LII Options History — September 2013

In September 2013, LII traded between $69.34 and $75.52. ATM implied volatility averaged 22.0%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.0% (HV 20d: 17.9%). 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 20 of 20 days. Put/call ratio averaged 0.64.

Notable Days

2013-09-12: Highest Volume — 309 contracts
2013-09-12: Largest IV spike — 22.8% change
2013-09-12: Highest IV Rank — 41.7%
2013-09-09: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.06	$69.34	$75.52	$69.34	$75.26
Max Pain	$64.50	$60.00	$70.00	$65.00	$70.00
ATM IV	22.0%	19.1%	23.4%	22.9%	21.6%
Expected Move	6.5%	6.2%	7.2%	6.6%	6.2%
HV 20d	17.9%	14.3%	21.0%	19.4%	14.3%
HV 60d	20.4%	18.7%	22.3%	21.9%	18.7%
IV Rank	35.2%	22.1%	41.7%	39.5%	33.4%
IV Percentile	20.7%	2.4%	39.7%	29.8%	14.7%
Term Structure	1.6%	0.1%	3.0%	1.4%	2.3%
VWIV	22.8%	19.7%	25.0%	22.7%	19.7%
Skew 25d	5.5%	1.8%	8.9%	7.2%	8.4%
Skew 10d	9.4%	-1.4%	18.1%	10.3%	18.1%
Call IV 25d	19.8%	16.3%	23.1%	19.1%	16.3%
Put IV 25d	25.3%	23.6%	27.3%	26.3%	24.7%
Bid-Ask Spread %	88.48	82.87	94.02	84.59	94.02
Gamma HHI	0.33	0.25	0.41	0.27	0.38
Net GEX	-15.5K	-50.1K	9.1K	-33.7K	-17.4K
Net DEX	-1.1M	-2.2M	178.4K	146.0K	-1.0M
Net VEX	-17.3K	-20.0K	-14.2K	-14.5K	-19.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.00	2.15	0.00	0.18
Total Volume	40.85	0	309	40	40
Total OI	1,645.3	1,417	1,935	1,417	1,587

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
2013-09-03	$69.34	$65.00	22.9%	6.6%	19.4%	39.5%	0.0%	7.2%	1.4%	-33.7K	146.0K	-14.5K	0.00	84.59	0	40	495	922
2013-09-04	$69.41	$65.00	22.9%	6.6%	18.6%	39.3%	0.0%	7.7%	1.2%	-41.6K	178.4K	-14.6K	0.00	85.21	20	0	495	962
2013-09-05	$69.52	$65.00	22.7%	6.5%	18.1%	38.4%	22.7%	7.6%	1.4%	-34.2K	27.6K	-15.0K	0.00	87.40	53	0	515	962
2013-09-06	$70.52	$60.00	22.6%	6.8%	18.9%	37.8%	0.0%	4.5%	1.0%	-944	-472.4K	-15.1K	0.00	82.87	40	0	568	962
2013-09-09	$72.46	$60.00	19.7%	7.2%	21.0%	24.9%	25.0%	7.1%	0.1%	2.8K	-1.3M	-14.9K	0.29	86.79	35	10	608	962
2013-09-10	$72.78	$60.00	19.6%	6.6%	20.9%	24.2%	0.0%	3.0%	1.5%	9.1K	-1.7M	-14.5K	1.67	84.78	6	10	630	952
2013-09-11	$73.42	$60.00	19.1%	6.6%	20.6%	22.1%	24.4%	3.6%	1.5%	7.6K	-1.9M	-14.3K	2.00	84.16	5	10	629	957
2013-09-12	$72.76	$65.00	23.4%	6.7%	19.6%	41.7%	23.3%	2.3%	1.7%	6.0K	-1.8M	-14.2K	2.15	83.88	98	211	630	967
2013-09-13	$72.79	$65.00	22.4%	6.4%	19.3%	37.3%	0.0%	6.6%	2.2%	255	-1.3M	-20.0K	0.59	87.89	17	10	727	1,178
2013-09-16	$73.05	$65.00	22.7%	6.5%	18.7%	38.3%	0.0%	5.4%	3.0%	-898	-1.6M	-19.3K	0.00	89.37	0	0	733	1,183
2013-09-17	$73.70	$65.00	22.2%	6.4%	17.5%	36.3%	21.8%	5.8%	2.4%	-3.8K	-1.7M	-19.2K	0.00	93.20	8	0	733	1,183
2013-09-18	$74.76	$65.00	22.3%	6.4%	17.4%	36.6%	23.5%	3.6%	1.3%	-10.7K	-2.2M	-18.4K	0.00	85.41	17	0	738	1,183
2013-09-19	$74.21	$65.00	22.4%	6.4%	17.6%	37.1%	0.0%	1.8%	1.6%	-13.9K	-2.1M	-18.3K	1.67	89.23	12	20	733	1,183
2013-09-20	$74.00	$65.00	22.1%	6.3%	17.2%	35.6%	0.0%	1.9%	1.5%	-29.1K	-1.9M	-18.8K	0.00	90.05	0	10	732	1,203
2013-09-23	$73.65	$65.00	22.2%	6.4%	16.9%	36.3%	0.0%	5.7%	1.1%	-50.1K	-284.7K	-18.5K	0.00	92.67	10	0	506	950
2013-09-24	$74.42	$65.00	22.5%	6.5%	16.9%	37.7%	0.0%	7.2%	1.3%	-45.6K	-537.5K	-18.1K	0.00	91.46	105	0	507	950
2013-09-25	$74.77	$65.00	22.2%	6.4%	15.1%	36.1%	0.0%	8.9%	1.6%	-21.5K	-971.6K	-19.6K	0.00	91.29	0	0	607	950
2013-09-26	$75.52	$65.00	22.2%	6.4%	15.2%	36.0%	22.2%	4.6%	1.3%	-13.5K	-1.1M	-19.3K	0.00	91.37	0	10	607	950
2013-09-27	$74.79	$70.00	21.9%	6.3%	15.5%	34.7%	0.0%	6.6%	2.3%	-18.5K	-984.4K	-19.5K	1.00	93.89	10	10	607	960
2013-09-30	$75.26	$70.00	21.6%	6.2%	14.3%	33.4%	19.7%	8.4%	2.3%	-17.4K	-1.0M	-19.2K	0.18	94.02	34	6	617	970