LII Options History — February 2015

In February 2015, LII traded between $100.36 and $106.60. ATM implied volatility averaged 19.0%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.3% (HV 20d: 14.8%). Max pain ranged from $90.00 to $100.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.17.

Notable Days

2015-02-05: Highest Volume — 777 contracts
2015-02-11: Largest IV drop — 11.7% change
2015-02-09: Highest IV Rank — 52.9%
2015-02-02: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103.33	$100.36	$106.60	$100.36	$104.30
Max Pain	$91.58	$90.00	$100.00	$100.00	$90.00
ATM IV	19.0%	16.3%	22.2%	21.2%	16.3%
Expected Move	5.4%	4.7%	6.1%	6.1%	4.7%
HV 20d	14.8%	12.7%	17.2%	17.2%	13.5%
HV 60d	14.2%	13.9%	14.5%	14.3%	14.1%
IV Rank	32.8%	15.7%	52.9%	46.4%	15.7%
IV Percentile	39.1%	2.0%	86.9%	79.4%	2.0%
Term Structure	1.6%	-0.8%	3.3%	-0.4%	1.0%
VWIV	20.2%	16.9%	24.0%	21.6%	16.9%
Skew 25d	2.1%	-0.1%	4.3%	2.4%	3.3%
Skew 10d	7.4%	-0.3%	25.6%	3.3%	25.6%
Call IV 25d	18.4%	14.8%	20.9%	20.9%	14.8%
Put IV 25d	20.5%	17.8%	23.7%	23.3%	18.1%
Bid-Ask Spread %	94.00	87.23	100.67	93.64	99.68
Gamma HHI	0.29	0.24	0.38	0.35	0.26
Net GEX	77.9K	40.6K	186.0K	112.7K	51.2K
Net DEX	-6.2M	-8.6M	-5.0M	-5.0M	-6.1M
Net VEX	-18.2K	-23.2K	-13.5K	-22.8K	-13.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.90	1.94	1.94	1.20
Total Volume	504.053	10	777	317	459
Total OI	2,284.211	1,967	2,439	2,274	1,976

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
2015-02-02	$100.36	$100.00	21.2%	6.1%	17.2%	46.4%	21.6%	2.4%	-0.4%	112.7K	-5.0M	-22.8K	1.94	93.64	108	209	1,003	1,271
2015-02-03	$101.09	$100.00	21.1%	6.0%	17.1%	45.6%	21.6%	3.4%	-0.8%	40.9K	-5.0M	-22.9K	1.27	98.07	341	432	964	1,403
2015-02-04	$100.96	$100.00	19.9%	5.7%	16.9%	38.3%	20.0%	4.3%	0.4%	54.1K	-5.0M	-23.2K	1.27	100.67	341	432	968	1,403
2015-02-05	$100.92	$90.00	19.9%	5.5%	16.9%	38.3%	21.5%	1.7%	3.0%	62.1K	-5.0M	-22.9K	1.25	87.23	345	432	968	1,403
2015-02-06	$101.08	$90.00	20.0%	5.5%	16.1%	38.8%	22.5%	1.9%	2.6%	64.9K	-5.2M	-22.0K	1.22	87.62	321	392	973	1,403
2015-02-09	$100.76	$90.00	22.2%	5.8%	16.1%	52.9%	24.0%	1.2%	1.3%	71.1K	-5.0M	-22.0K	0.92	88.99	304	280	979	1,406
2015-02-10	$101.60	$90.00	22.0%	5.7%	16.2%	51.7%	21.9%	4.3%	2.2%	89.5K	-5.5M	-20.8K	0.92	91.84	304	280	983	1,416
2015-02-11	$101.74	$90.00	19.4%	5.6%	15.9%	35.5%	21.9%	2.7%	2.4%	90.2K	-5.6M	-21.2K	0.90	91.00	315	282	983	1,425
2015-02-12	$103.41	$90.00	18.2%	5.2%	16.5%	27.8%	22.4%	2.9%	3.0%	114.0K	-6.4M	-20.4K	0.99	92.11	285	282	995	1,435
2015-02-13	$104.17	$90.00	17.7%	5.1%	13.6%	24.4%	17.8%	1.6%	3.3%	102.5K	-7.4M	-17.3K	1.06	92.81	267	282	1,000	1,435
2015-02-17	$104.72	$90.00	18.2%	5.2%	13.3%	27.7%	20.8%	1.8%	3.3%	99.9K	-7.7M	-16.3K	1.06	91.31	267	282	1,004	1,435
2015-02-18	$105.29	$90.00	18.0%	5.2%	13.1%	26.6%	17.8%	1.6%	2.4%	109.2K	-7.9M	-15.9K	1.20	91.51	235	282	1,004	1,435
2015-02-19	$105.35	$90.00	17.7%	5.1%	12.9%	24.5%	20.0%	1.5%	2.6%	186.0K	-8.2M	-14.8K	1.00	92.92	10	10	1,006	1,416
2015-02-20	$106.60	$90.00	18.4%	5.3%	12.7%	29.1%	0.0%	2.2%	2.0%	49.4K	-8.6M	-13.5K	1.00	97.21	5	5	996	1,426
2015-02-23	$106.27	$90.00	18.3%	5.3%	13.0%	28.5%	19.2%	2.4%	0.3%	42.6K	-6.5M	-13.5K	1.17	94.97	206	241	816	1,151
2015-02-24	$105.72	$90.00	18.7%	5.4%	12.9%	30.8%	19.0%	0.7%	-0.5%	51.1K	-6.5M	-13.9K	1.27	96.88	197	250	816	1,151
2015-02-25	$104.75	$90.00	17.7%	5.1%	13.2%	24.4%	17.6%	-0.1%	1.0%	47.5K	-6.1M	-14.5K	1.27	97.97	197	250	816	1,160
2015-02-26	$104.19	$90.00	16.4%	4.7%	13.5%	16.3%	17.2%	0.7%	1.0%	40.6K	-6.0M	-14.6K	1.27	99.45	197	250	816	1,160
2015-02-27	$104.30	$90.00	16.3%	4.7%	13.5%	15.7%	16.9%	3.3%	1.0%	51.2K	-6.1M	-13.8K	1.20	99.68	209	250	816	1,160