LOW Options History — November 2020 In November 2020, LOW traded between $147.95 and $169.25. ATM implied volatility averaged 33.9%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 6.7% (HV 20d: 40.5%). Max pain ranged from $155.00 to $170.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.50.
Notable Days 2020-11-18 : Highest Volume — 99,096 contracts2020-11-04 : Largest IV drop — 10.5% change2020-11-02 : Highest IV Rank — 22.7%2020-11-02 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $158.16 $147.95 $169.25 $159.59 $155.67 Max Pain $161.50 $155.00 $170.00 $170.00 $155.00 ATM IV 33.9% 27.1% 42.9% 42.9% 27.8% Expected Move 9.9% 8.0% 13.8% 13.8% 8.4% HV 20d 40.5% 26.1% 49.1% 26.1% 47.9% HV 60d 34.0% 28.5% 37.4% 28.5% 35.2% IV Rank 14.8% 8.8% 22.7% 22.7% 9.4% IV Percentile 50.2% 17.9% 78.2% 78.2% 18.3% Term Structure -0.9% -2.0% 0.8% -1.2% 0.8% VWIV 34.9% 28.7% 48.9% 48.9% 29.8% Skew 25d 4.0% 1.1% 7.6% 7.6% 2.6% Skew 10d 7.7% 4.0% 14.7% 14.7% 5.6% Call IV 25d 32.6% 26.6% 39.4% 39.4% 26.8% Put IV 25d 36.7% 28.7% 47.0% 47.0% 29.4% Bid-Ask Spread % 27.77 2.74 53.99 34.81 2.74 Gamma HHI 0.08 0.06 0.14 0.07 0.08 Net GEX 8.8M -18.7M 25.8M 2.3M 19.9M Net DEX -204.9M -398.0M 228.3M -134.7M -368.1M Net VEX -2.9M -3.7M -2.5M -2.7M -3.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.29 0.77 0.55 0.65 Total Volume 27,292.25 7,768 99,096 7,768 27,820 Total OI 188,350.75 150,119 247,969 150,119 223,133
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 2020-11-02 $159.59 $170.00 42.9% 13.8% 26.1% 22.7% 48.9% 7.6% -1.2% 2.3M -134.7M -2.7M 0.55 34.81 N/A N/A 5,027 2,741 75,282 74,837 2020-11-03 $164.96 $170.00 41.4% 13.4% 28.1% 21.4% 46.0% 7.2% -0.9% 6.3M -268.9M -2.7M 0.77 23.09 N/A N/A 4,703 3,640 75,282 74,837 2020-11-04 $169.07 $170.00 37.0% 12.5% 28.3% 17.6% 44.0% 7.2% -0.6% 12.1M -382.1M -2.8M 0.42 33.12 N/A N/A 9,139 3,814 78,915 77,129 2020-11-05 $168.93 $170.00 36.6% 10.0% 28.0% 17.1% 36.0% 5.5% -0.8% 13.4M -391.6M -2.7M 0.37 53.99 N/A N/A 6,508 2,411 80,795 77,940 2020-11-06 $169.25 $170.00 35.5% 9.7% 27.4% 16.2% 34.2% 4.8% -0.8% 13.6M -398.0M -2.7M 0.42 43.38 N/A N/A 5,626 2,343 82,401 78,649 2020-11-09 $155.18 $170.00 37.8% 10.2% 40.9% 18.2% 35.5% 3.1% -2.0% -25.8K -28.6M -2.5M 0.47 46.41 N/A N/A 20,859 9,745 79,552 73,592 2020-11-10 $156.25 $165.00 37.0% 10.3% 40.5% 17.5% 35.8% 3.0% -1.1% 3.4M -64.5M -2.6M 0.29 42.38 N/A N/A 16,029 4,610 88,724 76,887 2020-11-11 $158.77 $160.00 35.2% 9.8% 41.2% 15.9% 35.4% 4.1% -1.4% 10.5M -174.7M -2.8M 0.31 38.97 N/A N/A 12,716 3,978 96,806 78,902 2020-11-12 $157.35 $160.00 38.1% 10.6% 40.6% 18.5% 37.5% 4.4% -1.6% 10.2M -153.7M -2.8M 0.48 35.13 N/A N/A 9,037 4,352 99,745 80,374 2020-11-13 $159.12 $160.00 35.9% 10.1% 40.4% 16.6% 35.4% 4.3% -1.3% 12.1M -210.6M -2.9M 0.45 43.89 N/A N/A 9,435 4,269 101,215 81,675 2020-11-16 $161.29 $160.00 36.0% 10.3% 40.7% 16.6% 36.3% 3.8% -1.9% 12.2M -303.0M -2.8M 0.46 39.68 N/A N/A 14,582 6,667 95,975 77,867 2020-11-17 $160.04 $160.00 34.9% 10.0% 40.4% 15.7% 35.1% 3.6% -1.3% 12.5M -265.6M -2.9M 0.69 45.75 N/A N/A 27,122 18,707 101,887 80,743 2020-11-18 $147.95 $160.00 32.2% 9.2% 48.0% 13.3% 33.2% 2.9% -0.3% -18.7M 228.3M -2.5M 0.54 25.14 N/A N/A 64,367 34,729 114,554 92,999 2020-11-19 $149.64 $155.00 29.6% 8.5% 48.3% 11.0% 30.1% 3.1% -0.8% -8.0M 86.0M -3.0M 0.58 15.39 N/A N/A 33,019 19,112 139,051 104,956 2020-11-20 $150.64 $155.00 28.7% 8.3% 48.4% 10.2% 29.3% 3.3% -0.5% -4.6M -13.8M -3.1M 0.76 7.05 N/A N/A 19,606 14,899 142,866 105,103 2020-11-23 $153.98 $155.00 27.9% 8.2% 48.9% 9.5% 29.2% 3.3% -0.5% 13.6M -244.1M -3.0M 0.50 7.94 N/A N/A 28,580 14,366 107,558 87,409 2020-11-24 $155.59 $155.00 28.2% 8.3% 49.1% 9.7% 29.8% 2.9% -0.7% 19.6M -349.6M -3.3M 0.47 2.92 N/A N/A 18,413 8,631 115,741 95,254 2020-11-25 $155.43 $155.00 27.5% 8.1% 48.7% 9.2% 28.8% 1.1% 0.3% 20.1M -337.3M -3.3M 0.44 7.53 N/A N/A 26,229 11,485 117,328 95,963 2020-11-27 $154.51 $155.00 27.1% 8.0% 48.7% 8.8% 28.7% 2.5% -0.5% 25.8M -324.0M -3.7M 0.39 6.12 N/A N/A 11,885 4,644 132,867 102,222 2020-11-30 $155.67 $155.00 27.8% 8.4% 47.9% 9.4% 29.8% 2.6% 0.8% 19.9M -368.1M -3.7M 0.65 2.74 N/A N/A 16,850 10,970 125,689 97,444
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