LII Options History — June 2013

In June 2013, LII traded between $60.90 and $65.16. ATM implied volatility averaged 23.2%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.0% (HV 20d: 18.2%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.80.

Notable Days

2013-06-21: Highest Volume — 172 contracts
2013-06-26: Largest IV drop — 12.7% change
2013-06-21: Highest IV Rank — 37.0%
2013-06-21: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.38	$60.90	$65.16	$63.46	$64.54
Max Pain	$67.89	$60.00	$70.00	$60.00	$70.00
ATM IV	23.2%	20.5%	25.9%	23.1%	20.5%
Expected Move	6.7%	5.9%	7.4%	6.6%	5.9%
HV 20d	18.2%	14.4%	25.4%	14.8%	25.4%
HV 60d	23.0%	21.8%	24.5%	22.5%	23.4%
IV Rank	28.4%	19.9%	37.0%	28.2%	19.9%
IV Percentile	21.4%	6.0%	40.9%	19.0%	6.0%
Term Structure	1.4%	-0.4%	3.9%	0.3%	3.5%
VWIV	22.6%	22.1%	23.1%	23.1%	22.1%
Skew 25d	5.1%	2.1%	8.8%	6.4%	8.2%
Skew 10d	8.8%	-2.8%	17.0%	16.3%	13.1%
Call IV 25d	21.5%	16.0%	24.3%	21.1%	17.0%
Put IV 25d	26.7%	24.6%	29.2%	27.5%	25.2%
Bid-Ask Spread %	85.93	77.66	91.30	83.95	90.41
Gamma HHI	0.35	0.28	0.57	0.31	0.28
Net GEX	-18.4K	-90.5K	32.9K	-16.0K	-34.3K
Net DEX	111.5K	-871.6K	1.5M	-301.3K	940.3K
Net VEX	-10.3K	-11.4K	-9.3K	-10.2K	-11.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.00	2.00	0.96	2.00
Total Volume	30.75	0	172	106	4
Total OI	1,170.65	771	1,384	1,159	812

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 Vol	Put Vol	Call OI	Put OI
2013-06-03	$63.46	$60.00	23.1%	6.6%	14.8%	28.2%	23.1%	6.4%	0.3%	-16.0K	-301.3K	-10.2K	0.96	83.95	54	52	492	667
2013-06-04	$62.95	$60.00	23.0%	6.6%	14.8%	27.8%	0.0%	3.8%	-0.1%	-17.0K	-94.6K	-10.5K	0.00	84.42	0	0	535	707
2013-06-05	$62.53	$60.00	23.5%	6.7%	14.6%	29.6%	0.0%	2.3%	-0.4%	-21.5K	89.8K	-10.2K	0.00	77.66	0	0	535	707
2013-06-06	$63.56	$60.00	22.8%	6.5%	15.7%	27.1%	0.0%	5.6%	0.5%	-12.1K	-269.9K	-10.3K	0.00	85.11	0	0	535	707
2013-06-07	$64.15	$0.00	22.2%	6.7%	16.0%	25.3%	22.1%	4.0%	1.4%	-3.8K	-536.3K	-10.2K	0.00	79.08	2	0	535	707
2013-06-10	$64.48	$70.00	22.1%	6.8%	16.0%	25.0%	0.0%	4.8%	1.0%	4.8K	-709.7K	-9.7K	1.60	80.08	10	16	536	707
2013-06-11	$63.31	$70.00	21.7%	6.8%	17.4%	23.8%	0.0%	2.6%	1.0%	-9.7K	-265.0K	-9.6K	1.50	86.52	4	6	546	711
2013-06-12	$63.16	$70.00	21.8%	6.8%	16.2%	24.2%	0.0%	7.6%	0.8%	-9.7K	-236.6K	-9.5K	0.00	83.26	0	138	544	711
2013-06-13	$63.70	$70.00	24.3%	7.0%	16.0%	32.0%	0.0%	8.0%	0.5%	-11.0K	-163.9K	-11.3K	0.00	88.74	0	0	544	815
2013-06-14	$64.01	$70.00	23.8%	6.8%	14.9%	30.5%	0.0%	4.4%	1.1%	48	-319.1K	-11.1K	0.00	84.53	0	0	544	815
2013-06-17	$64.64	$70.00	23.3%	6.7%	14.4%	28.8%	0.0%	4.3%	2.1%	22.8K	-620.4K	-10.7K	0.00	86.30	0	13	544	815
2013-06-18	$65.16	$70.00	23.4%	6.7%	14.7%	29.2%	0.0%	5.3%	1.5%	32.9K	-871.6K	-10.7K	0.00	86.33	2	0	544	816
2013-06-19	$63.97	$70.00	22.8%	6.5%	16.0%	27.1%	0.0%	3.4%	2.2%	22.5K	-234.4K	-10.2K	0.00	87.21	25	0	543	816
2013-06-20	$61.20	$70.00	25.5%	7.3%	21.7%	35.9%	0.0%	4.5%	1.1%	-78.1K	425.2K	-9.7K	0.80	85.93	20	16	568	816
2013-06-21	$60.90	$70.00	25.9%	7.4%	21.7%	37.0%	0.0%	5.5%	0.4%	-90.5K	536.7K	-9.3K	0.06	87.35	162	10	553	810
2013-06-24	$61.12	$70.00	25.1%	7.2%	21.8%	34.4%	0.0%	5.1%	2.9%	-39.6K	1.5M	-9.6K	0.00	88.47	10	0	227	544
2013-06-25	$62.33	$70.00	25.6%	7.3%	22.9%	36.2%	0.0%	2.1%	1.7%	-36.6K	1.3M	-10.2K	1.91	91.30	11	21	237	544
2013-06-26	$63.34	$70.00	22.4%	6.4%	23.7%	25.9%	0.0%	6.0%	2.5%	-36.7K	1.1M	-11.0K	0.00	90.78	0	27	247	565
2013-06-27	$65.02	$70.00	20.5%	5.9%	25.4%	20.1%	0.0%	8.8%	3.9%	-34.9K	899.9K	-11.4K	2.00	91.10	4	8	247	565
2013-06-28	$64.54	$70.00	20.5%	5.9%	25.4%	19.9%	0.0%	8.2%	3.5%	-34.3K	940.3K	-11.3K	0.00	90.41	0	4	247	565