LII Options History — May 2014

In May 2014, LII traded between $82.66 and $86.14. ATM implied volatility averaged 19.4%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.8% (HV 20d: 18.6%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.17.

Notable Days

2014-05-05: Highest Volume — 28 contracts
2014-05-14: Largest IV drop — 17.7% change
2014-05-08: Highest IV Rank — 63.5%
2014-05-07: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.24	$82.66	$86.14	$84.30	$84.92
Max Pain	$85.48	$85.00	$90.00	$90.00	$85.00
ATM IV	19.4%	17.2%	20.9%	19.9%	18.6%
Expected Move	5.5%	5.2%	5.8%	5.7%	5.3%
HV 20d	18.6%	15.9%	21.7%	20.8%	16.7%
HV 60d	18.2%	17.6%	18.7%	17.6%	17.9%
IV Rank	54.7%	42.2%	63.5%	57.4%	50.0%
IV Percentile	26.4%	4.8%	48.0%	32.1%	13.9%
Term Structure	1.1%	-0.2%	2.0%	-0.2%	1.2%
VWIV	19.5%	11.6%	22.8%	19.4%	19.2%
Skew 25d	2.9%	-1.5%	7.3%	-1.5%	7.3%
Skew 10d	3.6%	-1.4%	11.0%	-1.3%	11.0%
Call IV 25d	17.6%	13.2%	19.7%	17.7%	13.8%
Put IV 25d	20.5%	16.3%	22.2%	16.3%	21.0%
Bid-Ask Spread %	91.39	85.69	98.20	97.89	94.87
Gamma HHI	0.24	0.20	0.38	0.28	0.23
Net GEX	11.8K	-36.4K	105.4K	31.3K	30.6K
Net DEX	519.6K	-159.8K	1.0M	687.4K	58.7K
Net VEX	-12.5K	-14.7K	-10.7K	-14.4K	-10.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.00	1.50	0.00	0.00
Total Volume	7.286	0	28	0	3
Total OI	1,564.095	1,331	1,766	1,711	1,359

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
2014-05-01	$84.30	$90.00	19.9%	5.7%	20.8%	57.4%	0.0%	-1.5%	-0.2%	31.3K	687.4K	-14.4K	0.00	97.89	0	0	857	854
2014-05-02	$84.80	$90.00	19.2%	5.5%	21.1%	53.5%	0.0%	1.6%	0.5%	48.8K	424.8K	-14.7K	0.00	96.87	0	4	857	854
2014-05-05	$86.14	$85.00	20.1%	5.7%	21.2%	58.5%	19.4%	1.4%	1.5%	105.4K	-159.8K	-14.7K	0.00	85.69	28	0	857	855
2014-05-06	$84.12	$85.00	20.5%	5.8%	21.7%	61.1%	20.8%	1.2%	2.0%	19.7K	604.8K	-14.3K	1.50	88.93	4	6	883	855
2014-05-07	$83.84	$85.00	20.4%	5.8%	21.6%	60.2%	20.7%	3.0%	1.2%	-6.3K	920.8K	-13.7K	0.08	86.26	25	2	882	861
2014-05-08	$83.71	$85.00	20.9%	5.8%	19.2%	63.5%	0.0%	1.9%	1.1%	-6.2K	886.5K	-13.7K	0.00	88.56	0	0	886	861
2014-05-09	$84.31	$85.00	19.2%	5.6%	19.5%	53.2%	0.0%	3.4%	1.7%	-10.1K	803.7K	-13.7K	0.00	88.94	0	0	886	861
2014-05-12	$85.52	$85.00	20.7%	5.5%	20.4%	62.0%	21.6%	2.5%	1.8%	14.4K	263.0K	-13.8K	0.09	86.23	23	2	886	861
2014-05-13	$84.32	$85.00	20.9%	5.6%	20.2%	63.4%	18.6%	1.8%	1.5%	-18.2K	609.7K	-13.6K	0.00	88.43	5	0	905	861
2014-05-14	$83.79	$85.00	17.2%	5.5%	20.2%	42.2%	0.0%	2.0%	2.0%	-36.4K	874.0K	-12.8K	0.00	88.93	0	0	905	861
2014-05-15	$83.53	$85.00	19.4%	5.6%	19.1%	54.5%	0.0%	3.5%	1.6%	-23.7K	1.0M	-12.1K	0.00	90.60	0	0	830	837
2014-05-16	$83.85	$85.00	19.7%	5.7%	18.7%	56.5%	19.6%	2.4%	1.0%	-29.9K	945.0K	-11.9K	0.50	91.66	2	1	830	837
2014-05-19	$84.09	$85.00	19.3%	5.5%	15.9%	53.9%	18.8%	2.0%	0.4%	13.8K	298.3K	-11.7K	0.00	87.08	17	0	572	759
2014-05-20	$82.66	$85.00	19.2%	5.5%	16.3%	53.3%	0.0%	2.6%	0.5%	-1.2K	759.7K	-11.2K	0.00	90.89	1	0	585	759
2014-05-21	$83.07	$85.00	18.0%	5.2%	16.2%	46.7%	11.6%	3.7%	1.9%	2.5K	706.6K	-10.9K	0.00	93.75	6	0	586	759
2014-05-22	$83.03	$85.00	18.3%	5.3%	16.0%	48.5%	21.2%	4.0%	1.3%	4.5K	686.5K	-11.0K	0.00	93.89	2	0	586	759
2014-05-23	$84.53	$85.00	18.5%	5.3%	16.7%	49.6%	0.0%	4.5%	1.1%	23.2K	262.3K	-11.2K	0.00	92.36	0	1	584	759
2014-05-27	$84.80	$85.00	19.1%	5.5%	16.6%	53.1%	19.1%	6.6%	0.2%	32.4K	55.2K	-10.9K	0.00	94.90	0	10	584	760
2014-05-28	$84.58	$85.00	19.4%	5.5%	16.6%	54.4%	22.8%	0.1%	-0.0%	21.1K	179.1K	-10.7K	0.00	94.27	5	0	584	770
2014-05-29	$85.16	$85.00	19.2%	5.5%	16.7%	53.3%	19.2%	7.1%	1.5%	31.3K	3.2K	-10.8K	0.00	98.20	6	0	589	770
2014-05-30	$84.92	$85.00	18.6%	5.3%	16.7%	50.0%	0.0%	7.3%	1.2%	30.6K	58.7K	-10.7K	0.00	94.87	3	0	589	770