LII Options History — October 2014

In October 2014, LII traded between $73.66 and $88.95. ATM implied volatility averaged 21.2%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 4.6% (HV 20d: 25.8%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.56.

Notable Days

  • 2014-10-20: Highest Volume — 844 contracts
  • 2014-10-20: Largest IV drop — 21.6% change
  • 2014-10-16: Highest IV Rank — 100.0%
  • 2014-10-17: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.96$73.66$88.95$75.69$88.95
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV21.2%18.7%27.6%19.1%18.9%
Expected Move6.3%6.0%6.7%6.0%6.2%
HV 20d25.8%11.6%39.9%11.6%38.8%
HV 60d19.2%14.0%25.4%14.1%25.2%
IV Rank65.1%49.6%100.0%53.8%50.7%
IV Percentile68.1%31.3%100.0%38.5%35.3%
Term Structure-0.6%-4.1%3.3%3.3%0.2%
VWIV21.8%20.1%24.0%20.1%22.1%
Skew 25d1.5%-3.6%10.8%-3.6%0.3%
Skew 10d1.9%-6.0%27.8%-6.0%-3.4%
Call IV 25d22.0%18.5%27.2%22.3%20.6%
Put IV 25d23.5%18.8%31.1%18.8%20.9%
Bid-Ask Spread %77.3771.2282.1179.3671.22
Gamma HHI0.480.350.620.600.45
Net GEX820.5K466.5K1.0M677.4K991.9K
Net DEX-16.4M-31.8M-3.4M-6.0M-31.8M
Net VEX-63.2K-75.4K-46.5K-59.9K-70.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.002.500.000.41
Total Volume348.9131844430762
Total OI5,546.5225,0836,2625,2885,860

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$75.69$80.0019.1%6.0%11.6%53.8%20.1%-3.6%3.3%677.4K-6.0M-59.9K0.0079.3643004,928360
2014-10-02$76.77$80.0022.1%6.1%13.4%71.2%20.6%10.8%1.8%709.9K-6.0M-58.2K0.0778.894334,723360
2014-10-03$77.22$80.0022.1%6.1%13.9%71.3%20.5%1.9%-0.2%763.3K-6.9M-61.1K0.4376.48734,759358
2014-10-06$76.80$80.0021.9%6.1%13.8%70.5%0.0%2.1%-1.5%693.9K-6.3M-57.4K0.0079.6310304,760360
2014-10-07$76.37$80.0021.0%6.3%13.6%64.8%0.0%0.9%-1.0%695.3K-6.2M-58.5K0.0077.890104,860360
2014-10-08$77.10$80.0018.7%6.2%14.3%51.5%20.9%2.2%-1.2%745.5K-6.2M-58.2K0.4876.082441184,860356
2014-10-09$75.38$80.0020.6%6.3%15.9%62.7%22.5%0.0%-0.9%588.0K-5.0M-53.0K2.5079.164104,862356
2014-10-10$75.45$80.0021.0%6.4%15.8%64.8%22.2%1.2%-1.6%575.1K-4.3M-50.3K0.4678.812461134,866366
2014-10-13$73.66$80.0020.0%6.5%17.4%59.0%21.8%1.2%0.8%472.1K-3.7M-47.5K0.0082.113104,855387
2014-10-14$74.27$80.0023.0%6.4%16.9%76.8%21.9%1.4%-2.1%466.5K-3.4M-46.5K0.5677.082341324,835387
2014-10-15$75.07$80.0026.6%6.6%17.2%97.6%23.0%2.5%-3.9%832.0K-8.3M-60.0K1.0674.411581675,864398
2014-10-16$76.22$80.0027.6%6.7%17.9%100.0%0.0%4.0%-4.1%875.7K-9.5M-62.1K0.0075.80015,828403
2014-10-17$76.35$80.0027.4%6.7%17.9%98.6%22.8%1.7%-3.1%896.6K-10.6M-64.2K0.2678.96151395,827404
2014-10-20$84.22$80.0021.4%6.2%39.4%65.3%21.3%3.2%-0.1%994.4K-23.1M-72.1K0.4377.185892554,855363
2014-10-21$86.24$80.0020.6%6.3%39.9%60.6%21.7%1.4%0.3%984.8K-27.4M-73.1K0.5874.353732175,003534
2014-10-22$86.87$80.0020.7%6.2%39.8%60.9%21.6%2.5%-1.5%1.0M-29.2M-75.4K0.4975.144512205,154599
2014-10-23$87.84$80.0019.9%6.0%39.8%56.4%21.8%-0.8%-0.4%980.3K-30.6M-72.2K0.4876.694212045,133606
2014-10-24$87.83$80.0019.8%6.0%39.8%56.0%21.3%0.2%-0.6%987.7K-30.1M-71.9K0.4877.174212045,131613
2014-10-27$88.46$80.0018.9%6.0%39.6%51.1%24.0%0.4%1.1%1.0M-31.1M-71.1K1.0581.4176805,131623
2014-10-28$88.95$80.0019.0%6.1%39.1%51.5%0.0%0.3%0.2%958.3K-31.8M-69.1K1.1379.20895,104649
2014-10-29$87.79$80.0019.4%6.2%38.9%53.4%21.5%0.1%-0.1%976.3K-29.6M-70.3K0.5379.144722505,095656
2014-10-30$88.50$80.0018.7%6.1%38.8%49.6%21.9%0.5%0.4%985.6K-30.8M-70.4K0.4173.385422245,113666
2014-10-31$88.95$80.0018.9%6.2%38.8%50.7%22.1%0.3%0.2%991.9K-31.8M-70.6K0.4171.225422205,203657