LII Options History — January 2014

In January 2014, LII traded between $84.28 and $88.55. ATM implied volatility averaged 20.2%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.5% (HV 20d: 18.7%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.77.

Notable Days

2014-01-03: Highest Volume — 257 contracts
2014-01-16: Largest IV spike — 50.7% change
2014-01-31: Highest IV Rank — 55.6%
2014-01-31: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.71	$84.28	$88.55	$84.28	$86.56
Max Pain	$86.56	$80.00	$90.00	$80.00	$90.00
ATM IV	20.2%	11.6%	24.6%	19.6%	24.6%
Expected Move	6.3%	5.4%	7.0%	5.6%	7.0%
HV 20d	18.7%	12.6%	22.2%	21.9%	17.0%
HV 60d	17.5%	16.6%	19.3%	19.3%	17.9%
IV Rank	38.8%	6.5%	55.6%	36.8%	55.6%
IV Percentile	36.1%	0.4%	85.3%	16.7%	85.3%
Term Structure	0.4%	-1.5%	3.1%	2.1%	-0.4%
VWIV	20.8%	15.7%	23.1%	19.6%	23.1%
Skew 25d	1.5%	-4.3%	6.1%	0.5%	3.0%
Skew 10d	3.3%	-4.1%	10.8%	1.7%	8.9%
Call IV 25d	20.3%	14.6%	23.1%	16.0%	22.9%
Put IV 25d	21.8%	16.5%	25.9%	16.5%	25.9%
Bid-Ask Spread %	94.36	88.90	97.98	94.22	94.97
Gamma HHI	0.41	0.29	0.51	0.41	0.36
Net GEX	99.0K	76.8K	199.6K	199.6K	77.5K
Net DEX	-5.4M	-7.8M	-2.8M	-5.9M	-2.9M
Net VEX	-13.8K	-16.6K	-11.7K	-16.6K	-15.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.77	0.00	18.00	0.00	2.00
Total Volume	30.476	0	257	10	0
Total OI	1,843.857	1,511	2,055	1,959	1,719

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
2014-01-02	$84.28	$80.00	19.6%	5.6%	21.9%	36.8%	19.6%	0.5%	2.1%	199.6K	-5.9M	-16.6K	0.00	94.22	10	0	1,074	885
2014-01-03	$85.17	$80.00	18.8%	5.4%	22.0%	33.6%	15.7%	2.9%	3.1%	149.9K	-6.3M	-15.6K	0.00	94.06	257	0	1,084	885
2014-01-06	$84.62	$0.00	19.2%	6.2%	22.2%	35.2%	0.0%	2.3%	1.6%	163.9K	-6.2M	-14.9K	0.00	92.00	10	0	1,084	885
2014-01-07	$85.41	$0.00	19.1%	6.0%	21.8%	34.9%	0.0%	1.7%	1.3%	120.1K	-6.6M	-13.6K	0.00	93.79	30	0	1,094	885
2014-01-08	$86.91	$0.00	20.1%	6.3%	22.2%	38.5%	0.0%	3.6%	0.6%	76.8K	-7.2M	-13.5K	0.00	90.90	12	0	1,113	885
2014-01-09	$87.25	$0.00	17.7%	6.2%	22.0%	29.6%	0.0%	3.8%	1.1%	80.0K	-7.5M	-12.8K	0.00	93.44	36	0	1,124	885
2014-01-10	$88.01	$0.00	11.6%	6.0%	20.4%	6.5%	22.0%	6.1%	0.7%	87.9K	-7.8M	-13.3K	0.33	95.11	3	1	1,152	885
2014-01-13	$86.58	$85.00	17.1%	6.4%	21.5%	27.4%	0.0%	-1.3%	0.1%	87.7K	-7.5M	-13.1K	0.00	96.97	0	17	1,152	886
2014-01-14	$87.63	$85.00	14.1%	6.0%	21.2%	16.0%	0.0%	1.7%	1.3%	89.9K	-7.7M	-12.7K	0.00	94.91	0	0	1,152	903
2014-01-15	$88.00	$85.00	14.2%	6.4%	21.2%	16.4%	0.0%	3.4%	-0.8%	77.4K	-7.5M	-13.6K	0.00	88.90	0	0	1,128	903
2014-01-16	$87.99	$85.00	21.4%	6.1%	21.2%	43.7%	21.7%	1.1%	-0.4%	88.7K	-7.6M	-11.9K	0.55	93.76	11	6	1,128	903
2014-01-17	$87.80	$85.00	21.1%	6.0%	14.6%	42.3%	0.0%	2.1%	0.9%	91.8K	-7.6M	-12.4K	0.00	97.98	10	0	1,139	909
2014-01-21	$88.19	$85.00	22.1%	6.3%	12.7%	46.3%	21.9%	-0.8%	-0.4%	91.6K	-3.6M	-11.7K	1.18	93.61	11	13	638	873
2014-01-22	$88.55	$85.00	21.7%	6.2%	12.6%	44.7%	21.7%	1.6%	0.2%	99.6K	-3.7M	-11.7K	1.80	94.83	10	18	649	883
2014-01-23	$87.83	$90.00	23.0%	6.6%	13.2%	49.7%	0.0%	2.5%	-0.6%	84.7K	-3.4M	-13.3K	1.82	95.71	11	20	659	901
2014-01-24	$85.44	$90.00	23.0%	6.6%	16.6%	49.5%	23.1%	-0.1%	0.4%	80.5K	-2.8M	-14.4K	1.03	93.56	31	32	670	921
2014-01-27	$85.51	$90.00	23.4%	6.7%	16.6%	51.3%	0.0%	2.1%	-0.4%	79.1K	-2.8M	-15.0K	1.60	95.61	10	16	695	953
2014-01-28	$86.46	$90.00	23.7%	6.8%	16.9%	52.3%	0.0%	-4.3%	-0.4%	86.3K	-3.0M	-14.5K	18.00	96.25	1	18	700	969
2014-01-29	$85.92	$90.00	23.8%	6.8%	17.0%	52.5%	0.0%	3.0%	-1.5%	82.1K	-2.9M	-15.2K	0.00	94.72	0	16	701	975
2014-01-30	$86.79	$90.00	23.9%	6.8%	17.3%	53.0%	0.0%	-2.8%	-0.4%	84.8K	-3.1M	-14.8K	2.00	96.21	10	20	701	991
2014-01-31	$86.56	$90.00	24.6%	7.0%	17.0%	55.6%	0.0%	3.0%	-0.4%	77.5K	-2.9M	-15.9K	0.00	94.97	0	0	711	1,008