LOW Options History — August 2020 In August 2020, LOW traded between $149.50 and $170.01. ATM implied volatility averaged 32.2%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 14.8% (HV 20d: 17.3%). Max pain ranged from $135.00 to $145.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.38.
Notable Days 2020-08-19 : Highest Volume — 83,651 contracts2020-08-19 : Largest IV drop — 17.3% change2020-08-12 : Highest IV Rank — 18.0%2020-08-05 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $158.20 $149.50 $170.01 $150.54 $164.75 Max Pain $139.29 $135.00 $145.00 $135.00 $145.00 ATM IV 32.2% 25.6% 37.6% 36.1% 29.6% Expected Move 9.1% 7.2% 11.4% 11.1% 8.2% HV 20d 17.3% 15.1% 20.5% 16.0% 20.3% HV 60d 23.0% 21.7% 24.7% 24.7% 21.7% IV Rank 13.3% 7.5% 18.0% 16.7% 11.0% IV Percentile 55.6% 32.9% 75.4% 72.2% 39.7% Term Structure -0.7% -2.5% 1.6% -2.5% 0.6% VWIV 32.1% 25.6% 39.4% 38.9% 29.4% Skew 25d 3.8% 1.9% 6.3% 6.2% 3.1% Skew 10d 7.7% 4.0% 12.7% 11.7% 5.5% Call IV 25d 31.1% 24.4% 37.5% 33.1% 29.9% Put IV 25d 34.9% 27.7% 41.8% 39.3% 33.0% Bid-Ask Spread % 18.54 3.02 36.96 22.94 4.25 Gamma HHI 0.12 0.08 0.27 0.08 0.13 Net GEX 31.9M 14.4M 68.9M 15.0M 28.5M Net DEX -935.4M -1.29B -673.6M -713.2M -782.0M Net VEX -2.6M -3.0M -2.2M -2.6M -2.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.21 0.80 0.59 0.35 Total Volume 33,641.952 9,560 83,651 14,482 16,523 Total OI 209,625.857 177,845 263,170 179,214 201,625
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 2020-08-03 $150.54 $135.00 36.1% 11.1% 16.0% 16.7% 38.9% 6.2% -2.5% 15.0M -713.2M -2.6M 0.59 22.94 N/A N/A 9,122 5,360 93,052 86,162 2020-08-04 $149.50 $135.00 34.8% 10.9% 16.2% 15.5% 37.5% 6.0% -1.7% 14.4M -673.6M -2.6M 0.80 21.52 N/A N/A 5,326 4,234 96,038 87,805 2020-08-05 $149.62 $135.00 35.5% 11.4% 16.3% 16.2% 39.4% 5.0% -1.9% 15.9M -679.5M -2.6M 0.29 28.63 N/A N/A 10,913 3,173 98,822 89,661 2020-08-06 $151.11 $135.00 35.2% 9.4% 16.3% 16.0% 31.5% 5.7% -2.2% 21.4M -757.3M -2.6M 0.46 36.96 N/A N/A 11,565 5,282 105,165 91,542 2020-08-07 $152.70 $135.00 36.8% 9.5% 16.3% 17.4% 32.8% 6.3% -1.7% 35.0M -852.2M -2.6M 0.31 21.12 N/A N/A 25,584 7,884 110,287 93,944 2020-08-10 $153.67 $135.00 35.9% 9.8% 16.1% 16.6% 35.5% 5.0% -0.9% 23.8M -860.4M -2.6M 0.21 33.97 N/A N/A 18,520 3,977 112,633 86,634 2020-08-11 $153.82 $135.00 37.1% 10.2% 15.1% 17.6% 36.4% 3.3% -1.5% 26.5M -881.4M -2.6M 0.36 13.60 N/A N/A 17,447 6,233 120,782 87,633 2020-08-12 $156.98 $135.00 37.6% 10.1% 16.0% 18.0% 35.5% 4.6% -2.2% 33.4M -1.04B -2.5M 0.27 17.08 N/A N/A 25,320 6,842 123,974 88,996 2020-08-13 $156.11 $135.00 36.2% 10.1% 16.3% 16.8% 35.7% 1.9% -1.7% 30.0M -986.5M -2.6M 0.34 35.63 N/A N/A 14,193 4,846 127,745 90,383 2020-08-14 $154.08 $135.00 36.7% 10.1% 17.2% 17.2% 36.2% 2.6% -1.8% 26.7M -912.3M -2.6M 0.43 35.82 N/A N/A 13,472 5,847 131,428 91,284 2020-08-17 $158.54 $135.00 36.4% 10.2% 19.4% 16.9% 36.7% 2.5% 0.4% 31.1M -1.11B -2.4M 0.27 27.86 N/A N/A 36,444 9,759 130,115 87,977 2020-08-18 $158.22 $140.00 32.6% 9.3% 19.5% 13.6% 33.4% 2.6% -0.6% 36.5M -1.11B -2.4M 0.53 22.35 N/A N/A 50,561 27,017 138,128 92,756 2020-08-19 $158.61 $140.00 26.9% 7.7% 17.5% 8.7% 27.6% 3.8% 1.6% 43.0M -1.11B -2.2M 0.43 21.30 N/A N/A 58,686 24,965 147,512 105,514 2020-08-20 $158.84 $145.00 25.7% 7.4% 15.8% 7.6% 26.6% 3.4% -0.2% 43.2M -1.12B -2.2M 0.24 15.80 N/A N/A 37,915 9,269 147,659 104,140 2020-08-21 $161.58 $145.00 25.6% 7.3% 16.5% 7.5% 25.9% 3.3% -0.0% 68.9M -1.29B -2.5M 0.39 7.97 N/A N/A 29,866 11,575 157,392 105,778 2020-08-24 $165.16 $145.00 25.6% 7.2% 17.3% 7.5% 25.8% 3.4% 0.1% 31.9M -874.7M -2.5M 0.33 3.02 N/A N/A 24,676 8,044 102,818 75,027 2020-08-25 $166.18 $145.00 25.8% 7.2% 17.1% 7.7% 25.6% 3.7% 0.6% 36.2M -940.6M -2.5M 0.42 7.29 N/A N/A 21,914 9,117 108,354 77,220 2020-08-26 $170.01 $145.00 26.7% 7.4% 18.0% 8.5% 26.7% 3.2% 0.5% 42.8M -1.12B -2.5M 0.23 3.62 N/A N/A 38,282 8,665 111,339 81,403 2020-08-27 $166.82 $145.00 28.9% 8.2% 20.2% 10.4% 28.8% 2.4% 0.6% 38.1M -960.4M -2.8M 0.37 4.45 N/A N/A 33,157 12,239 117,728 84,153 2020-08-28 $165.29 $145.00 29.7% 8.2% 20.5% 11.1% 28.9% 2.2% 0.6% 27.2M -864.9M -3.0M 0.37 4.05 N/A N/A 23,773 8,894 122,886 88,649 2020-08-31 $164.75 $145.00 29.6% 8.2% 20.3% 11.0% 29.4% 3.1% 0.6% 28.5M -782.0M -2.9M 0.35 4.25 N/A N/A 12,256 4,267 117,288 84,337
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