LII Options History — February 2014

In February 2014, LII traded between $83.00 and $91.88. ATM implied volatility averaged 20.8%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.2% (HV 20d: 21.9%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 4.23.

Notable Days

2014-02-04: Highest Volume — 321 contracts
2014-02-05: Largest IV drop — 20.1% change
2014-02-04: Highest IV Rank — 64.7%
2014-02-04: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.17	$83.00	$91.88	$83.00	$91.88
Max Pain	$81.32	$80.00	$90.00	$90.00	$80.00
ATM IV	20.8%	17.7%	27.0%	25.4%	19.9%
Expected Move	6.1%	5.7%	7.7%	7.3%	5.7%
HV 20d	21.9%	19.7%	23.3%	22.5%	20.1%
HV 60d	19.8%	19.5%	20.0%	20.0%	19.8%
IV Rank	52.6%	39.3%	64.7%	58.6%	50.5%
IV Percentile	33.9%	6.3%	96.8%	89.3%	25.4%
Term Structure	0.5%	-3.0%	1.9%	-2.1%	0.7%
VWIV	21.3%	19.5%	26.8%	26.8%	20.4%
Skew 25d	3.2%	-1.9%	7.5%	0.4%	2.7%
Skew 10d	5.1%	-5.4%	10.8%	-5.4%	8.0%
Call IV 25d	18.7%	15.2%	27.1%	25.6%	18.1%
Put IV 25d	21.9%	16.7%	28.4%	26.1%	20.8%
Bid-Ask Spread %	94.52	83.49	99.11	94.38	94.07
Gamma HHI	0.33	0.20	0.48	0.34	0.20
Net GEX	116.8K	46.4K	163.2K	63.4K	107.2K
Net DEX	-4.4M	-6.0M	-1.9M	-1.9M	-5.1M
Net VEX	-16.7K	-19.4K	-14.2K	-15.9K	-16.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.23	0.00	40.00	40.00	0.00
Total Volume	61.263	0	321	82	20
Total OI	2,252.211	1,719	2,425	1,719	2,289

Daily Data (19 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
2014-02-03	$83.00	$90.00	25.4%	7.3%	22.5%	58.6%	0.0%	0.4%	-2.1%	63.4K	-1.9M	-15.9K	40.00	94.38	2	80	711	1,008
2014-02-04	$84.42	$90.00	27.0%	7.7%	23.3%	64.7%	26.8%	1.2%	-3.0%	46.4K	-2.1M	-17.3K	0.61	92.58	199	122	712	1,082
2014-02-05	$84.48	$80.00	21.6%	6.2%	23.1%	58.8%	21.6%	4.3%	-0.1%	143.6K	-3.0M	-17.9K	3.78	97.86	41	155	911	1,204
2014-02-06	$85.61	$85.00	21.0%	6.0%	22.7%	55.8%	0.0%	7.5%	0.6%	127.6K	-3.3M	-18.6K	0.00	99.11	7	0	941	1,321
2014-02-07	$86.66	$80.00	21.1%	6.3%	23.1%	56.4%	0.0%	3.1%	0.5%	142.6K	-4.1M	-17.4K	0.31	95.97	32	10	943	1,321
2014-02-10	$87.05	$80.00	19.9%	6.3%	22.9%	50.5%	0.0%	3.7%	0.1%	163.2K	-4.4M	-16.8K	3.33	94.79	3	10	975	1,331
2014-02-11	$87.33	$80.00	17.7%	6.2%	22.2%	39.3%	20.3%	-1.9%	0.9%	129.7K	-4.0M	-19.4K	12.33	93.04	3	37	975	1,341
2014-02-12	$88.64	$80.00	19.0%	6.0%	22.4%	45.9%	20.7%	5.5%	0.7%	150.6K	-5.2M	-15.4K	0.84	95.71	38	32	978	1,363
2014-02-13	$88.35	$80.00	20.4%	5.8%	22.4%	52.9%	0.0%	5.4%	1.0%	121.8K	-5.0M	-16.8K	0.00	97.13	10	0	1,002	1,395
2014-02-14	$88.39	$80.00	20.2%	5.8%	22.4%	51.8%	0.0%	3.4%	1.9%	158.0K	-5.0M	-16.7K	0.00	96.54	0	40	1,012	1,395
2014-02-18	$88.71	$80.00	21.1%	6.1%	22.4%	56.6%	21.0%	5.0%	1.0%	130.8K	-5.2M	-15.3K	0.00	93.89	10	0	1,012	1,385
2014-02-19	$89.34	$80.00	20.1%	5.8%	22.5%	51.4%	0.0%	2.2%	1.9%	97.2K	-5.8M	-14.6K	0.00	96.68	14	0	1,022	1,385
2014-02-20	$89.90	$80.00	19.8%	5.7%	22.5%	50.2%	0.0%	2.8%	1.9%	98.2K	-6.0M	-14.2K	1.45	96.54	20	29	1,027	1,362
2014-02-21	$89.44	$80.00	19.9%	5.7%	22.4%	50.6%	20.0%	6.7%	1.9%	100.2K	-5.9M	-15.1K	5.65	97.75	20	113	1,047	1,378
2014-02-24	$89.64	$80.00	19.9%	5.7%	19.7%	50.5%	19.5%	2.1%	0.3%	91.9K	-4.1M	-17.3K	0.00	83.49	41	0	835	1,356
2014-02-25	$89.65	$80.00	20.1%	5.8%	19.7%	51.6%	0.0%	1.0%	1.4%	118.7K	-4.3M	-16.8K	0.00	92.19	20	0	876	1,356
2014-02-26	$91.43	$80.00	20.3%	5.8%	20.4%	52.4%	20.4%	2.9%	0.3%	116.4K	-4.9M	-17.2K	3.67	91.02	12	44	896	1,356
2014-02-27	$91.37	$80.00	20.0%	5.7%	20.2%	50.8%	0.0%	2.0%	0.4%	111.1K	-4.9M	-16.9K	0.00	93.20	0	0	899	1,390
2014-02-28	$91.88	$80.00	19.9%	5.7%	20.1%	50.5%	0.0%	2.7%	0.7%	107.2K	-5.1M	-16.9K	0.00	94.07	20	0	899	1,390