LII Options History — July 2013

In July 2013, LII traded between $65.11 and $73.44. ATM implied volatility averaged 23.2%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.3% (HV 20d: 23.5%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2013-07-23: Highest Volume — 1,802 contracts
  • 2013-07-26: Largest IV spike — 14.8% change
  • 2013-07-31: Highest IV Rank — 44.4%
  • 2013-07-19: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.12$65.11$73.44$65.36$71.82
Max Pain$65.23$60.00$70.00$70.00$70.00
ATM IV23.2%20.8%27.3%21.5%24.0%
Expected Move6.8%6.0%7.8%6.2%6.9%
HV 20d23.5%19.4%26.5%25.5%20.3%
HV 60d21.6%20.2%23.6%23.5%20.5%
IV Rank30.8%20.9%44.4%23.3%44.4%
IV Percentile26.0%6.7%56.0%9.5%35.7%
Term Structure-0.0%-3.7%3.4%3.1%-0.2%
VWIV24.8%21.4%31.3%21.5%31.3%
Skew 25d4.3%1.1%8.2%8.2%2.3%
Skew 10d6.4%-3.4%16.9%13.0%-0.1%
Call IV 25d20.9%16.3%26.2%16.3%20.8%
Put IV 25d25.2%19.0%29.5%24.5%23.0%
Bid-Ask Spread %89.0080.6496.1393.7895.21
Gamma HHI0.380.250.740.280.47
Net GEX12.5K-36.3K193.4K-34.5K3.9K
Net DEX-57.3K-2.5M881.7K820.3K-25.9K
Net VEX-14.6K-25.2K-10.8K-11.1K-23.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.003.000.000.07
Total Volume144.63601,802615
Total OI1,467.3648123,0538123,053

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$65.36$70.0021.5%6.2%25.5%23.3%21.5%8.2%3.1%-34.5K820.3K-11.1K0.0093.7806247565
2013-07-02$65.11$65.0021.0%6.0%25.4%21.5%0.0%2.5%3.4%-36.1K881.7K-11.1K0.0095.89020247567
2013-07-03$65.30$65.0021.3%6.1%25.2%22.4%0.0%2.3%3.4%-36.3K845.6K-11.2K0.0096.1300247577
2013-07-05$66.27$65.0022.3%7.3%25.1%25.6%0.0%5.2%-0.4%-36.0K730.3K-11.2K0.0080.64020247577
2013-07-08$66.00$65.0021.5%7.3%25.0%23.2%0.0%4.9%-0.4%-35.7K736.3K-11.0K0.0081.8640247577
2013-07-09$66.44$65.0021.7%7.3%25.1%23.8%29.5%4.2%-0.3%-33.9K655.7K-11.1K0.0084.6520251577
2013-07-10$66.68$60.0022.7%7.4%23.9%26.8%0.0%5.7%-0.8%-33.6K619.2K-11.0K0.0084.7200253577
2013-07-11$68.73$60.0023.6%6.8%25.8%29.7%23.6%4.5%-0.2%-29.8K279.0K-11.0K0.0081.3640253577
2013-07-12$68.52$60.0024.1%6.9%25.8%31.4%27.0%3.5%-0.8%-29.1K317.9K-11.0K2.0086.2512257577
2013-07-15$68.26$60.0024.8%7.1%26.0%33.6%24.8%6.7%-1.4%-29.4K322.6K-10.8K0.0089.60580258579
2013-07-16$67.61$60.0024.8%7.1%26.2%33.5%25.1%3.9%-1.5%-11.4K291.7K-11.2K0.0090.97100312579
2013-07-17$67.58$60.0024.6%7.0%26.2%32.8%0.0%6.5%-1.2%-8.3K317.7K-11.2K0.0085.9900322579
2013-07-18$69.45$60.0024.9%7.1%26.5%34.0%0.0%5.2%-1.6%-1.9K-25.4K-11.0K0.0088.6300322579
2013-07-19$70.00$60.0027.3%7.8%19.4%41.5%26.6%3.4%-3.7%4.0K-185.5K-10.8K0.2185.1229964322579
2013-07-22$72.36$70.0024.8%7.1%21.0%33.4%22.7%4.6%-1.0%94.9K-1.3M-12.0K0.4183.40368152599641
2013-07-23$73.29$70.0021.3%6.1%21.0%22.4%23.0%6.5%1.0%161.3K-2.0M-13.8K0.7292.131,048754745693
2013-07-24$73.44$70.0021.7%6.2%20.7%23.8%24.0%5.4%1.0%193.4K-2.5M-21.2K0.1491.443751,3331,447
2013-07-25$72.78$70.0020.8%6.0%21.4%20.9%23.2%4.1%1.3%131.6K-1.5M-22.0K2.8293.32712001,3371,447
2013-07-26$72.07$70.0023.9%6.8%20.9%43.7%0.0%2.2%-0.3%41.2K-471.4K-25.2K0.0092.600231,3871,647
2013-07-29$71.88$70.0023.6%6.8%20.6%42.6%23.4%1.3%0.4%8.6K470-24.7K0.0092.820151,3871,664
2013-07-30$71.73$70.0023.7%6.8%20.5%43.0%21.4%1.1%0.1%-6.8K-45.3K-23.7K3.0091.40131,3871,664
2013-07-31$71.82$70.0024.0%6.9%20.3%44.4%31.3%2.3%-0.2%3.9K-25.9K-23.7K0.0795.211411,3861,667