LII Options History — June 2014 In June 2014, LII traded between $85.29 and $91.16. ATM implied volatility averaged 17.7%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.8% (HV 20d: 15.9%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.58.
Notable Days 2014-06-24 : Highest Volume — 42 contracts2014-06-05 : Largest IV drop — 24.3% change2014-06-04 : Highest IV Rank — 54.2%2014-06-04 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $88.88 $85.29 $91.16 $85.29 $89.57 Max Pain $89.05 $85.00 $90.00 $85.00 $90.00 ATM IV 17.7% 14.6% 19.3% 19.3% 16.7% Expected Move 5.1% 4.2% 5.5% 5.5% 4.8% HV 20d 15.9% 13.4% 17.1% 16.6% 16.5% HV 60d 18.7% 17.9% 19.4% 17.9% 18.4% IV Rank 45.1% 27.3% 54.2% 53.9% 38.9% IV Percentile 11.3% 2.8% 26.2% 24.6% 4.8% Term Structure 2.4% -0.3% 4.9% 0.5% 4.2% VWIV 17.8% 14.2% 19.3% 19.3% 16.5% Skew 25d 3.3% 1.1% 8.4% 8.4% 3.4% Skew 10d 7.2% -2.1% 47.9% 11.5% 5.6% Call IV 25d 16.3% 10.5% 18.5% 13.1% 14.9% Put IV 25d 19.6% 17.6% 21.4% 21.4% 18.4% Bid-Ask Spread % 95.00 88.46 100.55 98.47 98.22 Gamma HHI 0.32 0.23 0.51 0.23 0.24 Net GEX 50.3K -36.5K 175.0K 36.4K -27.6K Net DEX -981.1K -2.2M 343.5K -28.0K 70.9K Net VEX -9.3K -10.4K -8.6K -10.4K -8.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.00 4.00 0.00 0.00 Total Volume 11.81 0 42 1 12 Total OI 1,213.381 758 1,455 1,362 767
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 2014-06-02 $85.29 $85.00 19.3% 5.5% 16.6% 53.9% 19.3% 8.4% 0.5% 36.4K -28.0K -10.4K 0.00 98.47 1 0 592 770 2014-06-03 $86.17 $85.00 19.2% 5.5% 16.0% 53.6% 14.2% 6.3% 0.1% 47.2K -345.5K -10.2K 0.00 100.55 6 0 591 770 2014-06-04 $86.50 $85.00 19.3% 5.5% 13.4% 54.2% 19.3% 7.7% -0.3% 53.5K -525.6K -10.4K 0.09 98.68 22 2 591 770 2014-06-05 $87.88 $85.00 14.6% 4.2% 14.2% 27.3% 16.3% 3.3% 2.0% 63.1K -1.0M -10.1K 4.00 98.95 3 12 590 772 2014-06-06 $90.55 $90.00 17.1% 5.4% 17.1% 41.5% 0.0% 2.6% 1.2% 61.3K -2.0M -8.7K 0.00 93.47 2 0 587 772 2014-06-09 $91.16 $90.00 17.5% 5.3% 17.1% 43.9% 18.4% 1.1% 2.4% 70.6K -2.2M -8.6K 1.43 90.91 7 10 587 772 2014-06-10 $90.81 $90.00 17.9% 5.4% 16.9% 46.1% 0.0% 2.3% 1.9% 71.1K -2.2M -8.7K 0.00 90.70 22 0 591 775 2014-06-11 $90.13 $90.00 18.2% 5.3% 16.1% 47.9% 18.6% 1.7% 2.4% 84.9K -2.0M -9.2K 0.00 92.29 0 16 612 775 2014-06-12 $89.23 $90.00 18.5% 5.3% 16.5% 49.4% 18.6% 1.2% 2.6% 78.8K -1.8M -9.4K 0.00 90.46 0 14 612 784 2014-06-13 $88.78 $90.00 18.4% 5.3% 16.6% 49.1% 18.3% 1.7% 2.4% 67.8K -1.5M -9.5K 1.40 88.46 5 7 612 798 2014-06-16 $88.77 $90.00 18.1% 5.2% 16.6% 47.0% 18.2% 2.5% 2.2% 67.9K -1.5M -9.3K 0.33 94.42 3 1 617 805 2014-06-17 $89.15 $90.00 18.0% 5.2% 16.6% 46.4% 0.0% 1.6% 3.0% 76.1K -1.6M -9.0K 0.90 91.62 20 18 620 805 2014-06-18 $89.22 $90.00 17.5% 5.0% 14.9% 43.8% 0.0% 2.6% 2.5% 118.9K -1.6M -9.8K 0.00 91.91 1 0 640 815 2014-06-19 $89.62 $90.00 18.1% 5.2% 14.9% 46.9% 0.0% 3.1% 2.4% 175.0K -1.7M -9.4K 0.00 92.90 0 0 633 812 2014-06-20 $89.55 $90.00 17.9% 5.1% 14.9% 45.9% 0.0% 2.1% 2.9% 170.2K -1.7M -9.4K 0.00 94.77 0 5 633 812 2014-06-23 $89.21 $90.00 17.8% 5.1% 14.1% 45.3% 0.0% 2.6% 2.8% -23.8K 123.6K -9.2K 0.00 98.68 3 0 323 435 2014-06-24 $87.57 $90.00 17.5% 5.0% 16.0% 43.6% 0.0% 1.7% 3.2% -36.5K 343.5K -8.8K 0.00 96.47 42 0 323 435 2014-06-25 $88.85 $90.00 18.2% 5.2% 16.6% 47.6% 0.0% 3.3% 2.8% -34.9K 265.6K -8.7K 0.00 98.38 5 0 323 435 2014-06-26 $88.92 $90.00 16.5% 4.7% 16.5% 37.9% 16.5% 5.0% 4.4% -29.5K 196.0K -9.0K 0.00 98.57 0 9 323 435 2014-06-27 $89.64 $90.00 16.3% 4.7% 16.5% 36.9% 0.0% 5.5% 4.9% -33.6K 121.6K -8.8K 0.00 96.11 0 0 323 444 2014-06-30 $89.57 $90.00 16.7% 4.8% 16.5% 38.9% 0.0% 3.4% 4.2% -27.6K 70.9K -8.9K 0.00 98.22 0 12 323 444
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