LII Options History — November 2014

In November 2014, LII traded between $88.43 and $94.48. ATM implied volatility averaged 18.6%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 6.2% (HV 20d: 24.8%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.52.

Notable Days

2014-11-21: Highest Volume — 777 contracts
2014-11-13: Largest IV drop — 9.9% change
2014-11-06: Highest IV Rank — 59.8%
2014-11-06: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.82	$88.43	$94.48	$89.46	$93.67
Max Pain	$80.00	$80.00	$80.00	$80.00	$80.00
ATM IV	18.6%	17.2%	20.5%	19.8%	18.2%
Expected Move	6.0%	5.7%	6.3%	5.9%	5.7%
HV 20d	24.8%	10.1%	38.9%	38.5%	10.2%
HV 60d	25.1%	25.0%	25.3%	25.0%	25.1%
IV Rank	49.3%	41.2%	59.8%	56.0%	46.8%
IV Percentile	33.4%	8.3%	74.6%	59.1%	23.8%
Term Structure	1.6%	-1.4%	4.2%	-0.9%	-0.2%
VWIV	21.5%	20.7%	22.8%	21.4%	20.7%
Skew 25d	0.3%	-2.2%	3.9%	-0.9%	0.3%
Skew 10d	0.7%	-6.5%	7.0%	-2.2%	-2.3%
Call IV 25d	18.9%	17.6%	21.9%	21.7%	19.0%
Put IV 25d	19.2%	15.6%	23.7%	20.9%	19.3%
Bid-Ask Spread %	76.92	70.58	82.53	74.70	77.44
Gamma HHI	0.59	0.46	0.86	0.46	0.83
Net GEX	899.9K	579.6K	1.0M	1.0M	649.2K
Net DEX	-31.2M	-39.7M	-13.6M	-33.0M	-13.6M
Net VEX	-55.2K	-69.0K	-32.4K	-69.0K	-33.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.00	1.30	0.39	1.00
Total Volume	519.895	8	777	738	20
Total OI	5,174.684	2,677	5,885	5,858	2,712

Daily Data (19 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
2014-11-03	$89.46	$80.00	19.8%	5.9%	38.5%	56.0%	21.4%	-0.9%	-0.9%	1.0M	-33.0M	-69.0K	0.39	74.70	530	208	5,203	655
2014-11-04	$88.43	$80.00	19.9%	6.0%	38.9%	56.3%	21.6%	-2.2%	-0.3%	993.1K	-31.5M	-68.8K	0.41	70.58	530	218	5,156	663
2014-11-05	$89.55	$80.00	19.2%	6.1%	38.9%	52.6%	21.5%	0.8%	0.0%	1.0M	-32.7M	-65.6K	0.47	76.49	481	228	5,156	673
2014-11-06	$90.92	$80.00	20.5%	6.3%	37.3%	59.8%	22.8%	3.9%	-1.4%	968.8K	-34.5M	-66.0K	0.47	76.85	481	228	5,156	683
2014-11-07	$90.92	$80.00	19.1%	6.0%	37.3%	51.9%	21.7%	1.3%	3.0%	984.4K	-35.0M	-64.6K	0.47	77.50	481	228	5,153	683
2014-11-10	$91.44	$80.00	19.9%	5.8%	35.3%	56.4%	21.6%	2.4%	1.2%	1.0M	-35.8M	-62.8K	0.48	82.09	481	232	5,153	683
2014-11-11	$91.33	$80.00	19.6%	6.1%	35.5%	54.7%	21.6%	0.7%	3.3%	929.0K	-35.1M	-56.0K	0.50	77.40	481	241	4,946	615
2014-11-12	$91.36	$80.00	19.2%	6.1%	35.7%	52.3%	21.3%	1.5%	3.2%	967.9K	-36.2M	-61.1K	0.50	78.01	481	241	5,154	709
2014-11-13	$91.40	$80.00	17.3%	6.1%	35.8%	41.6%	21.4%	-0.2%	4.2%	998.7K	-36.3M	-60.4K	0.50	73.58	481	241	5,154	709
2014-11-14	$91.92	$80.00	18.0%	6.0%	35.7%	45.7%	21.5%	-2.2%	2.5%	969.1K	-36.9M	-59.8K	0.00	82.53	0	10	5,154	709
2014-11-17	$91.46	$80.00	17.8%	6.0%	13.6%	44.5%	21.2%	-0.5%	3.1%	1.0M	-36.5M	-59.0K	0.55	80.66	436	241	5,154	719
2014-11-18	$91.59	$80.00	18.0%	6.0%	11.5%	45.8%	21.3%	0.9%	2.9%	995.0K	-36.8M	-58.4K	0.56	75.94	436	246	5,160	719
2014-11-19	$92.00	$80.00	18.0%	6.0%	11.4%	45.7%	0.0%	0.7%	2.8%	983.5K	-37.1M	-57.9K	0.00	79.64	0	8	5,158	727
2014-11-20	$92.83	$80.00	17.2%	5.9%	11.2%	41.2%	21.4%	0.6%	3.2%	943.3K	-38.0M	-53.9K	0.57	78.13	436	250	5,106	719
2014-11-21	$93.47	$80.00	17.8%	6.0%	11.2%	44.9%	21.6%	-0.4%	3.2%	857.2K	-39.7M	-50.3K	0.66	72.18	469	308	5,106	711
2014-11-24	$94.35	$80.00	18.7%	5.8%	11.3%	49.6%	21.9%	0.2%	0.2%	579.6K	-14.5M	-34.0K	0.00	75.04	41	0	2,161	561
2014-11-25	$94.48	$80.00	18.3%	5.8%	11.3%	47.6%	21.4%	-0.7%	0.0%	597.7K	-14.6M	-34.4K	1.30	73.44	196	254	2,201	561
2014-11-26	$94.01	$80.00	17.5%	5.8%	10.1%	42.9%	0.0%	-0.7%	0.4%	621.6K	-13.9M	-32.4K	0.00	79.21	35	0	2,116	561
2014-11-28	$93.67	$80.00	18.2%	5.7%	10.2%	46.8%	20.7%	0.3%	-0.2%	649.2K	-13.6M	-33.8K	1.00	77.44	10	10	2,151	561