LII Options History — May 2013

In May 2013, LII traded between $60.21 and $65.21. ATM implied volatility averaged 21.5%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.1% (HV 20d: 22.6%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.61.

Notable Days

2013-05-21: Highest Volume — 202 contracts
2013-05-14: Largest IV spike — 36.2% change
2013-05-20: Highest IV Rank — 28.6%
2013-05-06: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.62	$60.21	$65.21	$60.21	$63.99
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	21.5%	14.2%	23.3%	22.6%	22.5%
Expected Move	6.5%	6.3%	7.1%	6.5%	6.5%
HV 20d	22.6%	15.1%	29.3%	28.7%	15.5%
HV 60d	23.7%	22.3%	24.3%	24.1%	22.4%
IV Rank	20.9%	0.0%	28.6%	21.3%	26.4%
IV Percentile	10.0%	0.0%	16.7%	10.3%	14.3%
Term Structure	1.3%	0.3%	3.0%	2.2%	0.6%
VWIV	23.8%	22.1%	26.2%	22.6%	22.4%
Skew 25d	4.2%	1.0%	8.5%	1.7%	6.9%
Skew 10d	4.7%	-3.6%	16.4%	2.1%	9.6%
Call IV 25d	20.3%	17.2%	22.9%	18.3%	19.1%
Put IV 25d	24.6%	20.0%	26.5%	20.0%	26.0%
Bid-Ask Spread %	83.16	74.98	95.31	95.31	87.02
Gamma HHI	0.44	0.29	0.77	0.69	0.31
Net GEX	-9.4K	-102.3K	255.8K	-101.7K	-12.7K
Net DEX	-916.6K	-1.9M	314.0K	314.0K	-511.5K
Net VEX	-8.6K	-10.7K	-6.8K	-9.0K	-10.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.61	0.00	21.00	21.00	0.02
Total Volume	26.5	0	202	22	20
Total OI	1,143.409	892	1,245	1,146	1,159

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 Vol	Put Vol	Call OI	Put OI
2013-05-01	$60.21	$60.00	22.6%	6.5%	28.7%	21.3%	22.6%	1.7%	2.2%	-101.7K	314.0K	-9.0K	21.00	95.31	1	21	506	640
2013-05-02	$60.70	$60.00	22.3%	6.4%	28.3%	20.2%	0.0%	4.0%	3.0%	-102.3K	70.3K	-9.1K	0.00	95.08	10	0	506	650
2013-05-03	$61.82	$60.00	22.5%	6.4%	29.1%	20.8%	22.6%	1.0%	2.2%	-82.1K	-471.3K	-8.7K	0.71	86.21	21	15	506	650
2013-05-06	$62.41	$60.00	23.3%	7.1%	29.1%	23.8%	0.0%	6.1%	1.0%	-63.6K	-743.7K	-8.1K	0.00	79.24	0	0	517	635
2013-05-07	$63.04	$60.00	20.3%	6.6%	29.3%	13.3%	24.8%	6.6%	1.0%	-38.8K	-1.0M	-7.8K	0.40	79.36	20	8	517	635
2013-05-08	$63.32	$60.00	19.5%	6.6%	29.1%	10.8%	24.9%	2.3%	1.2%	-30.2K	-1.2M	-7.9K	0.00	74.98	0	10	536	643
2013-05-09	$63.50	$60.00	19.2%	6.6%	29.0%	9.6%	0.0%	1.9%	1.3%	-19.1K	-1.3M	-7.5K	0.00	78.68	0	12	536	647
2013-05-10	$63.43	$60.00	18.8%	6.3%	28.9%	8.5%	22.1%	1.9%	1.9%	-17.9K	-1.3M	-7.4K	2.00	80.82	16	32	536	647
2013-05-13	$63.42	$60.00	14.2%	6.5%	21.0%	0.0%	22.4%	2.2%	1.8%	7.6K	-1.3M	-7.8K	0.00	80.09	11	0	548	679
2013-05-14	$64.51	$60.00	19.3%	6.4%	20.5%	16.3%	0.0%	2.7%	1.7%	43.2K	-1.7M	-7.5K	0.00	76.90	2	0	558	679
2013-05-15	$65.21	$60.00	20.4%	6.6%	19.2%	19.6%	25.3%	2.7%	1.4%	55.1K	-1.9M	-7.1K	0.00	79.72	0	37	556	679
2013-05-16	$64.08	$60.00	23.0%	6.6%	20.7%	28.0%	0.0%	2.7%	1.5%	33.9K	-1.5M	-7.4K	0.00	80.84	0	12	556	687
2013-05-17	$65.00	$60.00	22.7%	6.5%	19.0%	27.0%	0.0%	3.9%	2.1%	255.8K	-1.8M	-7.3K	0.00	78.75	0	22	556	689
2013-05-20	$64.78	$60.00	23.2%	6.7%	19.0%	28.6%	0.0%	2.1%	0.3%	-3.0K	-1.4M	-7.0K	0.00	80.72	0	0	446	446
2013-05-21	$65.08	$60.00	22.8%	6.5%	18.8%	27.1%	26.2%	3.7%	0.7%	-778	-1.5M	-6.8K	0.00	81.10	0	202	446	446
2013-05-22	$64.08	$60.00	22.4%	6.4%	19.6%	26.0%	26.0%	2.7%	0.9%	-33.1K	-369.6K	-10.5K	12.00	83.07	1	12	446	646
2013-05-23	$64.18	$60.00	22.7%	6.5%	19.5%	26.9%	22.6%	7.4%	0.4%	-32.1K	-399.4K	-10.6K	0.00	85.52	2	0	446	648
2013-05-24	$63.92	$60.00	22.4%	6.4%	19.2%	26.1%	22.4%	7.5%	0.8%	-33.5K	-313.4K	-10.7K	0.02	86.12	49	1	445	648
2013-05-28	$64.43	$60.00	22.7%	6.5%	19.3%	26.9%	0.0%	7.6%	0.7%	-9.3K	-642.8K	-10.4K	0.00	86.17	0	34	492	649
2013-05-29	$64.08	$60.00	22.9%	6.5%	19.0%	27.4%	0.0%	7.2%	0.5%	-12.7K	-515.0K	-10.6K	0.00	86.96	0	2	492	657
2013-05-30	$64.48	$60.00	22.4%	6.4%	15.1%	26.0%	0.0%	8.5%	0.8%	-9.3K	-626.8K	-10.2K	0.00	86.80	0	10	492	657
2013-05-31	$63.99	$60.00	22.5%	6.5%	15.5%	26.4%	0.0%	6.9%	0.6%	-12.7K	-511.5K	-10.6K	0.00	87.02	0	20	492	667