LII Options History — August 2014

In August 2014, LII traded between $83.43 and $85.25. ATM implied volatility averaged 19.4%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.2% (HV 20d: 16.2%). 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 19 of 21 days. Put/call ratio averaged 0.44.

Notable Days

2014-08-07: Highest Volume — 500 contracts
2014-08-28: Largest IV spike — 7.8% change
2014-08-07: Highest IV Rank — 66.9%
2014-08-08: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.45	$83.43	$85.25	$85.25	$83.76
Max Pain	$90.00	$90.00	$90.00	$90.00	$90.00
ATM IV	19.4%	17.6%	21.3%	20.3%	19.3%
Expected Move	6.1%	5.9%	6.3%	6.1%	6.2%
HV 20d	16.2%	10.9%	19.8%	18.6%	11.0%
HV 60d	16.1%	15.4%	16.5%	16.4%	15.4%
IV Rank	55.4%	45.0%	66.9%	60.7%	55.1%
IV Percentile	40.2%	14.3%	69.8%	58.3%	41.7%
Term Structure	1.0%	-0.5%	3.0%	-0.4%	0.3%
VWIV	22.2%	20.6%	23.8%	23.8%	20.6%
Skew 25d	3.5%	1.0%	7.7%	3.7%	3.7%
Skew 10d	5.1%	-1.3%	10.7%	4.5%	5.7%
Call IV 25d	17.7%	13.9%	19.8%	14.5%	16.4%
Put IV 25d	21.2%	18.2%	23.4%	18.2%	20.1%
Bid-Ask Spread %	72.49	63.31	77.31	70.22	76.20
Gamma HHI	0.64	0.55	0.72	0.63	0.65
Net GEX	375.1K	232.2K	533.7K	325.9K	390.4K
Net DEX	-3.6M	-5.2M	-2.0M	-3.5M	-3.2M
Net VEX	-45.8K	-55.2K	-40.0K	-44.1K	-42.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	3.75	3.75	0.00
Total Volume	46.286	0	500	38	45
Total OI	3,082.143	2,638	3,646	2,638	3,377

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
2014-08-01	$85.25	$90.00	20.3%	6.1%	18.6%	60.7%	0.0%	3.7%	-0.4%	325.9K	-3.5M	-44.1K	3.75	70.22	8	30	2,025	613
2014-08-04	$84.98	$90.00	20.5%	6.1%	18.6%	62.2%	0.0%	3.2%	1.0%	292.9K	-2.8M	-42.8K	0.00	72.97	0	0	2,029	643
2014-08-05	$84.38	$90.00	21.1%	6.2%	18.6%	65.7%	0.0%	2.6%	1.4%	272.8K	-2.6M	-41.5K	0.00	65.14	0	0	2,029	643
2014-08-06	$83.94	$90.00	20.9%	6.2%	18.4%	64.5%	0.0%	4.4%	1.0%	246.2K	-2.1M	-40.0K	0.00	72.62	0	5	2,029	643
2014-08-07	$83.61	$90.00	21.3%	6.2%	18.3%	66.9%	0.0%	2.5%	1.2%	232.2K	-2.0M	-40.3K	0.00	69.51	500	0	2,029	643
2014-08-08	$85.08	$90.00	20.1%	6.3%	19.5%	59.5%	23.8%	4.3%	0.9%	416.1K	-4.0M	-50.8K	0.00	69.54	0	2	2,529	643
2014-08-11	$85.01	$90.00	21.0%	6.2%	19.4%	65.1%	0.0%	2.4%	1.3%	432.1K	-4.7M	-51.6K	0.00	74.95	0	2	2,529	645
2014-08-12	$84.16	$90.00	20.0%	6.2%	19.7%	59.0%	0.0%	2.8%	2.0%	374.6K	-3.7M	-48.5K	0.00	71.05	14	0	2,529	643
2014-08-13	$84.75	$90.00	18.7%	6.1%	19.8%	51.6%	0.0%	1.9%	1.8%	395.1K	-3.9M	-48.2K	0.00	77.31	0	1	2,541	643
2014-08-14	$84.60	$90.00	19.5%	6.1%	17.9%	56.3%	0.0%	3.6%	2.0%	382.2K	-3.7M	-47.3K	0.14	71.59	21	3	2,537	626
2014-08-15	$84.05	$90.00	18.6%	6.2%	17.1%	51.0%	23.3%	2.8%	3.0%	356.9K	-3.3M	-46.5K	0.00	63.31	0	13	2,538	626
2014-08-18	$84.97	$90.00	19.2%	6.1%	17.4%	54.7%	21.1%	2.9%	0.1%	433.2K	-4.3M	-47.7K	0.00	73.32	41	0	2,518	592
2014-08-19	$85.12	$90.00	18.6%	6.2%	16.2%	50.9%	0.0%	1.0%	0.5%	455.0K	-4.7M	-47.9K	0.20	75.36	15	3	2,517	592
2014-08-20	$85.06	$90.00	18.7%	6.2%	13.3%	51.5%	20.6%	3.5%	0.4%	444.0K	-4.3M	-47.1K	0.00	73.56	20	0	2,531	595
2014-08-21	$84.28	$90.00	18.4%	6.0%	13.2%	49.7%	0.0%	2.0%	0.8%	533.7K	-5.2M	-55.2K	0.00	75.47	2	0	3,051	595
2014-08-22	$84.45	$90.00	18.0%	6.2%	13.3%	47.2%	0.0%	7.7%	1.1%	358.0K	-3.4M	-44.2K	0.64	76.46	14	9	2,549	595
2014-08-25	$84.56	$90.00	18.0%	6.0%	12.9%	47.7%	0.0%	7.0%	0.6%	415.9K	-4.0M	-45.1K	0.00	75.35	4	0	2,563	602
2014-08-26	$83.98	$90.00	17.8%	5.9%	12.8%	46.1%	0.0%	1.0%	0.6%	384.0K	-3.6M	-44.7K	0.00	66.48	0	0	2,565	602
2014-08-27	$84.02	$90.00	17.6%	5.9%	12.6%	45.0%	0.0%	5.0%	1.6%	359.9K	-3.2M	-43.2K	0.02	75.14	208	4	2,565	592
2014-08-28	$83.43	$90.00	19.0%	6.0%	10.9%	53.0%	0.0%	5.0%	-0.5%	376.4K	-3.2M	-42.7K	1.00	76.75	4	4	2,773	596
2014-08-29	$83.76	$90.00	19.3%	6.2%	11.0%	55.1%	0.0%	3.7%	0.3%	390.4K	-3.2M	-42.7K	0.00	76.20	45	0	2,777	600