LII Options History — November 2013

In November 2013, LII traded between $78.40 and $82.93. ATM implied volatility averaged 18.2%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.5% (HV 20d: 14.7%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.66.

Notable Days

2013-11-07: Highest Volume — 403 contracts
2013-11-14: Largest IV spike — 34.4% change
2013-11-06: Highest IV Rank — 26.5%
2013-11-05: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$80.49	$78.40	$82.93	$78.40	$82.40
Max Pain	$75.00	$75.00	$75.00	$75.00	$75.00
ATM IV	18.2%	14.2%	20.1%	19.5%	18.7%
Expected Move	5.4%	4.5%	5.9%	5.6%	5.4%
HV 20d	14.7%	12.5%	22.0%	22.0%	13.4%
HV 60d	17.8%	16.9%	18.7%	18.6%	17.0%
IV Rank	18.1%	0.3%	26.5%	24.1%	20.3%
IV Percentile	3.7%	0.4%	9.5%	4.4%	6.0%
Term Structure	2.5%	0.4%	4.1%	1.2%	1.8%
VWIV	19.6%	18.5%	21.8%	21.8%	18.9%
Skew 25d	1.9%	-1.0%	4.7%	4.7%	2.6%
Skew 10d	4.3%	-1.7%	35.8%	35.8%	1.4%
Call IV 25d	18.3%	15.5%	20.3%	19.4%	16.2%
Put IV 25d	20.2%	16.3%	24.1%	24.1%	18.8%
Bid-Ask Spread %	84.78	69.81	98.31	98.31	90.40
Gamma HHI	0.32	0.25	0.43	0.26	0.26
Net GEX	-138.3K	-260.9K	-66.8K	-139.1K	-78.5K
Net DEX	-2.3M	-3.7M	-1.1M	-1.1M	-3.5M
Net VEX	-22.4K	-27.0K	-17.2K	-27.0K	-17.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.66	0.00	35.64	0.00	6.50
Total Volume	41.15	0	403	1	0
Total OI	3,027.35	2,785	3,197	2,806	3,091

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
2013-11-01	$78.40	$75.00	19.5%	5.6%	22.0%	24.1%	0.0%	4.7%	1.2%	-139.1K	-1.1M	-27.0K	0.00	98.31	1	0	799	2,007
2013-11-04	$79.07	$75.00	19.7%	5.8%	20.8%	24.9%	0.0%	3.4%	2.4%	-101.4K	-1.7M	-24.7K	0.00	81.75	66	0	800	2,007
2013-11-05	$78.62	$75.00	18.9%	5.9%	16.8%	21.5%	0.0%	1.7%	2.9%	-120.8K	-1.5M	-24.7K	0.00	83.37	0	20	778	2,007
2013-11-06	$79.90	$75.00	20.1%	5.8%	17.2%	26.5%	0.0%	3.0%	3.4%	-91.0K	-2.1M	-23.8K	12.00	82.50	2	24	778	2,017
2013-11-07	$79.10	$75.00	17.4%	5.6%	15.4%	14.6%	21.8%	1.2%	4.1%	-85.8K	-2.2M	-22.7K	35.64	69.81	11	392	776	2,023
2013-11-08	$79.90	$75.00	18.8%	5.7%	14.4%	20.8%	0.0%	3.8%	3.3%	-193.1K	-1.5M	-26.2K	0.00	83.52	10	0	777	2,414
2013-11-11	$80.13	$75.00	18.5%	5.6%	14.3%	19.5%	19.5%	2.9%	3.1%	-147.9K	-2.2M	-23.7K	0.00	85.19	0	6	777	2,414
2013-11-12	$79.63	$75.00	17.3%	5.6%	14.2%	14.0%	0.0%	2.0%	3.7%	-165.5K	-1.4M	-25.3K	0.00	82.64	0	0	777	2,420
2013-11-13	$79.50	$75.00	14.2%	5.6%	13.9%	0.3%	0.0%	0.9%	3.4%	-129.2K	-1.8M	-24.0K	1.00	86.67	10	10	777	2,420
2013-11-14	$80.62	$75.00	19.1%	5.5%	14.4%	22.4%	18.5%	2.3%	3.8%	-80.4K	-2.2M	-21.4K	0.43	80.81	23	10	728	2,371
2013-11-15	$81.14	$75.00	19.2%	5.5%	13.0%	22.5%	20.1%	2.5%	3.8%	-118.8K	-2.6M	-20.6K	0.32	81.75	101	32	747	2,381
2013-11-18	$80.02	$75.00	18.6%	5.3%	12.6%	19.7%	18.5%	1.0%	1.3%	-260.9K	-1.7M	-24.1K	3.00	84.12	2	6	744	2,284
2013-11-19	$80.14	$75.00	18.9%	5.4%	12.5%	21.2%	18.9%	2.3%	1.4%	-248.4K	-1.8M	-24.0K	1.70	80.96	10	17	745	2,290
2013-11-20	$80.30	$75.00	18.1%	5.2%	12.5%	17.6%	0.0%	0.7%	0.4%	-244.0K	-1.9M	-23.1K	8.00	86.93	2	16	755	2,295
2013-11-21	$81.70	$75.00	18.7%	5.4%	13.4%	20.3%	0.0%	-1.0%	1.3%	-159.2K	-2.8M	-20.9K	1.00	88.56	10	10	757	2,295
2013-11-22	$81.73	$75.00	18.4%	5.3%	13.4%	19.3%	0.0%	-0.8%	1.4%	-137.6K	-3.0M	-20.0K	0.00	88.00	10	0	767	2,305
2013-11-25	$81.94	$75.00	18.3%	5.2%	13.4%	18.5%	0.0%	-0.1%	1.8%	-120.5K	-3.2M	-19.2K	0.00	89.00	1	0	767	2,305
2013-11-26	$82.59	$75.00	15.7%	4.5%	13.5%	6.8%	0.0%	2.6%	2.8%	-78.0K	-3.5M	-18.4K	5.00	85.33	1	5	768	2,305
2013-11-27	$82.93	$75.00	15.8%	4.5%	13.0%	7.4%	0.0%	2.7%	2.9%	-66.8K	-3.7M	-17.2K	6.50	86.06	2	13	769	2,310
2013-11-29	$82.40	$75.00	18.7%	5.4%	13.4%	20.3%	0.0%	2.6%	1.8%	-78.5K	-3.5M	-17.5K	0.00	90.40	0	0	768	2,323