LII Options History — August 2013

In August 2013, LII traded between $67.97 and $72.96. ATM implied volatility averaged 22.3%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.0% (HV 20d: 19.3%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.86.

Notable Days

  • 2013-08-26: Highest Volume — 48 contracts
  • 2013-08-15: Largest IV spike — 60.6% change
  • 2013-08-06: Highest IV Rank — 45.9%
  • 2013-08-07: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.87$67.97$72.96$72.96$68.65
Max Pain$65.45$65.00$70.00$70.00$65.00
ATM IV22.3%14.4%24.3%21.4%23.2%
Expected Move6.6%5.9%6.9%6.1%6.6%
HV 20d19.3%16.3%22.7%20.7%18.9%
HV 60d21.2%20.6%21.9%20.6%21.9%
IV Rank36.9%1.1%45.9%32.5%40.5%
IV Percentile24.2%0.4%41.3%10.3%31.7%
Term Structure1.3%0.4%2.5%0.5%0.8%
VWIV24.5%22.6%27.1%24.8%27.1%
Skew 25d4.3%1.8%8.6%3.6%5.7%
Skew 10d4.8%-4.7%11.7%4.5%6.8%
Call IV 25d21.5%17.5%23.6%20.8%19.7%
Put IV 25d25.8%24.3%26.5%24.4%25.3%
Bid-Ask Spread %79.4566.5693.5593.5585.86
Gamma HHI0.510.260.920.500.27
Net GEX-237.6K-1.0M205.6K205.6K-42.0K
Net DEX1.2M-1.9M5.8M-1.9M385.3K
Net VEX-17.5K-22.6K-15.1K-22.6K-15.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.0023.000.190.00
Total Volume14.455048252
Total OI2,330.2271,3473,1773,0641,418

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$72.96$70.0021.4%6.1%20.7%32.5%24.8%3.6%0.5%205.6K-1.9M-22.6K0.1993.552141,3961,668
2013-08-02$72.83$70.0020.6%5.9%20.5%29.1%0.0%3.5%1.4%196.2K-1.6M-22.6K0.0086.69011,4171,671
2013-08-05$72.69$65.0021.1%6.5%20.4%31.0%0.0%3.3%1.4%112.8K-1.1M-21.2K0.4066.561041,4171,671
2013-08-06$71.41$65.0024.3%6.9%21.9%45.9%0.0%4.6%1.1%-164.9K512.0K-20.9K0.0076.79021,4231,675
2013-08-07$70.52$65.0023.8%6.9%22.7%43.5%0.0%2.8%0.6%-390.4K1.8M-20.4K0.0078.20001,4231,677
2013-08-08$70.54$65.0023.2%6.8%20.2%40.5%23.8%2.1%0.9%-445.4K1.7M-19.6K0.2576.301231,4231,677
2013-08-09$70.05$65.0022.3%6.7%20.4%36.6%23.2%3.1%1.8%-586.9K2.5M-19.4K1.8770.5615281,4281,678
2013-08-12$70.63$65.0022.6%6.8%20.4%38.1%23.6%4.4%1.9%-719.4K1.6M-18.1K3.0074.71261,4401,687
2013-08-13$69.98$65.0021.3%6.7%20.4%32.4%23.6%2.8%2.4%-925.3K2.6M-17.9K0.0075.29401,4411,693
2013-08-14$68.71$65.0014.4%6.7%21.6%1.1%24.0%2.8%1.2%-629.6K5.3M-16.4K0.4476.671671,4441,693
2013-08-15$68.20$65.0023.2%6.6%19.4%40.6%25.1%3.7%2.2%-356.1K5.8M-16.2K23.0074.721231,4601,694
2013-08-16$69.28$65.0024.0%6.9%20.0%44.2%24.7%4.3%1.4%-1.0M5.4M-16.5K0.2477.792561,4611,716
2013-08-19$68.19$65.0023.6%6.8%16.3%42.4%0.0%1.8%0.5%-59.0K773.3K-15.5K0.0079.0200431916
2013-08-20$69.21$65.0023.3%6.7%16.6%41.0%26.5%3.9%0.7%-55.0K565.6K-15.5K0.1479.54294431916
2013-08-21$68.91$65.0022.6%6.5%16.5%38.0%25.4%2.8%1.7%-53.3K395.8K-15.6K2.0078.6636458918
2013-08-22$69.97$65.0023.7%6.8%17.6%43.1%0.0%4.8%0.4%-48.6K105.6K-15.4K0.0082.64140461920
2013-08-23$69.34$65.0022.6%6.5%17.5%37.8%0.0%5.0%1.4%-48.6K248.1K-15.6K0.0080.4470470920
2013-08-26$69.13$65.0022.6%6.5%17.5%38.1%22.6%8.4%1.4%-48.9K294.1K-15.1K0.0482.84462469920
2013-08-27$67.97$65.0022.3%6.4%18.3%36.6%0.0%6.3%2.5%-48.6K661.7K-15.3K0.0082.82100486922
2013-08-28$68.43$65.0022.7%6.5%18.6%38.5%0.0%6.9%1.2%-45.1K502.2K-15.2K0.0083.4340496922
2013-08-29$69.50$65.0022.9%6.6%18.5%39.4%27.1%8.6%1.5%-37.1K151.6K-15.3K0.0084.9201496922
2013-08-30$68.65$65.0023.2%6.6%18.9%40.5%0.0%5.7%0.8%-42.0K385.3K-15.1K0.0085.8620496922