LII Options History — April 2015

In April 2015, LII traded between $105.53 and $113.65. ATM implied volatility averaged 19.3%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.2% (HV 20d: 14.1%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.76.

Notable Days

  • 2015-04-20: Highest Volume — 935 contracts
  • 2015-04-08: Largest IV spike — 35.1% change
  • 2015-04-17: Highest IV Rank — 63.2%
  • 2015-04-17: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.73$105.53$113.65$111.92$105.76
Max Pain$109.76$105.00$110.00$105.00$110.00
ATM IV19.3%14.8%24.1%16.8%17.6%
Expected Move5.8%4.3%6.9%4.8%5.0%
HV 20d14.1%7.5%21.5%8.1%21.5%
HV 60d14.1%12.1%16.3%13.2%15.6%
IV Rank31.7%2.1%63.2%15.1%20.1%
IV Percentile43.4%0.8%93.3%8.3%21.8%
Term Structure-1.3%-3.3%5.9%5.9%-0.2%
VWIV21.3%15.2%27.4%16.7%16.6%
Skew 25d3.6%1.1%11.5%2.8%2.7%
Skew 10d7.4%1.5%23.0%4.7%5.1%
Call IV 25d19.0%14.7%22.5%14.7%17.1%
Put IV 25d22.6%16.6%26.7%17.5%19.9%
Bid-Ask Spread %88.4377.89103.18100.1097.03
Gamma HHI0.260.220.340.280.26
Net GEX-14.2K-133.7K74.4K63.3K-133.7K
Net DEX-2.1M-3.6M-8.5K-3.4M-95.3K
Net VEX-19.9K-26.5K-13.0K-13.0K-25.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.002.821.550.56
Total Volume467.90511935347693
Total OI1,676.6671,1572,2071,1572,204

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$111.92$105.0016.8%4.8%8.1%15.1%16.7%2.8%5.9%63.3K-3.4M-13.0K1.55100.10136211507650
2015-04-02$112.04$110.0015.9%6.5%8.1%8.8%25.2%3.3%-2.8%70.3K-3.4M-13.2K1.6578.62128211528672
2015-04-06$111.89$110.0017.3%6.7%7.5%18.4%24.7%4.2%-2.7%71.6K-3.4M-13.0K2.8277.89120338529672
2015-04-07$111.49$110.0017.1%6.6%7.7%17.0%25.8%4.0%-2.7%22.0K-2.7M-16.5K2.5278.50120302536810
2015-04-08$112.16$110.0023.1%6.6%7.9%56.5%23.0%3.9%-2.8%25.7K-2.6M-15.9K0.0080.33110513810
2015-04-09$111.31$110.0023.3%6.7%8.3%57.9%25.7%3.6%-2.8%28.2K-2.7M-16.1K2.6381.46126332547810
2015-04-10$111.28$110.0023.0%6.6%8.1%55.9%26.5%3.6%-2.8%20.7K-2.5M-17.2K2.5782.83129332550840
2015-04-13$110.21$110.0023.5%6.7%8.4%59.2%26.7%3.8%-2.9%38.7K-2.2M-17.0K2.4683.83135332559840
2015-04-14$111.33$110.0023.7%6.8%8.9%60.5%27.4%4.1%-3.3%74.4K-2.8M-16.4K2.3783.77140332575840
2015-04-15$113.65$110.0022.4%6.4%11.1%51.9%27.3%4.1%-3.0%50.5K-3.6M-15.0K2.6685.70125333575840
2015-04-16$112.66$110.0022.0%6.3%11.3%49.1%23.5%3.5%-3.3%58.8K-3.3M-15.5K1.0080.26218219581841
2015-04-17$111.27$110.0024.1%6.9%12.4%63.2%25.4%4.2%-3.1%17.8K-3.5M-19.6K1.5381.70233357695905
2015-04-20$106.86$110.0018.2%5.2%19.1%24.0%18.0%2.7%-0.1%-51.0K-865.7K-22.6K2.5689.932636727571,058
2015-04-21$105.53$110.0017.4%5.0%19.5%18.7%16.8%3.0%0.2%-110.4K-8.5K-25.8K2.1491.141743738351,235
2015-04-22$107.95$110.0016.0%4.6%21.4%9.5%17.3%2.1%-0.0%-83.0K-1.3M-25.3K1.3691.472022748311,243
2015-04-23$107.20$110.0017.6%5.1%21.4%20.4%17.2%2.7%-0.1%-97.2K-1.1M-26.5K1.5195.521832768551,275
2015-04-24$108.10$110.0014.8%4.3%21.5%2.1%15.2%1.1%1.0%-101.4K-1.6M-25.9K1.2297.592062528531,279
2015-04-27$107.21$110.0018.5%5.3%21.5%26.0%16.2%2.5%-1.2%-79.8K-1.3M-25.4K1.1897.692042418811,282
2015-04-28$107.69$110.0015.5%4.5%21.3%6.6%16.0%2.3%0.4%-86.7K-1.4M-25.6K1.3198.491942558931,297
2015-04-29$106.72$110.0018.2%5.2%21.4%24.0%15.6%11.5%-1.6%-96.3K-831.5K-26.5K1.29103.181942508911,316
2015-04-30$105.76$110.0017.6%5.0%21.5%20.1%16.6%2.7%-0.2%-133.7K-95.3K-25.6K0.5697.034432508911,313