LOW Options History — October 2020 In October 2020, LOW traded between $157.01 and $178.77. ATM implied volatility averaged 35.0%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 10.4% (HV 20d: 24.6%). Max pain ranged from $155.00 to $170.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.71.
Notable Days 2020-10-09 : Highest Volume — 25,349 contracts2020-10-19 : Largest IV spike — 16.7% change2020-10-28 : Highest IV Rank — 23.7%2020-10-30 : Largest Expected Move — 13.7%Monthly Statistics Metric Avg Min Max Open Close Price $170.22 $157.01 $178.77 $166.75 $157.01 Max Pain $165.23 $155.00 $170.00 $155.00 $170.00 ATM IV 35.0% 29.1% 44.0% 30.8% 43.9% Expected Move 10.9% 8.3% 13.7% 8.3% 13.7% HV 20d 24.6% 20.5% 35.9% 35.9% 25.7% HV 60d 26.7% 25.8% 28.4% 25.8% 28.4% IV Rank 15.8% 10.6% 23.7% 12.1% 23.6% IV Percentile 58.4% 25.8% 80.2% 41.7% 79.8% Term Structure 0.9% -2.4% 5.8% 3.3% -1.0% VWIV 38.7% 30.2% 47.9% 30.2% 47.9% Skew 25d 4.9% 1.8% 8.3% 4.7% 8.3% Skew 10d 10.4% 6.1% 17.8% 10.2% 17.8% Call IV 25d 33.4% 27.9% 41.2% 28.8% 41.2% Put IV 25d 38.3% 31.3% 49.5% 33.5% 49.5% Bid-Ask Spread % 21.24 4.30 40.75 4.77 40.75 Gamma HHI 0.13 0.08 0.18 0.13 0.09 Net GEX 20.7M -2.6M 36.6M 24.8M -2.6M Net DEX -602.1M -1.07B -10.9M -684.8M -10.9M Net VEX -2.6M -2.9M -2.3M -2.7M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.34 1.19 0.59 1.06 Total Volume 15,153.727 9,140 25,349 13,703 14,279 Total OI 171,990.818 138,792 198,935 187,489 158,850
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 2020-10-01 $166.75 $155.00 30.8% 8.3% 35.9% 12.1% 30.2% 4.7% 3.3% 24.8M -684.8M -2.7M 0.59 4.77 N/A N/A 8,605 5,098 96,404 91,085 2020-10-02 $166.88 $155.00 31.8% 8.3% 29.5% 12.9% 30.6% 5.0% 3.8% 24.8M -693.2M -2.6M 0.97 18.10 N/A N/A 6,472 6,309 97,146 93,288 2020-10-05 $168.80 $160.00 32.5% 10.9% 27.6% 13.6% 41.8% 5.3% 0.0% 25.7M -738.3M -2.6M 0.88 19.79 N/A N/A 5,960 5,274 93,274 91,569 2020-10-06 $165.25 $160.00 34.1% 11.1% 27.8% 15.0% 40.8% 5.1% 0.1% 18.2M -583.4M -2.7M 0.94 18.64 N/A N/A 7,225 6,825 94,023 93,668 2020-10-07 $169.03 $160.00 32.3% 10.7% 25.9% 13.4% 38.2% 4.2% -0.3% 28.3M -755.1M -2.5M 0.61 18.09 N/A N/A 6,992 4,269 93,726 96,058 2020-10-08 $170.95 $160.00 32.0% 10.6% 25.7% 13.1% 37.5% 4.6% -0.1% 34.6M -822.6M -2.5M 0.34 14.15 N/A N/A 14,305 4,889 94,038 96,108 2020-10-09 $173.57 $160.00 30.8% 10.3% 25.1% 12.1% 37.3% 1.8% -0.0% 35.3M -931.0M -2.5M 0.42 16.52 N/A N/A 17,891 7,458 95,256 98,161 2020-10-12 $173.04 $165.00 29.4% 10.1% 24.3% 10.8% 35.8% 4.1% 5.8% 36.2M -862.0M -2.3M 0.38 4.30 N/A N/A 14,324 5,459 92,735 93,016 2020-10-13 $175.56 $165.00 29.1% 10.0% 23.8% 10.6% 35.2% 3.9% 5.7% 36.5M -948.5M -2.3M 0.62 27.70 N/A N/A 11,302 6,974 94,914 95,489 2020-10-14 $173.65 $170.00 30.1% 10.1% 23.8% 11.4% 36.6% 4.1% 5.2% 32.3M -826.8M -2.6M 0.47 25.70 N/A N/A 9,070 4,219 95,343 97,018 2020-10-15 $176.14 $165.00 30.9% 10.2% 22.5% 12.2% 36.0% 3.1% 5.6% 36.6M -953.9M -2.4M 0.49 21.42 N/A N/A 8,666 4,261 97,237 98,908 2020-10-16 $178.77 $165.00 31.2% 10.0% 21.3% 12.4% 35.4% 4.0% 5.8% 19.9M -1.07B -2.4M 0.39 20.78 N/A N/A 17,682 6,970 98,531 100,404 2020-10-19 $175.91 $165.00 36.4% 10.8% 21.7% 17.0% 38.0% 4.7% -2.0% 19.2M -600.0M -2.6M 0.57 18.55 N/A N/A 11,133 6,292 73,287 65,505 2020-10-20 $177.67 $170.00 37.2% 10.8% 21.1% 17.7% 38.5% 5.1% -2.4% 21.8M -592.6M -2.8M 0.81 25.47 N/A N/A 8,971 7,284 73,554 68,178 2020-10-21 $174.89 $170.00 38.1% 10.9% 20.5% 18.5% 38.8% 5.1% -1.6% 18.0M -523.7M -2.7M 0.51 15.79 N/A N/A 8,179 4,135 75,802 69,695 2020-10-22 $171.56 $170.00 37.6% 10.9% 22.2% 18.1% 38.4% 4.9% -2.1% 10.6M -395.6M -2.8M 0.85 19.40 N/A N/A 8,010 6,786 78,931 71,766 2020-10-23 $171.96 $170.00 36.8% 10.7% 22.2% 17.3% 37.4% 4.9% -1.7% 16.9M -399.7M -2.9M 0.67 16.19 N/A N/A 6,190 4,165 81,540 74,182 2020-10-26 $167.69 $170.00 40.5% 12.2% 23.3% 20.6% 42.5% 5.3% -1.3% 7.7M -306.8M -2.8M 0.76 24.72 N/A N/A 7,654 5,844 74,883 69,531 2020-10-27 $165.71 $170.00 39.8% 12.2% 23.8% 20.0% 42.8% 5.3% -1.4% 6.4M -246.2M -2.9M 1.14 27.49 N/A N/A 7,121 8,125 77,558 71,505 2020-10-28 $162.58 $170.00 44.0% 13.6% 24.0% 23.7% 47.0% 7.7% -1.5% 2.7M -168.8M -2.8M 0.93 36.52 N/A N/A 7,030 6,545 79,145 75,381 2020-10-29 $161.44 $170.00 41.6% 13.0% 24.0% 21.6% 45.4% 6.6% -0.8% 461.1K -132.2M -2.8M 1.19 32.45 N/A N/A 4,171 4,969 80,153 76,953 2020-10-30 $157.01 $170.00 43.9% 13.7% 25.7% 23.6% 47.9% 8.3% -1.0% -2.6M -10.9M -2.8M 1.06 40.75 N/A N/A 6,943 7,336 80,935 77,915
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