LII Options History — September 2014

In September 2014, LII traded between $76.87 and $83.77. ATM implied volatility averaged 19.3%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 9.2% (HV 20d: 10.1%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.41.

Notable Days

2014-09-26: Highest Volume — 2,324 contracts
2014-09-29: Largest IV spike — 13.6% change
2014-09-29: Highest IV Rank — 66.1%
2014-09-03: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$80.53	$76.87	$83.77	$83.77	$76.87
Max Pain	$89.05	$80.00	$90.00	$90.00	$80.00
ATM IV	19.3%	17.1%	21.2%	18.5%	20.5%
Expected Move	5.9%	5.7%	6.2%	6.2%	6.0%
HV 20d	10.1%	8.1%	11.2%	11.0%	11.0%
HV 60d	14.0%	13.8%	14.4%	14.0%	13.9%
IV Rank	55.1%	42.0%	66.1%	50.4%	62.1%
IV Percentile	44.9%	6.7%	81.7%	24.6%	73.8%
Term Structure	0.9%	-1.2%	2.1%	0.7%	1.4%
VWIV	21.0%	19.7%	22.4%	20.6%	21.2%
Skew 25d	1.6%	-2.0%	5.5%	5.5%	-0.9%
Skew 10d	3.2%	-7.5%	25.9%	8.5%	-7.5%
Call IV 25d	19.4%	16.3%	22.2%	16.3%	21.3%
Put IV 25d	21.0%	18.9%	22.5%	21.8%	20.4%
Bid-Ask Spread %	76.45	67.88	82.59	74.53	80.24
Gamma HHI	0.51	0.34	0.69	0.68	0.56
Net GEX	319.3K	-210.3K	818.3K	401.6K	743.5K
Net DEX	-2.1M	-8.2M	195.5K	-3.5M	-7.1M
Net VEX	-36.0K	-66.6K	-21.1K	-42.6K	-63.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.00	18.50	0.04	0.02
Total Volume	164.667	0	2,324	29	53
Total OI	3,644.286	2,803	5,237	3,422	5,237

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
2014-09-02	$83.77	$90.00	18.5%	6.2%	11.0%	50.4%	0.0%	5.5%	0.7%	401.6K	-3.5M	-42.6K	0.04	74.53	28	1	2,822	600
2014-09-03	$83.65	$90.00	19.6%	6.2%	10.7%	56.6%	0.0%	4.6%	-0.8%	395.5K	-3.3M	-41.6K	0.00	77.16	2	0	2,848	601
2014-09-04	$83.19	$90.00	19.7%	5.8%	10.7%	57.3%	0.0%	2.9%	-1.2%	358.3K	-3.0M	-41.4K	0.00	75.61	9	0	2,843	601
2014-09-05	$82.77	$90.00	17.1%	5.7%	10.8%	42.0%	0.0%	2.2%	1.2%	269.0K	-2.0M	-37.2K	0.00	67.88	5	0	2,846	601
2014-09-08	$82.74	$90.00	18.7%	5.8%	8.5%	51.8%	0.0%	1.3%	0.5%	290.6K	-2.3M	-37.4K	0.00	69.88	0	0	2,851	601
2014-09-09	$81.91	$90.00	19.6%	6.0%	9.0%	56.7%	0.0%	2.5%	0.3%	249.4K	-1.8M	-36.4K	0.00	75.49	15	0	2,851	601
2014-09-10	$82.03	$90.00	19.9%	5.9%	8.5%	58.7%	20.6%	2.5%	0.3%	236.0K	-1.5M	-34.1K	0.04	72.07	524	23	2,861	601
2014-09-11	$81.49	$90.00	18.9%	5.9%	8.1%	52.8%	0.0%	-0.7%	1.4%	399.3K	-2.3M	-38.0K	0.00	76.89	8	0	3,320	609
2014-09-12	$80.68	$90.00	18.9%	5.9%	8.6%	52.7%	0.0%	0.6%	1.2%	320.1K	-1.6M	-36.9K	1.50	72.80	14	21	3,328	609
2014-09-15	$80.06	$90.00	19.3%	5.8%	8.7%	55.3%	0.0%	1.3%	0.5%	245.8K	-656.5K	-33.0K	0.00	80.52	0	0	3,324	630
2014-09-16	$81.04	$90.00	19.3%	5.9%	9.0%	55.1%	0.0%	3.2%	0.7%	318.6K	-1.2M	-34.4K	18.50	77.78	2	37	3,324	630
2014-09-17	$81.71	$90.00	20.2%	5.9%	9.6%	60.3%	22.4%	1.5%	-0.7%	420.4K	-2.0M	-36.0K	0.13	75.99	15	2	3,326	650
2014-09-18	$80.38	$90.00	18.5%	5.8%	10.9%	50.4%	0.0%	-0.0%	2.0%	167.9K	-597.4K	-31.1K	0.00	81.02	12	0	3,321	637
2014-09-19	$79.83	$90.00	18.2%	5.7%	10.7%	48.7%	0.0%	-2.0%	1.0%	-210.3K	195.5K	-28.1K	0.66	79.09	101	67	3,331	637
2014-09-22	$78.76	$90.00	19.7%	5.7%	11.2%	57.6%	22.2%	2.8%	1.5%	297.6K	-987.1K	-24.6K	4.80	77.88	5	24	2,499	304
2014-09-23	$78.18	$90.00	20.5%	5.7%	11.2%	61.8%	0.0%	1.7%	0.9%	254.2K	-544.4K	-23.8K	0.00	82.59	15	0	2,502	326
2014-09-24	$78.25	$90.00	19.3%	5.8%	11.2%	54.9%	19.7%	2.5%	2.1%	234.3K	-470.8K	-23.8K	0.00	71.15	97	0	2,502	326
2014-09-25	$78.02	$90.00	19.3%	5.7%	11.1%	55.2%	19.9%	2.1%	1.6%	256.1K	-574.8K	-23.2K	0.00	76.00	4	0	2,592	326
2014-09-26	$78.00	$90.00	18.6%	5.9%	11.1%	51.3%	20.8%	1.3%	1.9%	238.8K	-291.2K	-21.1K	0.00	80.93	2,314	10	2,596	326
2014-09-29	$77.70	$80.00	21.2%	6.0%	10.8%	66.1%	21.3%	-0.9%	1.6%	818.3K	-8.2M	-66.6K	1.17	79.99	23	27	4,854	336
2014-09-30	$76.87	$80.00	20.5%	6.0%	11.0%	62.1%	21.2%	-0.9%	1.4%	743.5K	-7.1M	-63.8K	0.02	80.24	52	1	4,877	360