LOW Options History — December 2020 In December 2020, LOW traded between $150.17 and $164.86. ATM implied volatility averaged 27.4%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 6.1% (HV 20d: 33.5%). Max pain ranged from $145.00 to $155.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.61.
Notable Days 2020-12-09 : Highest Volume — 84,815 contracts2020-12-07 : Largest IV spike — 8.1% change2020-12-07 : Highest IV Rank — 10.7%2020-12-01 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $159.27 $150.17 $164.86 $153.15 $160.22 Max Pain $150.00 $145.00 $155.00 $155.00 $155.00 ATM IV 27.4% 25.9% 29.2% 27.7% 26.2% Expected Move 7.9% 7.3% 8.6% 8.6% 7.3% HV 20d 33.5% 23.1% 47.8% 47.8% 23.1% HV 60d 34.3% 33.4% 35.0% 34.9% 33.6% IV Rank 9.1% 7.8% 10.7% 9.4% 8.0% IV Percentile 14.8% 8.3% 21.4% 17.9% 8.3% Term Structure 0.5% -0.3% 1.6% 1.0% 0.4% VWIV 28.1% 26.0% 30.6% 30.6% 26.1% Skew 25d 2.8% 1.6% 3.7% 1.6% 2.8% Skew 10d 5.6% 4.0% 8.8% 4.6% 4.9% Call IV 25d 26.6% 25.3% 28.7% 27.3% 25.3% Put IV 25d 29.4% 27.8% 31.9% 28.9% 28.2% Bid-Ask Spread % 5.10 1.51 18.48 13.61 1.62 Gamma HHI 0.14 0.07 0.30 0.08 0.11 Net GEX 33.6M -11.9M 70.3M 12.0M 9.5M Net DEX -560.8M -897.3M -64.6M -222.7M -400.9M Net VEX -3.7M -4.0M -3.5M -3.7M -3.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.28 1.47 0.41 0.64 Total Volume 22,407.591 7,788 84,815 31,755 7,788 Total OI 245,649.273 223,242 274,114 230,257 239,279
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 2020-12-01 $153.15 $155.00 27.7% 8.6% 47.8% 9.4% 30.6% 1.6% 1.0% 12.0M -222.7M -3.7M 0.41 13.61 N/A N/A 22,487 9,268 128,345 101,912 2020-12-02 $151.50 $155.00 27.6% 8.2% 46.0% 9.2% 29.0% 3.0% 1.1% 8.3M -140.6M -3.7M 0.62 3.25 N/A N/A 11,967 7,369 134,378 104,998 2020-12-03 $151.72 $145.00 26.8% 8.3% 44.8% 8.6% 28.8% 2.0% 1.6% 11.2M -167.1M -3.7M 1.06 18.48 N/A N/A 8,760 9,310 137,972 105,547 2020-12-04 $150.17 $145.00 27.0% 8.1% 44.8% 8.7% 28.3% 2.2% 1.4% -11.9M -64.6M -3.6M 0.28 2.64 N/A N/A 28,042 7,987 139,080 108,540 2020-12-07 $152.06 $145.00 29.2% 8.6% 45.2% 10.7% 30.0% 3.2% 0.5% 19.7M -245.7M -3.8M 0.47 4.43 N/A N/A 22,546 10,679 147,696 103,622 2020-12-08 $151.83 $145.00 28.7% 8.5% 33.4% 10.2% 29.4% 3.0% 0.8% 21.2M -245.2M -3.8M 0.43 1.85 N/A N/A 14,969 6,415 154,053 108,936 2020-12-09 $160.20 $145.00 27.1% 7.8% 38.6% 8.8% 27.5% 3.2% 0.0% 62.9M -891.5M -4.0M 0.32 5.49 N/A N/A 64,367 20,448 161,464 111,622 2020-12-10 $161.04 $145.00 28.0% 8.0% 38.2% 9.6% 28.1% 3.1% 0.3% 62.4M -892.9M -4.0M 0.51 11.80 N/A N/A 18,824 9,656 159,288 112,818 2020-12-11 $158.35 $145.00 28.8% 8.2% 38.6% 10.3% 29.1% 3.5% -0.2% 41.2M -675.6M -3.9M 0.49 10.50 N/A N/A 12,594 6,153 159,590 114,524 2020-12-14 $160.26 $150.00 28.1% 8.1% 38.6% 9.7% 28.4% 3.4% -0.3% 47.8M -667.1M -3.8M 0.48 3.28 N/A N/A 11,776 5,648 143,546 104,508 2020-12-15 $163.30 $150.00 27.4% 7.9% 38.9% 9.1% 29.2% 2.7% 0.2% 58.9M -870.6M -3.8M 0.51 3.68 N/A N/A 13,897 7,072 144,674 106,325 2020-12-16 $163.59 $150.00 26.9% 7.7% 38.8% 8.7% 27.2% 3.7% 0.7% 67.2M -877.4M -3.8M 0.30 7.24 N/A N/A 13,982 4,155 146,666 106,658 2020-12-17 $163.75 $150.00 27.3% 7.8% 24.9% 9.0% 27.7% 2.9% 0.8% 70.3M -897.3M -3.7M 0.62 2.76 N/A N/A 7,781 4,852 146,595 107,233 2020-12-18 $163.82 $150.00 27.4% 7.8% 24.9% 9.1% 27.7% 2.8% 0.1% 65.5M -885.8M -3.6M 0.39 4.82 N/A N/A 21,832 8,590 147,143 109,259 2020-12-21 $164.86 $150.00 28.0% 8.0% 24.9% 9.6% 28.7% 2.3% 0.1% 40.9M -768.4M -3.7M 0.54 2.34 N/A N/A 9,678 5,200 126,567 96,675 2020-12-22 $164.85 $150.00 27.1% 7.7% 24.0% 8.8% 27.9% 2.7% 0.2% 45.7M -753.9M -3.7M 0.41 1.82 N/A N/A 7,144 2,906 127,597 98,552 2020-12-23 $163.21 $150.00 27.5% 7.8% 24.3% 9.1% 28.5% 2.5% 0.3% 39.9M -652.8M -3.6M 1.47 3.86 N/A N/A 9,361 13,716 128,526 99,382 2020-12-24 $162.52 $155.00 26.2% 7.4% 24.4% 8.0% 26.3% 2.5% 0.1% 26.3M -574.2M -3.7M 0.58 3.20 N/A N/A 5,093 2,970 131,490 106,861 2020-12-28 $161.85 $155.00 25.9% 7.4% 24.3% 7.8% 26.6% 2.6% 0.4% 16.6M -522.4M -3.5M 0.87 2.03 N/A N/A 7,655 6,674 122,287 103,298 2020-12-29 $160.81 $155.00 26.9% 7.5% 24.4% 8.7% 26.5% 3.4% 0.5% 12.6M -467.8M -3.5M 0.76 1.93 N/A N/A 7,427 5,623 124,578 107,085 2020-12-30 $160.87 $155.00 26.6% 7.4% 23.5% 8.4% 26.0% 2.5% 0.5% 11.4M -453.3M -3.5M 1.31 1.51 N/A N/A 4,468 5,838 125,867 109,248 2020-12-31 $160.22 $155.00 26.2% 7.3% 23.1% 8.0% 26.1% 2.8% 0.4% 9.5M -400.9M -3.5M 0.64 1.62 N/A N/A 4,739 3,049 126,450 112,829
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