LII Options History — May 2015

In May 2015, LII traded between $106.40 and $115.09. ATM implied volatility averaged 15.6%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 2.4% (HV 20d: 18.0%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.64.

Notable Days

2015-05-01: Highest Volume — 687 contracts
2015-05-11: Largest IV spike — 66.1% change
2015-05-12: Highest IV Rank — 44.3%
2015-05-01: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.37	$106.40	$115.09	$106.40	$112.69
Max Pain	$100.50	$100.00	$110.00	$110.00	$100.00
ATM IV	15.6%	11.1%	19.5%	18.3%	14.8%
Expected Move	4.5%	3.9%	5.2%	5.2%	4.2%
HV 20d	18.0%	11.6%	22.7%	21.7%	12.7%
HV 60d	15.8%	15.1%	16.2%	15.7%	15.5%
IV Rank	21.2%	0.0%	44.3%	24.6%	20.0%
IV Percentile	15.1%	0.0%	61.9%	34.1%	4.8%
Term Structure	1.4%	-0.5%	3.3%	-0.5%	-0.3%
VWIV	16.6%	15.1%	19.5%	15.6%	17.2%
Skew 25d	2.9%	1.4%	3.7%	3.3%	3.3%
Skew 10d	6.5%	3.2%	9.1%	4.7%	9.1%
Call IV 25d	14.3%	12.8%	16.1%	16.1%	14.1%
Put IV 25d	17.2%	15.5%	19.4%	19.4%	17.3%
Bid-Ask Spread %	89.90	84.70	98.34	98.34	95.69
Gamma HHI	0.31	0.21	0.41	0.21	0.35
Net GEX	26.9K	-68.1K	204.0K	-45.0K	11.2K
Net DEX	-4.7M	-7.0M	-1.3M	-1.3M	-5.7M
Net VEX	-28.1K	-31.4K	-26.1K	-31.4K	-26.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.64	0.00	4.67	0.57	1.88
Total Volume	306.8	3	687	687	328
Total OI	2,338.8	2,110	2,485	2,461	2,225

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
2015-05-01	$106.40	$110.00	18.3%	5.2%	21.7%	24.6%	15.6%	3.3%	-0.5%	-45.0K	-1.3M	-31.4K	0.57	98.34	437	250	1,148	1,313
2015-05-04	$107.43	$100.00	18.2%	5.1%	22.1%	24.4%	15.9%	3.3%	2.3%	-28.5K	-2.0M	-30.8K	0.00	86.70	6	0	1,110	1,313
2015-05-05	$106.80	$100.00	18.8%	5.0%	22.1%	27.9%	18.9%	3.3%	2.5%	-50.8K	-1.6M	-30.1K	1.09	85.13	224	244	1,134	1,313
2015-05-06	$106.45	$100.00	19.5%	5.1%	21.9%	33.0%	19.5%	3.1%	2.5%	-68.1K	-1.3M	-30.0K	1.13	85.87	222	251	1,139	1,313
2015-05-07	$107.76	$100.00	12.8%	4.6%	22.4%	0.0%	18.5%	3.7%	3.3%	-26.3K	-2.5M	-30.5K	1.16	84.70	216	251	1,146	1,313
2015-05-08	$108.62	$100.00	11.1%	4.5%	22.7%	0.0%	18.0%	3.3%	3.3%	50.8K	-3.1M	-29.2K	3.00	87.27	1	3	1,124	1,313
2015-05-11	$109.52	$100.00	18.4%	4.7%	22.7%	39.1%	16.3%	2.8%	2.2%	92.1K	-3.7M	-28.8K	4.67	89.04	6	28	1,124	1,310
2015-05-12	$110.18	$100.00	19.3%	4.7%	22.5%	44.3%	18.3%	2.7%	2.6%	73.5K	-4.4M	-28.8K	1.66	86.16	147	244	1,147	1,326
2015-05-13	$111.88	$100.00	15.9%	4.6%	21.9%	25.9%	15.8%	2.7%	2.6%	79.3K	-5.7M	-27.8K	1.77	89.56	145	257	1,149	1,330
2015-05-14	$113.46	$100.00	14.6%	4.2%	22.3%	18.9%	15.9%	3.3%	3.0%	204.0K	-6.5M	-27.2K	1.81	87.84	144	261	1,141	1,344
2015-05-15	$114.10	$100.00	14.3%	4.1%	21.8%	17.7%	15.7%	3.2%	3.1%	58.4K	-6.8M	-26.1K	1.61	87.91	143	230	1,130	1,347
2015-05-18	$114.03	$100.00	14.6%	4.2%	15.4%	19.2%	15.7%	2.7%	0.4%	51.6K	-6.2M	-26.3K	1.37	90.26	30	41	978	1,132
2015-05-19	$114.10	$100.00	14.8%	4.2%	14.3%	20.1%	0.0%	3.2%	-0.1%	30.4K	-6.0M	-26.6K	0.00	91.07	3	0	973	1,169
2015-05-20	$113.97	$100.00	14.8%	4.2%	12.5%	19.8%	16.0%	2.5%	-0.0%	28.9K	-6.3M	-27.0K	1.93	91.61	112	216	999	1,180
2015-05-21	$113.68	$100.00	14.3%	4.1%	12.1%	17.3%	15.6%	2.4%	0.3%	16.6K	-6.1M	-27.7K	1.95	91.75	111	216	1,006	1,199
2015-05-22	$114.01	$100.00	13.5%	3.9%	12.0%	13.1%	15.1%	2.5%	0.7%	15.7K	-6.4M	-26.9K	1.74	91.92	124	216	1,011	1,199
2015-05-26	$113.44	$100.00	14.6%	4.2%	11.6%	19.1%	16.1%	1.4%	0.0%	11.8K	-6.1M	-27.2K	1.77	92.18	124	219	1,027	1,199
2015-05-27	$115.09	$100.00	14.8%	4.3%	12.3%	20.3%	15.8%	3.3%	-0.3%	20.1K	-7.0M	-26.2K	1.77	92.94	126	223	1,027	1,203
2015-05-28	$113.88	$100.00	14.6%	4.2%	12.5%	18.8%	16.1%	1.8%	-0.4%	11.5K	-6.3M	-26.5K	1.93	92.06	115	222	1,024	1,198
2015-05-29	$112.69	$100.00	14.8%	4.2%	12.7%	20.0%	17.2%	3.3%	-0.3%	11.2K	-5.7M	-26.9K	1.88	95.69	114	214	1,027	1,198