LII Options History — October 2013

In October 2013, LII traded between $70.53 and $78.65. ATM implied volatility averaged 22.8%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.0% (HV 20d: 19.9%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 8.59.

Notable Days

  • 2013-10-30: Highest Volume — 521 contracts
  • 2013-10-08: Largest IV spike — 25.8% change
  • 2013-10-11: Highest IV Rank — 57.0%
  • 2013-10-08: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.36$70.53$78.65$75.12$78.06
Max Pain$72.39$70.00$75.00$75.00$75.00
ATM IV22.8%19.4%26.8%21.6%19.5%
Expected Move6.7%5.6%7.9%6.2%5.6%
HV 20d19.9%13.2%23.0%14.3%22.0%
HV 60d19.0%17.9%20.2%18.7%18.6%
IV Rank39.0%23.5%57.0%33.3%24.1%
IV Percentile35.2%3.6%77.8%14.7%4.4%
Term Structure-0.0%-2.2%2.7%2.5%-1.7%
VWIV23.6%12.9%29.4%27.4%20.2%
Skew 25d4.0%2.1%8.7%8.7%2.1%
Skew 10d6.4%-6.0%20.2%13.9%4.0%
Call IV 25d21.9%16.4%26.2%16.4%19.7%
Put IV 25d25.9%21.4%29.7%25.2%21.8%
Bid-Ask Spread %89.9181.5498.3293.7698.32
Gamma HHI0.350.270.440.360.27
Net GEX-31.1K-134.7K39.8K-9.9K-134.7K
Net DEX-658.1K-2.6M1.5M-973.0K-1.3M
Net VEX-22.4K-25.6K-18.5K-19.4K-25.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.590.0096.0020.800.18
Total Volume81.043052121867
Total OI2,015.7391,5952,7671,5952,767

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$75.12$75.0021.6%6.2%14.3%33.3%0.0%8.7%2.5%-9.9K-973.0K-19.4K20.8093.7610208619976
2013-10-02$74.56$75.0021.5%6.2%14.9%33.0%0.0%6.1%2.5%-45.2K-210.3K-23.4K1.1095.0410116191,176
2013-10-03$73.99$75.0021.1%6.1%15.4%31.3%0.0%6.9%2.7%-51.8K26.7K-23.9K1.1192.9918206291,187
2013-10-04$73.94$70.0020.9%6.8%14.9%30.3%0.0%4.1%-0.2%-48.5K-63.6K-24.1K0.0083.47036441,207
2013-10-07$72.73$70.0020.5%7.1%13.2%28.4%27.4%3.9%-0.7%-62.2K459.7K-24.0K0.0081.540106441,210
2013-10-08$70.53$70.0025.8%7.9%17.0%52.4%29.3%4.0%-0.9%-98.9K1.5M-23.6K96.0083.731966441,214
2013-10-09$70.88$70.0026.1%7.7%16.8%53.9%29.4%3.4%-1.1%-107.0K1.5M-24.3K2.6082.6625656441,290
2013-10-10$73.11$70.0025.9%7.4%20.1%53.0%25.9%3.0%-0.8%-74.2K744.5K-24.2K1.0085.5610106611,315
2013-10-11$74.57$70.0026.8%7.7%21.3%57.0%0.0%3.1%-1.3%-44.8K-51.0K-23.9K0.0085.06206711,325
2013-10-14$74.57$70.0026.4%7.6%21.3%55.3%0.0%2.4%-1.0%-37.9K-172.1K-23.3K0.0092.071006711,325
2013-10-15$73.97$70.0026.0%7.4%21.3%53.2%0.0%3.8%-1.6%-38.1K116.0K-23.4K0.0088.27006811,325
2013-10-16$73.60$70.0026.1%7.5%20.7%54.0%27.2%2.3%-1.2%-52.1K393.7K-23.4K1.4387.4314206811,325
2013-10-17$73.89$70.0026.2%7.5%20.6%54.3%29.2%4.2%-1.9%-32.6K251.4K-23.4K0.0084.051606811,345
2013-10-18$75.46$70.0026.7%7.7%21.9%56.7%26.4%2.7%-2.2%39.8K-854.7K-22.6K0.2285.58107246961,345
2013-10-21$77.10$70.0023.4%6.7%23.0%41.6%23.9%4.1%-1.4%-7.1K-1.5M-21.3K0.6690.72116767151,301
2013-10-22$77.63$75.0019.9%5.7%22.8%26.0%20.3%2.5%1.9%-7.8K-1.8M-19.7K0.3992.9631127051,334
2013-10-23$77.56$75.0020.3%5.8%22.8%27.8%12.9%3.3%0.5%-6.8K-1.7M-20.9K0.0789.072727151,346
2013-10-24$78.24$75.0019.9%5.7%22.8%26.0%22.0%5.5%1.4%8.1K-2.0M-21.0K0.0693.398857321,344
2013-10-25$78.54$75.0019.9%5.7%22.4%25.9%21.3%5.7%1.0%20.6K-2.2M-21.0K0.0093.14607621,349
2013-10-28$78.41$75.0021.0%6.0%22.4%30.8%0.0%2.1%0.2%23.6K-2.4M-19.4K0.0097.09007611,349
2013-10-29$78.65$75.0019.8%5.7%22.3%25.3%19.6%4.3%1.0%36.0K-2.6M-18.5K7.9294.24251987611,349
2013-10-30$78.08$75.0019.4%5.6%22.3%23.5%19.5%4.2%1.5%16.5K-2.2M-21.7K29.6597.87175047851,537
2013-10-31$78.06$75.0019.5%5.6%22.0%24.1%20.2%2.1%-1.7%-134.7K-1.3M-25.6K0.1898.3257107701,997