LII Options History — March 2014

In March 2014, LII traded between $89.33 and $94.02. ATM implied volatility averaged 19.1%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.2% (HV 20d: 14.8%). 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 20 of 21 days. Put/call ratio averaged 0.83.

Notable Days

2014-03-27: Highest Volume — 102 contracts
2014-03-13: Largest IV spike — 50.1% change
2014-03-14: Highest IV Rank — 58.4%
2014-03-14: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.84	$89.33	$94.02	$91.33	$90.91
Max Pain	$87.62	$80.00	$90.00	$80.00	$90.00
ATM IV	19.1%	13.8%	21.5%	21.3%	19.0%
Expected Move	5.6%	5.0%	6.2%	6.1%	5.4%
HV 20d	14.8%	12.1%	20.2%	20.2%	16.4%
HV 60d	18.6%	17.1%	19.9%	19.5%	17.8%
IV Rank	46.2%	19.7%	58.4%	57.6%	45.8%
IV Percentile	21.2%	0.8%	46.8%	42.9%	16.3%
Term Structure	2.1%	-0.5%	4.7%	-0.5%	3.2%
VWIV	19.9%	17.5%	22.5%	21.4%	19.2%
Skew 25d	2.2%	-2.2%	8.0%	0.0%	-1.7%
Skew 10d	6.6%	-6.2%	52.0%	-2.1%	-1.3%
Call IV 25d	18.0%	13.1%	20.0%	18.2%	19.1%
Put IV 25d	20.2%	17.4%	22.8%	18.2%	17.4%
Bid-Ask Spread %	95.29	87.06	99.15	95.96	95.77
Gamma HHI	0.25	0.20	0.36	0.22	0.24
Net GEX	96.6K	63.2K	153.1K	119.1K	126.2K
Net DEX	-4.4M	-6.1M	-1.2M	-5.0M	-2.2M
Net VEX	-15.8K	-17.1K	-14.6K	-17.0K	-16.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.00	8.00	0.00	0.00
Total Volume	17.333	0	102	4	1
Total OI	2,048.619	1,280	2,425	2,309	1,392

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
2014-03-03	$91.33	$80.00	21.3%	6.1%	20.2%	57.6%	21.4%	0.0%	-0.5%	119.1K	-5.0M	-17.0K	0.00	95.96	4	0	919	1,390
2014-03-04	$93.40	$80.00	17.9%	5.1%	13.0%	40.2%	0.0%	3.5%	2.1%	93.8K	-5.7M	-15.8K	0.00	94.94	9	0	920	1,390
2014-03-05	$93.51	$80.00	17.5%	5.0%	12.4%	38.5%	17.5%	3.7%	2.4%	108.7K	-5.8M	-15.9K	0.00	96.10	6	0	929	1,390
2014-03-06	$94.02	$80.00	18.0%	5.2%	12.3%	40.9%	0.0%	3.3%	1.8%	103.5K	-6.1M	-15.2K	0.00	97.44	9	0	932	1,390
2014-03-07	$93.86	$85.00	17.5%	5.6%	12.1%	38.4%	0.0%	-0.1%	1.5%	99.1K	-6.0M	-15.5K	0.57	93.41	23	13	931	1,390
2014-03-10	$93.61	$85.00	18.0%	5.6%	12.1%	40.9%	20.9%	2.9%	1.4%	94.6K	-5.8M	-15.6K	8.00	87.06	2	16	932	1,403
2014-03-11	$92.66	$90.00	17.1%	5.6%	13.0%	36.3%	0.0%	-2.2%	2.2%	97.9K	-5.7M	-15.1K	0.00	94.79	0	0	931	1,408
2014-03-12	$92.70	$90.00	13.8%	5.6%	13.1%	19.7%	0.0%	4.1%	1.9%	99.4K	-5.5M	-15.2K	0.00	94.35	0	0	931	1,408
2014-03-13	$90.81	$90.00	20.7%	5.9%	14.8%	54.5%	0.0%	1.0%	1.7%	93.7K	-5.0M	-15.7K	0.00	93.26	0	0	931	1,408
2014-03-14	$91.59	$90.00	21.5%	6.2%	14.9%	58.4%	0.0%	4.5%	0.7%	104.9K	-5.1M	-15.9K	1.00	93.16	2	2	931	1,408
2014-03-17	$92.36	$90.00	20.2%	5.8%	15.0%	51.8%	0.0%	-0.4%	2.0%	99.1K	-5.4M	-14.9K	0.00	96.40	0	0	933	1,408
2014-03-18	$92.95	$90.00	19.3%	5.5%	15.1%	47.2%	0.0%	4.9%	2.0%	84.9K	-5.7M	-14.7K	0.00	94.69	0	0	933	1,408
2014-03-19	$92.13	$90.00	19.9%	5.7%	15.5%	50.2%	0.0%	1.9%	2.1%	83.1K	-5.4M	-15.0K	0.91	96.08	11	10	933	1,408
2014-03-20	$91.52	$90.00	20.3%	5.8%	15.7%	52.4%	0.0%	1.6%	1.7%	88.6K	-5.2M	-14.6K	0.00	95.10	101	0	922	1,405
2014-03-21	$90.82	$90.00	19.6%	5.6%	15.8%	48.9%	0.0%	0.1%	2.2%	153.1K	-5.4M	-16.8K	0.00	95.51	0	0	1,022	1,403
2014-03-24	$90.43	$90.00	19.9%	5.7%	15.9%	50.2%	17.7%	3.1%	2.6%	63.2K	-1.5M	-16.2K	1.05	94.80	20	21	592	688
2014-03-25	$91.09	$90.00	19.9%	5.7%	16.1%	50.4%	0.0%	2.6%	2.3%	78.4K	-1.7M	-16.1K	0.00	97.24	0	0	612	689
2014-03-26	$89.34	$90.00	19.8%	5.7%	16.0%	50.1%	0.0%	-0.5%	3.3%	63.3K	-1.4M	-16.2K	0.00	98.32	10	0	612	689
2014-03-27	$89.33	$90.00	19.5%	5.6%	16.0%	48.5%	22.5%	6.0%	4.7%	64.0K	-1.2M	-16.2K	0.05	97.57	97	5	621	689
2014-03-28	$90.22	$90.00	19.4%	5.6%	16.3%	48.2%	0.0%	8.0%	3.5%	110.9K	-1.9M	-17.1K	0.00	99.15	2	0	701	689
2014-03-31	$90.91	$90.00	19.0%	5.4%	16.4%	45.8%	19.2%	-1.7%	3.2%	126.2K	-2.2M	-16.7K	0.00	95.77	1	0	703	689