LII Options History — January 2015

In January 2015, LII traded between $93.85 and $99.90. ATM implied volatility averaged 24.6%, placing in the 79.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 10.4% (HV 20d: 14.1%). Max pain ranged from $90.00 to $100.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 9.26.

Notable Days

2015-01-08: Highest Volume — 1,871 contracts
2015-01-12: Largest IV spike — 32.7% change
2015-01-29: Highest IV Rank — 100.0%
2015-01-30: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$96.76	$93.85	$99.90	$94.66	$98.27
Max Pain	$93.50	$90.00	$100.00	$90.00	$100.00
ATM IV	24.6%	17.4%	29.7%	19.6%	29.7%
Expected Move	7.5%	6.8%	8.5%	6.8%	8.5%
HV 20d	14.1%	13.1%	16.0%	13.2%	16.0%
HV 60d	18.4%	13.5%	24.8%	24.8%	14.0%
IV Rank	79.0%	36.1%	100.0%	50.1%	100.0%
IV Percentile	86.7%	8.7%	100.0%	54.8%	100.0%
Term Structure	-2.5%	-7.3%	4.1%	4.1%	-7.3%
VWIV	27.3%	23.8%	30.6%	23.8%	30.6%
Skew 25d	2.3%	-0.4%	4.1%	0.2%	4.1%
Skew 10d	5.4%	-0.5%	14.2%	0.1%	-0.1%
Call IV 25d	25.3%	21.7%	29.5%	21.7%	29.5%
Put IV 25d	27.6%	21.8%	33.7%	21.8%	33.7%
Bid-Ask Spread %	91.08	84.85	95.36	90.63	89.63
Gamma HHI	0.44	0.29	0.71	0.71	0.29
Net GEX	80.1K	-48.6K	338.9K	338.4K	27.6K
Net DEX	-4.0M	-8.9M	-1.1M	-8.5M	-3.4M
Net VEX	-22.5K	-29.7K	-17.8K	-28.3K	-25.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.26	0.00	151.00	0.74	0.65
Total Volume	689.15	6	1,871	473	990
Total OI	1,774.55	1,474	2,164	1,941	2,164

Daily Data (20 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
2015-01-02	$94.66	$90.00	19.6%	6.8%	13.2%	50.1%	23.8%	0.2%	4.1%	338.4K	-8.5M	-28.3K	0.74	90.63	272	201	1,435	506
2015-01-05	$94.33	$90.00	21.4%	7.1%	13.3%	61.2%	24.0%	1.1%	-2.5%	338.9K	-8.3M	-27.5K	0.00	93.04	0	15	1,431	516
2015-01-06	$93.85	$90.00	22.0%	7.1%	13.2%	65.1%	28.3%	2.8%	-1.2%	329.3K	-7.9M	-28.2K	151.00	88.87	1	151	1,431	521
2015-01-07	$94.66	$90.00	21.2%	7.2%	13.5%	60.1%	0.0%	1.8%	-1.9%	290.3K	-8.1M	-29.7K	0.00	93.95	6	0	1,431	664
2015-01-08	$96.25	$90.00	19.6%	7.1%	14.7%	49.8%	26.0%	3.0%	-2.0%	274.9K	-8.9M	-28.9K	0.47	90.01	1,274	597	1,438	664
2015-01-09	$96.03	$90.00	17.4%	7.3%	13.4%	36.1%	26.3%	1.5%	-2.2%	-17.6K	-2.0M	-18.7K	0.44	88.29	1,265	561	537	937
2015-01-12	$96.74	$90.00	23.1%	7.3%	13.5%	71.6%	29.0%	2.6%	-1.5%	-17.1K	-2.1M	-18.5K	0.44	84.85	1,265	561	547	944
2015-01-13	$96.16	$90.00	23.2%	7.3%	13.1%	68.2%	26.5%	2.0%	-1.6%	-20.1K	-2.0M	-18.5K	0.42	90.32	1,265	529	547	944
2015-01-14	$96.90	$90.00	26.2%	7.5%	13.3%	89.8%	28.8%	3.1%	-1.6%	-34.1K	-1.9M	-19.7K	1.93	90.46	265	511	547	1,033
2015-01-15	$94.78	$90.00	25.9%	7.4%	15.8%	87.9%	26.0%	1.5%	-2.0%	-42.9K	-1.3M	-20.3K	1.91	90.29	268	512	543	1,027
2015-01-16	$94.63	$90.00	26.8%	7.7%	13.1%	93.8%	28.5%	3.0%	-2.4%	-44.5K	-1.1M	-20.9K	0.00	89.63	0	25	549	1,028
2015-01-20	$95.73	$95.00	27.0%	7.7%	13.7%	95.4%	26.7%	2.7%	-2.7%	-48.6K	-1.6M	-19.3K	0.29	92.13	34	10	530	1,030
2015-01-21	$96.94	$95.00	27.6%	7.9%	13.9%	99.5%	26.7%	3.4%	-3.2%	-26.2K	-1.9M	-19.0K	0.00	91.53	13	0	564	1,030
2015-01-22	$98.26	$95.00	24.9%	7.1%	14.5%	80.6%	27.7%	3.7%	-2.3%	-7.1K	-2.5M	-17.9K	1.15	90.06	246	282	578	1,030
2015-01-23	$98.64	$100.00	26.4%	7.6%	14.3%	90.9%	29.0%	2.1%	-3.2%	-11.7K	-2.7M	-17.8K	0.58	92.05	509	296	588	1,055
2015-01-26	$99.90	$100.00	26.1%	7.5%	14.7%	88.9%	25.8%	2.5%	-2.6%	65.7K	-4.3M	-22.8K	0.40	92.33	10	4	834	1,069
2015-01-27	$99.23	$100.00	27.0%	7.7%	15.0%	95.8%	27.7%	2.8%	-3.8%	68.5K	-4.1M	-22.8K	5.00	95.36	2	10	844	1,073
2015-01-28	$99.50	$95.00	26.9%	7.7%	15.0%	95.1%	27.2%	-0.4%	-4.2%	72.0K	-4.3M	-22.4K	0.53	95.13	539	287	847	1,083
2015-01-29	$99.74	$100.00	29.1%	8.3%	14.9%	100.0%	29.7%	2.1%	-5.0%	66.2K	-4.2M	-23.3K	0.69	93.07	595	412	867	1,085
2015-01-30	$98.27	$100.00	29.7%	8.5%	16.0%	100.0%	30.6%	4.1%	-7.3%	27.6K	-3.4M	-25.7K	0.65	89.63	601	389	942	1,222