentile 67.1% 50.8% 77.4% 67.9% 59.5% Term Structure -0.1% -1.3% 1.7% -1.1% 0.2% VWIV 34.2% 29.4% 41.2% 34.3% 31.0% Skew 25d 7.1% 3.8% 13.9% 6.8% 10.5% Skew 10d 15.3% 9.3% 25.3% 11.7% 16.7% Call IV 25d 31.2% 26.2% 36.4% 30.0% 26.2% Put IV 25d 38.4% 33.9% 48.7% 36.8% 36.8% Bid-Ask Spread % 18.62 5.45 40.94 13.14 5.45 Gamma HHI 0.10 0.06 0.19 0.15 0.09 Net GEX 15.6M 2.3M 30.0M 19.6M 12.6M Net DEX -521.7M -798.2M -193.8M -636.7M -388.7M Net VEX -2.6M -2.9M -2.3M -2.3M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.21 1.23 0.78 0.72 Total Volume 14,528.318 7,015 27,703 11,728 9,160 Total OI 190,189.773 166,958 232,536 179,680 171,714
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 2020-06-01 $129.58 $108.00 32.8% 9.5% 25.7% 13.8% 34.3% 6.8% -1.1% 19.6M -636.7M -2.3M 0.78 13.14 N/A N/A 6,606 5,122 94,815 84,865 2020-06-02 $131.22 $110.00 32.6% 9.4% 25.1% 13.6% 32.5% 4.5% -1.3% 19.8M -694.5M -2.3M 0.36 5.66 N/A N/A 15,251 5,441 96,556 88,968 2020-06-03 $132.34 $110.00 30.7% 8.7% 24.4% 12.0% 31.7% 5.0% 0.1% 24.7M -757.5M -2.3M 0.36 23.90 N/A N/A 13,210 4,709 102,876 91,125 2020-06-04 $128.02 $115.00 31.1% 8.9% 28.7% 12.3% 31.3% 6.1% -0.6% 17.4M -545.0M -2.4M 0.61 8.50 N/A N/A 11,660 7,111 103,392 92,544 2020-06-05 $130.54 $115.00 29.4% 8.5% 28.7% 10.8% 29.4% 3.8% 0.2% 30.0M -690.6M -2.3M 0.43 40.33 N/A N/A 16,809 7,165 106,914 93,351 2020-06-08 $130.43 $115.00 31.2% 8.9% 28.6% 12.4% 32.4% 5.6% -0.1% 20.7M -643.2M -2.3M 0.21 13.12 N/A N/A 14,439 3,068 103,146 87,999 2020-06-09 $130.07 $115.00 32.0% 9.0% 28.7% 13.1% 32.1% 5.3% -1.0% 20.0M -607.3M -2.4M 0.65 9.82 N/A N/A 5,087 3,312 105,077 89,788 2020-06-10 $130.10 $115.00 31.6% 8.9% 27.0% 12.7% 32.4% 5.5% -1.0% 20.2M -603.8M -2.4M 0.65 40.94 N/A N/A 7,439 4,802 104,707 91,566 2020-06-11 $124.24 $115.00 39.2% 11.4% 32.0% 19.5% 40.2% 9.3% 1.5% 10.3M -345.1M -2.6M 1.19 33.37 N/A N/A 7,835 9,317 106,983 93,461 2020-06-12 $126.17 $115.00 38.5% 11.4% 32.1% 18.8% 41.2% 13.9% 1.7% 9.8M -421.2M -2.6M 1.23 37.26 N/A N/A 5,073 6,236 108,205 96,930 2020-06-15 $127.01 $115.00 38.9% 11.2% 30.8% 19.2% 37.3% 8.0% -1.1% 14.8M -469.4M -2.5M 0.40 27.34 N/A N/A 7,298 2,901 103,026 91,919 2020-06-16 $131.28 $115.00 35.7% 10.2% 30.4% 16.3% 35.8% 8.0% 0.7% 21.4M -641.8M -2.4M 0.66 40.63 N/A N/A 8,220 5,411 104,937 92,549 2020-06-17 $135.41 $115.00 35.5% 10.2% 31.5% 16.2% 34.4% 7.8% -0.1% 23.9M -798.2M -2.4M 0.41 15.45 N/A N/A 19,655 8,048 104,893 94,864 2020-06-18 $134.01 $115.00 35.0% 10.0% 32.0% 15.8% 34.8% 7.4% 0.4% 23.9M -726.0M -2.4M 0.65 18.13 N/A N/A 11,898 7,791 108,707 98,363 2020-06-19 $134.13 $115.00 33.7% 9.5% 31.0% 14.6% 33.6% 7.2% 1.1% 8.3M -716.7M -2.9M 0.62 15.42 N/A N/A 9,699 5,969 120,874 111,662 2020-06-22 $134.68 $115.00 33.7% 9.4% 30.9% 14.6% 32.2% 5.6% -0.7% 9.8M -373.3M -2.9M 0.76 8.40 N/A N/A 3,989 3,026 86,501 80,457 2020-06-23 $134.71 $120.00 32.9% 9.1% 30.8% 13.9% 32.5% 5.5% -1.3% 10.1M -376.4M -2.9M 0.99 7.33 N/A N/A 5,339 5,309 88,121 82,496 2020-06-24 $132.64 $120.00 35.1% 9.8% 29.6% 15.9% 34.6% 7.6% 0.3% 7.5M -303.0M -2.9M 0.60 9.62 N/A N/A 10,806 6,530 89,496 83,824 2020-06-25 $131.15 $120.00 34.6% 10.1% 30.0% 15.4% 35.3% 6.8% 1.6% 6.9M -245.7M -2.9M 0.39 7.52 N/A N/A 7,926 3,066 91,726 85,661 2020-06-26 $129.83 $120.00 37.1% 10.3% 30.0% 17.6% 38.5% 8.5% -1.3% 2.3M -193.8M -2.9M 0.70 13.73 N/A N/A 5,271 3,672 94,043 86,166 2020-06-29 $132.63 $120.00 33.7% 9.4% 30.9% 14.6% 34.8% 8.6% -0.4% 9.5M -298.7M -2.8M 0.85 14.52 N/A N/A 4,839 4,108 88,819 80,089 2020-06-30 $135.12 $120.00 31.8% 9.0% 31.3% 12.9% 31.0% 10.5% 0.2% 12.6M -388.7M -2.8M 0.72 5.45 N/A N/A 5,330 3,830 90,061 81,653
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