LII Options History — April 2014

In April 2014, LII traded between $83.40 and $92.34. ATM implied volatility averaged 20.8%, placing in the 57.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.7% (HV 20d: 20.0%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.88.

Notable Days

2014-04-21: Highest Volume — 202 contracts
2014-04-10: Largest IV spike — 18.3% change
2014-04-11: Highest IV Rank — 74.3%
2014-04-11: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.60	$83.40	$92.34	$90.58	$83.83
Max Pain	$90.00	$90.00	$90.00	$90.00	$90.00
ATM IV	20.8%	17.2%	24.6%	18.9%	20.4%
Expected Move	6.2%	5.4%	7.1%	5.4%	5.9%
HV 20d	20.0%	14.1%	23.3%	14.1%	22.2%
HV 60d	19.1%	17.7%	20.4%	17.7%	17.9%
IV Rank	57.2%	37.0%	74.3%	45.5%	60.5%
IV Percentile	43.1%	5.6%	90.1%	15.9%	42.5%
Term Structure	-0.4%	-4.3%	3.9%	3.0%	-0.9%
VWIV	21.7%	13.2%	25.8%	18.9%	13.2%
Skew 25d	1.7%	-3.2%	4.6%	-3.2%	4.0%
Skew 10d	5.3%	-4.6%	49.0%	-4.6%	7.6%
Call IV 25d	20.8%	14.6%	25.7%	20.1%	17.6%
Put IV 25d	22.5%	16.2%	28.4%	16.9%	21.6%
Bid-Ask Spread %	93.16	86.20	99.95	99.59	94.31
Gamma HHI	0.27	0.21	0.38	0.24	0.25
Net GEX	85.8K	16.4K	165.5K	121.5K	20.7K
Net DEX	-822.3K	-2.6M	937.6K	-2.1M	853.5K
Net VEX	-15.8K	-16.9K	-13.9K	-16.8K	-14.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.88	0.00	20.00	0.00	1.09
Total Volume	34	0	202	14	23
Total OI	1,530.429	1,393	1,700	1,393	1,700

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
2014-04-01	$90.58	$90.00	18.9%	5.4%	14.1%	45.5%	18.9%	-3.2%	3.0%	121.5K	-2.1M	-16.8K	0.00	99.59	14	0	704	689
2014-04-02	$92.33	$90.00	19.2%	5.5%	15.9%	46.8%	0.0%	1.1%	3.9%	138.7K	-2.6M	-16.7K	20.00	95.13	2	40	717	689
2014-04-03	$92.34	$90.00	18.8%	5.4%	15.8%	45.0%	0.0%	1.8%	3.6%	141.1K	-2.6M	-16.6K	0.03	99.95	60	2	717	717
2014-04-04	$90.36	$90.00	18.6%	6.4%	17.4%	44.1%	22.0%	1.9%	-0.5%	113.9K	-2.0M	-16.8K	1.00	88.53	2	2	717	719
2014-04-07	$88.67	$90.00	19.7%	6.6%	18.4%	49.4%	24.1%	0.7%	-0.9%	89.4K	-1.4M	-16.3K	2.24	88.34	21	47	716	720
2014-04-08	$87.86	$90.00	17.2%	6.7%	18.4%	37.0%	23.7%	1.9%	-1.3%	76.1K	-943.7K	-16.9K	0.33	86.20	6	2	736	755
2014-04-09	$90.01	$90.00	19.3%	6.7%	20.7%	47.5%	0.0%	0.8%	-1.4%	121.7K	-1.7M	-16.8K	0.00	88.04	0	0	737	753
2014-04-10	$89.49	$90.00	22.8%	6.5%	19.5%	65.3%	0.0%	2.0%	-0.8%	119.7K	-1.6M	-16.4K	0.00	90.19	0	0	737	753
2014-04-11	$89.00	$90.00	24.6%	7.1%	19.2%	74.3%	0.0%	3.5%	-4.3%	105.3K	-1.5M	-16.3K	0.00	99.68	0	0	737	753
2014-04-14	$87.53	$90.00	22.2%	6.4%	19.6%	62.1%	25.8%	2.8%	-3.3%	85.1K	-1.2M	-15.7K	1.00	97.70	10	10	737	753
2014-04-15	$87.05	$90.00	24.3%	7.0%	19.3%	72.5%	0.0%	2.1%	-1.7%	48.3K	-635.1K	-15.6K	0.00	89.12	0	0	747	760
2014-04-16	$88.47	$90.00	23.3%	6.7%	20.4%	67.7%	24.2%	0.5%	-1.4%	112.5K	-1.2M	-15.2K	0.00	92.06	0	24	742	725
2014-04-17	$89.29	$90.00	23.4%	6.7%	20.7%	67.8%	23.4%	1.7%	-1.1%	165.5K	-1.4M	-15.3K	0.58	91.00	19	11	742	746
2014-04-21	$86.67	$90.00	21.8%	6.2%	23.0%	60.0%	21.5%	1.7%	-0.1%	64.7K	-448.9K	-13.9K	0.74	92.57	116	86	694	722
2014-04-22	$85.50	$90.00	20.1%	5.8%	23.3%	58.6%	22.0%	-0.9%	0.2%	76.4K	3.1K	-15.7K	0.47	91.58	62	29	808	801
2014-04-23	$84.60	$90.00	19.7%	5.6%	23.1%	56.1%	19.3%	0.4%	-0.3%	54.8K	418.3K	-15.6K	0.00	88.82	42	0	833	829
2014-04-24	$85.08	$90.00	19.6%	5.6%	22.6%	56.0%	0.0%	1.6%	0.2%	70.1K	247.8K	-16.0K	0.06	98.14	50	3	846	829
2014-04-25	$83.99	$90.00	20.1%	5.8%	22.9%	58.4%	0.0%	4.6%	-0.3%	34.5K	713.1K	-15.0K	0.00	95.01	6	0	854	832
2014-04-28	$83.64	$90.00	21.2%	6.1%	22.3%	65.1%	0.0%	4.2%	-1.2%	26.0K	891.6K	-14.5K	0.00	95.93	0	1	854	832
2014-04-29	$83.40	$90.00	20.5%	5.9%	21.9%	61.0%	22.2%	2.8%	-0.2%	16.4K	937.6K	-14.2K	0.71	94.44	14	10	854	833
2014-04-30	$83.83	$90.00	20.4%	5.9%	22.2%	60.5%	13.2%	4.0%	-0.9%	20.7K	853.5K	-14.5K	1.09	94.31	11	12	857	843