LII Options History — December 2013

In December 2013, LII traded between $80.28 and $85.12. ATM implied volatility averaged 19.0%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.6% (HV 20d: 18.4%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.23.

Notable Days

2013-12-16: Highest Volume — 306 contracts
2013-12-10: Largest IV spike — 82.3% change
2013-12-17: Highest IV Rank — 45.3%
2013-12-17: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.65	$80.28	$85.12	$81.77	$85.06
Max Pain	$79.05	$75.00	$80.00	$75.00	$80.00
ATM IV	19.0%	9.9%	21.9%	18.6%	19.3%
Expected Move	5.7%	4.9%	6.3%	5.3%	5.5%
HV 20d	18.4%	13.8%	23.3%	13.9%	22.5%
HV 60d	18.1%	16.6%	19.8%	17.0%	19.5%
IV Rank	31.5%	0.0%	45.3%	19.9%	35.8%
IV Percentile	14.1%	0.0%	36.1%	6.0%	13.9%
Term Structure	2.3%	0.9%	3.5%	1.9%	2.9%
VWIV	20.4%	12.9%	24.4%	24.4%	12.9%
Skew 25d	2.9%	0.0%	5.8%	1.1%	0.9%
Skew 10d	4.6%	-0.5%	11.3%	-0.5%	1.0%
Call IV 25d	17.2%	13.7%	20.6%	17.0%	15.9%
Put IV 25d	20.1%	15.7%	23.2%	18.1%	16.8%
Bid-Ask Spread %	96.37	89.43	100.58	89.43	99.61
Gamma HHI	0.38	0.28	0.49	0.28	0.39
Net GEX	126.1K	-178.3K	318.4K	-90.8K	183.4K
Net DEX	-5.6M	-9.9M	-2.5M	-3.3M	-6.3M
Net VEX	-19.2K	-22.1K	-15.2K	-17.6K	-16.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.00	10.00	0.00	0.09
Total Volume	76.857	0	306	11	127
Total OI	3,107.381	1,959	4,042	3,091	1,969

Daily Data (21 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
2013-12-02	$81.77	$75.00	18.6%	5.3%	13.9%	19.9%	0.0%	1.1%	1.9%	-90.8K	-3.3M	-17.6K	0.00	89.43	0	11	768	2,323
2013-12-03	$80.48	$75.00	18.6%	5.3%	15.0%	19.8%	24.4%	2.1%	1.5%	-178.3K	-2.5M	-19.6K	0.00	95.52	255	0	768	2,333
2013-12-04	$80.28	$75.00	18.9%	5.4%	14.9%	21.2%	18.9%	2.1%	1.6%	-78.2K	-3.4M	-22.1K	2.00	95.66	10	20	1,013	2,333
2013-12-05	$80.37	$75.00	18.7%	5.4%	13.8%	20.6%	0.0%	1.6%	1.6%	-71.6K	-3.5M	-21.8K	0.00	96.55	0	0	1,013	2,353
2013-12-06	$81.70	$80.00	19.1%	6.0%	14.3%	22.0%	0.0%	4.0%	2.3%	36.8K	-4.6M	-19.6K	0.00	95.26	10	0	1,013	2,353
2013-12-09	$82.63	$80.00	9.9%	5.5%	14.4%	0.0%	21.0%	4.2%	2.8%	97.1K	-5.1M	-18.0K	0.10	95.68	100	10	1,013	2,353
2013-12-10	$82.09	$80.00	18.0%	5.8%	14.7%	30.8%	0.0%	3.9%	2.4%	46.3K	-5.2M	-20.0K	0.00	97.63	0	0	1,113	2,363
2013-12-11	$80.53	$80.00	17.9%	5.8%	16.2%	30.2%	0.0%	0.0%	3.0%	108.6K	-4.6M	-20.1K	4.55	96.51	11	50	1,113	2,363
2013-12-12	$81.37	$80.00	21.1%	6.0%	16.6%	42.4%	21.1%	3.6%	2.8%	97.7K	-5.0M	-20.2K	0.08	96.27	118	10	1,123	2,413
2013-12-13	$80.57	$80.00	21.1%	6.0%	16.3%	42.4%	0.0%	2.9%	1.7%	139.1K	-5.0M	-21.5K	0.00	99.98	0	10	1,232	2,413
2013-12-16	$80.82	$80.00	20.8%	6.0%	16.2%	41.4%	20.9%	2.0%	1.8%	192.6K	-5.2M	-20.7K	0.20	96.89	256	50	1,232	2,413
2013-12-17	$81.31	$80.00	21.9%	6.3%	15.4%	45.3%	0.0%	3.4%	0.9%	195.9K	-6.2M	-21.8K	0.06	97.34	155	10	1,414	2,463
2013-12-18	$85.08	$80.00	20.1%	5.8%	22.1%	38.6%	21.0%	2.3%	2.8%	283.9K	-9.9M	-19.2K	0.09	93.92	176	16	1,567	2,471
2013-12-19	$83.56	$80.00	20.3%	5.8%	23.3%	39.4%	0.0%	2.5%	2.1%	299.0K	-8.8M	-18.9K	0.00	99.25	41	0	1,543	2,482
2013-12-20	$83.98	$80.00	19.8%	5.7%	22.7%	37.7%	19.9%	4.9%	2.5%	318.4K	-9.1M	-18.7K	1.25	98.96	16	20	1,560	2,482
2013-12-23	$84.42	$80.00	20.0%	5.7%	22.7%	38.1%	0.0%	5.0%	1.2%	222.7K	-5.8M	-18.9K	0.00	92.11	10	0	1,112	872
2013-12-24	$85.11	$80.00	19.7%	5.6%	22.8%	37.1%	23.2%	5.8%	2.4%	212.6K	-6.2M	-17.9K	0.00	98.55	101	0	1,122	872
2013-12-26	$84.86	$80.00	19.6%	5.6%	22.8%	36.9%	0.0%	4.3%	3.1%	217.2K	-6.2M	-17.9K	10.00	93.58	1	10	1,122	872
2013-12-27	$84.57	$80.00	17.0%	4.9%	22.8%	26.8%	0.0%	3.4%	3.5%	197.8K	-6.0M	-17.1K	0.00	100.58	0	0	1,094	865
2013-12-30	$85.12	$80.00	19.4%	5.6%	22.7%	36.1%	0.0%	1.0%	3.2%	218.9K	-6.4M	-15.2K	0.00	94.39	0	10	1,094	865
2013-12-31	$85.06	$80.00	19.3%	5.5%	22.5%	35.8%	12.9%	0.9%	2.9%	183.4K	-6.3M	-16.4K	0.09	99.61	117	10	1,094	875