LII Options History — April 2013

In April 2013, LII traded between $59.49 and $63.29. ATM implied volatility averaged 24.1%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.9% (HV 20d: 25.9%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 6.20.

Notable Days

  • 2013-04-18: Highest Volume — 246 contracts
  • 2013-04-11: Largest IV spike — 47.7% change
  • 2013-04-19: Highest IV Rank — 45.5%
  • 2013-04-19: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.83$59.49$63.29$63.29$62.00
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV24.1%16.4%29.7%21.5%22.7%
Expected Move7.1%6.2%8.5%6.2%6.5%
HV 20d25.9%15.7%30.7%18.8%30.7%
HV 60d21.8%18.3%23.6%18.3%23.3%
IV Rank26.2%0.2%45.5%17.6%21.7%
IV Percentile19.9%0.4%62.3%6.3%10.7%
Term Structure-0.2%-3.6%2.2%1.6%2.1%
VWIV25.9%21.5%29.4%26.7%24.0%
Skew 25d3.2%1.1%6.5%1.8%2.6%
Skew 10d6.9%-4.5%28.5%28.5%1.9%
Call IV 25d22.5%16.3%28.4%21.0%20.2%
Put IV 25d25.7%20.3%31.6%22.9%22.8%
Bid-Ask Spread %87.3279.7495.9492.5791.72
Gamma HHI0.450.280.660.310.60
Net GEX-1.9K-97.9K73.4K16.9K-73.7K
Net DEX-680.0K-1.4M-121.6K-1.1M-487.2K
Net VEX-8.8K-10.6K-7.5K-7.5K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.200.0040.000.000.00
Total Volume45.682024620
Total OI1,007.4557911,3207911,146

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$63.29$60.0021.5%6.2%18.8%17.6%0.0%1.8%1.6%16.9K-1.1M-7.5K0.0092.5720428363
2013-04-02$62.95$60.0021.8%6.2%15.7%18.5%0.0%1.5%2.2%16.8K-1.1M-7.6K0.0091.62025428363
2013-04-03$60.37$60.0023.4%6.7%21.7%24.0%0.0%1.7%1.9%28.4K-395.2K-8.2K0.6795.783020428388
2013-04-04$61.25$60.0023.3%6.7%22.4%23.7%0.0%6.3%2.1%31.0K-594.9K-8.3K0.0095.9410458398
2013-04-05$61.58$60.0022.7%7.3%22.4%21.6%0.0%4.0%-1.0%28.4K-707.4K-8.2K5.0082.27210457398
2013-04-08$62.08$60.0023.4%7.6%22.4%23.9%26.7%5.5%-1.4%25.6K-850.4K-8.1K0.1482.217010457408
2013-04-09$61.98$60.0023.3%7.5%22.3%23.8%26.1%3.5%-1.4%34.1K-1.0M-9.2K0.0079.7450527418
2013-04-10$62.71$60.0016.4%6.9%22.5%0.2%0.0%6.5%-0.5%27.3K-1.2M-8.9K0.0084.7000532418
2013-04-11$63.11$60.0024.2%6.9%22.2%26.8%0.0%6.4%-0.6%22.5K-1.4M-8.7K0.0084.3600532418
2013-04-12$62.70$60.0024.3%7.0%21.6%27.1%0.0%1.2%-1.2%13.0K-1.3M-8.6K0.0084.6200532418
2013-04-15$59.49$60.0028.1%8.1%28.4%40.0%28.2%2.0%-2.5%73.1K-230.2K-8.6K27.5084.56255532418
2013-04-16$60.80$60.0028.0%8.0%29.6%39.7%0.0%4.0%-2.7%42.9K-567.6K-8.9K0.0083.7500534463
2013-04-17$59.76$60.0028.7%8.2%30.0%41.9%28.7%4.3%-3.0%55.7K-121.6K-8.7K2.1784.243065534463
2013-04-18$60.09$60.0029.5%8.4%28.7%44.6%29.4%3.2%-3.6%73.4K-190.9K-9.4K40.0083.596240564525
2013-04-19$61.83$60.0029.7%8.5%29.9%45.5%29.4%4.5%-3.1%-66.7K-520.2K-10.6K5.0988.1635178565755
2013-04-22$62.22$60.0023.9%6.9%30.0%25.7%23.7%1.5%0.5%-97.9K-262.0K-10.1K5.8584.3526152476736
2013-04-23$61.86$60.0023.8%6.8%30.0%25.2%0.0%1.1%0.5%-68.2K-303.5K-9.7K0.0089.5300494640
2013-04-24$62.45$60.0023.7%6.8%30.3%24.9%21.5%1.9%0.2%-57.5K-573.7K-9.4K0.3389.9031494640
2013-04-25$62.87$60.0021.6%6.2%30.3%17.9%21.5%2.4%1.6%-51.3K-742.3K-9.2K0.0085.52210495640
2013-04-26$62.27$60.0023.6%6.8%30.4%24.5%24.0%2.3%1.2%-62.5K-523.8K-9.1K0.0090.62160495640
2013-04-29$62.64$60.0021.6%6.2%30.5%18.0%0.0%1.8%1.8%-53.0K-755.1K-8.8K0.0091.2900506640
2013-04-30$62.00$60.0022.7%6.5%30.7%21.7%0.0%2.6%2.1%-73.7K-487.2K-8.9K0.0091.7200506640