LII Options History — December 2014

In December 2014, LII traded between $92.24 and $96.14. ATM implied volatility averaged 19.8%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.1% (HV 20d: 13.7%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2014-12-15: Highest Volume — 619 contracts
  • 2014-12-10: Largest IV spike — 16.5% change
  • 2014-12-16: Highest IV Rank — 70.3%
  • 2014-12-29: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.49$92.24$96.14$92.24$95.07
Max Pain$84.05$80.00$95.00$80.00$90.00
ATM IV19.8%18.3%22.9%18.9%18.7%
Expected Move6.3%5.9%6.9%6.0%6.6%
HV 20d13.7%10.8%15.9%12.1%13.8%
HV 60d25.2%24.8%25.5%25.3%24.8%
IV Rank52.9%43.5%70.3%51.1%44.5%
IV Percentile54.0%24.6%90.9%37.3%31.3%
Term Structure2.1%-1.1%4.6%0.1%4.4%
VWIV22.6%21.0%23.8%21.7%23.6%
Skew 25d0.2%-5.1%1.9%-0.0%-4.3%
Skew 10d2.5%-7.9%8.6%-0.3%-7.6%
Call IV 25d20.0%17.9%22.0%19.9%19.1%
Put IV 25d20.2%14.8%23.3%19.9%14.8%
Bid-Ask Spread %80.6072.1794.0277.8589.04
Gamma HHI0.740.480.860.860.73
Net GEX496.6K298.3K754.8K754.8K320.7K
Net DEX-12.3M-16.7M-8.8M-12.0M-8.9M
Net VEX-30.9K-36.5K-26.5K-35.1K-26.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.001.461.430.00
Total Volume424.818061958330
Total OI2,574.5911,9143,0782,7131,918

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$92.24$80.0018.9%6.0%12.1%51.1%21.7%-0.0%0.1%754.8K-12.0M-35.1K1.4377.852403432,152561
2014-12-02$93.60$80.0019.4%5.9%12.8%53.6%21.8%0.2%-1.1%605.7K-12.7M-36.5K1.0077.202402392,152662
2014-12-03$94.73$80.0018.8%5.9%12.2%50.1%21.8%1.7%-0.7%554.2K-14.3M-32.7K0.9875.832442392,123660
2014-12-04$94.73$80.0018.3%5.9%11.7%47.5%0.0%0.2%-0.1%572.1K-14.3M-32.0K0.0080.51002,122660
2014-12-05$95.25$80.0018.6%5.9%10.8%49.2%23.3%1.2%3.0%508.3K-15.0M-31.4K0.9976.172412392,123660
2014-12-08$94.72$80.0019.3%5.9%11.2%52.9%21.0%0.1%2.8%578.0K-14.6M-30.7K0.9973.922322302,129660
2014-12-09$94.69$80.0019.4%5.9%11.1%53.5%22.5%0.3%2.6%566.2K-14.5M-30.7K1.0877.362322502,129659
2014-12-10$93.19$80.0022.6%6.2%12.8%68.5%23.0%1.5%2.1%624.8K-12.8M-34.2K1.1572.172723142,129681
2014-12-11$93.44$80.0020.0%6.2%12.8%52.4%22.7%-0.3%1.3%595.4K-13.3M-33.4K1.2076.242653192,146764
2014-12-12$92.50$80.0021.5%6.3%13.4%61.9%23.0%1.6%0.3%637.7K-11.4M-34.8K1.4674.782183192,149770
2014-12-15$92.60$80.0021.4%6.5%13.2%61.4%22.9%0.3%1.4%664.7K-11.7M-33.2K1.0680.693003192,149770
2014-12-16$92.37$80.0022.9%6.6%13.1%70.3%23.5%1.7%-0.4%684.8K-12.6M-33.4K0.8774.503002602,235770
2014-12-17$94.71$80.0020.3%6.4%15.8%54.1%23.2%1.7%1.9%545.1K-15.1M-30.7K0.8874.843072712,235795
2014-12-18$94.97$80.0020.2%6.4%15.7%53.7%22.1%0.5%2.4%459.9K-15.8M-29.7K0.8578.933072602,238826
2014-12-19$95.95$85.0019.1%6.3%15.8%46.5%22.1%1.9%3.1%414.0K-16.7M-28.3K0.0083.87602,237841
2014-12-22$95.43$0.0019.8%6.6%15.9%51.4%23.0%1.5%3.1%299.4K-8.8M-29.6K0.6688.282831861,430487
2014-12-23$96.14$95.0019.0%6.6%15.8%46.4%23.0%1.1%3.9%298.3K-9.3M-28.4K0.6784.432781861,440487
2014-12-24$95.68$95.0018.6%6.4%15.9%43.5%22.5%-0.4%4.1%306.8K-9.1M-28.4K0.7786.512581981,440487
2014-12-26$95.68$95.0019.5%6.4%15.8%49.4%22.5%0.1%3.6%315.9K-9.4M-26.8K0.7687.962591981,432501
2014-12-29$95.58$95.0019.4%6.9%15.7%48.8%23.8%-1.6%4.6%304.3K-9.1M-26.9K0.7888.062592031,413501
2014-12-30$95.41$90.0020.0%6.6%14.5%52.3%0.0%-5.1%3.4%313.9K-9.0M-26.9K0.0094.02201,412506
2014-12-31$95.07$90.0018.7%6.6%13.8%44.5%23.6%-4.3%4.4%320.7K-8.9M-26.5K0.0089.043001,412506