LII Options History — July 2014

In July 2014, LII traded between $85.32 and $91.10. ATM implied volatility averaged 19.5%, placing in the 55.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.5% (HV 20d: 15.0%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.10.

Notable Days

  • 2014-07-22: Highest Volume — 1,082 contracts
  • 2014-07-10: Largest IV spike — 56.2% change
  • 2014-07-11: Highest IV Rank — 85.8%
  • 2014-07-11: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.30$85.32$91.10$90.36$85.32
Max Pain$88.50$80.00$90.00$90.00$90.00
ATM IV19.5%15.0%24.8%17.1%19.9%
Expected Move6.1%4.5%7.1%4.9%6.1%
HV 20d15.0%11.8%18.7%16.5%18.7%
HV 60d16.5%15.0%18.0%18.0%16.4%
IV Rank55.7%29.5%85.8%41.5%58.8%
IV Percentile40.0%3.2%94.8%6.0%52.0%
Term Structure-0.4%-3.5%5.7%4.3%0.3%
VWIV21.7%20.7%23.5%23.5%21.3%
Skew 25d1.2%-2.6%4.8%1.5%-2.6%
Skew 10d2.6%-4.7%9.3%1.8%-4.7%
Call IV 25d19.7%14.0%24.5%14.0%21.0%
Put IV 25d20.9%13.5%25.6%15.4%18.4%
Bid-Ask Spread %82.5761.6999.8299.0071.51
Gamma HHI0.410.230.700.250.63
Net GEX120.2K-62.1K450.6K-20.7K324.8K
Net DEX-1.8M-8.2M930.4K-84.8K-3.7M
Net VEX-21.1K-48.0K-8.1K-8.7K-43.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.0018.0018.001.00
Total Volume93.63601,082040
Total OI1,392.2737622,5987622,598

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$90.36$90.0017.1%4.9%16.5%41.5%0.0%1.5%4.3%-20.7K-84.8K-8.7K0.0099.0000323439
2014-07-02$89.83$90.0016.2%4.6%16.7%36.3%0.0%-1.6%5.5%-27.9K-3.6K-8.5K0.0099.66012323439
2014-07-03$89.94$90.0015.7%4.5%15.9%33.4%0.0%0.1%5.7%-33.2K69.5K-8.6K0.0099.8200323451
2014-07-07$89.40$0.0016.6%6.3%11.9%38.3%0.0%2.0%-0.9%-34.8K156.7K-8.6K0.0091.2000323451
2014-07-08$88.72$0.0017.3%6.5%11.8%42.4%0.0%1.0%-1.7%-40.9K303.9K-8.4K0.0090.2100323451
2014-07-09$87.94$0.0015.0%6.4%12.0%29.5%0.0%1.0%-2.7%-44.3K419.7K-8.1K18.0089.83236323451
2014-07-10$87.09$0.0023.5%6.7%12.2%77.9%0.0%2.7%-1.4%-59.0K809.5K-8.9K0.0089.0820323487
2014-07-11$87.30$0.0024.8%7.1%11.9%85.8%0.0%1.1%-3.5%-62.1K800.2K-9.1K0.0092.23100325487
2014-07-14$87.53$0.0023.3%6.7%11.8%76.7%0.0%1.8%-3.0%-55.0K722.8K-8.6K0.0091.9930330487
2014-07-15$87.40$0.0024.2%6.9%11.8%82.2%0.0%1.6%-3.4%-53.2K752.1K-8.5K0.0092.6009333487
2014-07-16$87.86$0.0022.8%6.5%11.9%74.2%0.0%2.7%-2.3%-50.7K704.6K-8.4K0.1890.77112333482
2014-07-17$85.77$0.0023.7%6.8%14.5%79.2%0.0%1.3%-3.5%-55.8K930.4K-8.1K0.0091.7260338477
2014-07-18$87.01$0.0023.8%6.8%15.5%79.9%23.5%2.3%-2.1%-49.7K853.9K-8.1K0.0490.1150821334477
2014-07-21$87.68$0.0017.5%5.9%15.8%43.7%0.0%2.8%-0.2%164.8K-1.0M-14.6K5.6769.54634822472
2014-07-22$89.04$0.0017.4%6.1%16.8%44.0%21.3%4.8%0.7%180.1K-1.7M-15.2K0.0166.571,06715826506
2014-07-23$91.10$80.0017.5%6.0%17.2%44.8%20.9%-2.0%0.9%446.8K-8.2M-45.7K0.2668.0895251,890521
2014-07-24$90.16$85.0017.5%5.9%17.0%44.6%21.1%0.5%0.6%450.6K-7.7M-47.0K3.3063.3410331,950531
2014-07-25$89.66$90.0017.4%5.9%17.2%43.9%0.0%0.9%0.5%437.5K-7.0M-48.0K0.0061.69101,960562
2014-07-28$88.54$90.0018.7%5.9%17.5%51.8%20.7%3.3%-0.5%420.9K-6.1M-46.6K0.9366.6145421,961562
2014-07-29$87.81$90.0019.5%5.9%17.7%56.1%0.0%1.1%-1.6%416.0K-5.8M-46.9K0.0068.42032,005568
2014-07-30$87.05$90.0020.1%6.0%17.5%59.9%22.8%0.4%-1.1%390.5K-4.9M-45.6K0.0072.490222,005571
2014-07-31$85.32$90.0019.9%6.1%18.7%58.8%21.3%-2.6%0.3%324.8K-3.7M-43.9K1.0071.5120202,005593