LII Options History — November 2015

In November 2015, LII traded between $133.47 and $137.63. ATM implied volatility averaged 19.6%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 3.0% (HV 20d: 22.7%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2015-11-02: Highest Volume — 451 contracts
2015-11-27: Largest IV spike — 9.9% change
2015-11-09: Highest IV Rank — 43.0%
2015-11-27: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$135.47	$133.47	$137.63	$134.45	$135.92
Max Pain	$111.50	$110.00	$120.00	$120.00	$110.00
ATM IV	19.6%	18.2%	21.0%	19.8%	20.8%
Expected Move	5.6%	5.2%	6.0%	5.7%	6.0%
HV 20d	22.7%	13.5%	28.4%	28.4%	13.5%
HV 60d	25.4%	23.4%	26.6%	26.6%	23.6%
IV Rank	37.2%	30.9%	43.0%	38.0%	42.3%
IV Percentile	57.2%	35.3%	69.8%	61.1%	68.7%
Term Structure	1.6%	-1.4%	4.7%	-0.3%	-1.4%
VWIV	20.9%	15.5%	25.5%	20.9%	20.7%
Skew 25d	2.8%	0.4%	4.3%	0.7%	3.0%
Skew 10d	6.7%	3.2%	12.4%	6.7%	7.4%
Call IV 25d	19.4%	18.1%	21.5%	21.5%	20.2%
Put IV 25d	22.2%	20.5%	24.3%	22.2%	23.2%
Bid-Ask Spread %	92.38	86.93	99.75	95.92	99.34
Gamma HHI	0.33	0.27	0.50	0.27	0.41
Net GEX	651.2K	520.1K	758.9K	672.2K	633.1K
Net DEX	-16.9M	-18.8M	-15.6M	-16.8M	-16.0M
Net VEX	-24.7K	-29.1K	-19.5K	-29.1K	-20.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.00	1.60	0.62	0.24
Total Volume	285.7	3	451	451	21
Total OI	2,352.8	1,984	2,491	2,422	2,099

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
2015-11-02	$134.45	$120.00	19.8%	5.7%	28.4%	38.0%	20.9%	0.7%	-0.3%	672.2K	-16.8M	-29.1K	0.62	95.92	279	172	1,769	653
2015-11-03	$135.16	$120.00	19.7%	5.6%	27.3%	37.4%	18.6%	2.7%	-0.3%	676.6K	-17.2M	-28.3K	0.62	94.83	255	159	1,765	655
2015-11-04	$135.19	$120.00	19.1%	5.5%	27.4%	35.0%	19.1%	0.4%	0.4%	678.2K	-17.2M	-27.9K	0.88	99.75	212	187	1,763	656
2015-11-05	$136.31	$110.00	20.3%	5.7%	27.0%	39.9%	21.3%	2.3%	1.7%	619.8K	-18.0M	-27.3K	0.92	87.13	203	187	1,771	684
2015-11-06	$135.43	$110.00	19.3%	5.3%	27.3%	35.6%	15.5%	2.5%	2.5%	657.8K	-17.5M	-27.8K	0.00	91.44	37	0	1,772	684
2015-11-09	$133.47	$110.00	21.0%	5.7%	28.2%	43.0%	19.2%	2.6%	1.8%	699.9K	-16.1M	-27.4K	0.63	87.76	27	17	1,765	684
2015-11-10	$135.07	$110.00	20.3%	5.7%	28.0%	40.0%	21.4%	3.6%	2.4%	662.9K	-16.7M	-27.7K	0.92	86.93	198	183	1,751	701
2015-11-11	$134.02	$110.00	19.5%	5.6%	27.5%	36.5%	24.7%	2.0%	2.2%	724.9K	-16.1M	-26.9K	0.92	91.92	198	183	1,755	701
2015-11-12	$133.87	$110.00	19.6%	5.6%	27.6%	36.9%	22.8%	2.7%	2.9%	694.4K	-16.3M	-26.5K	0.95	88.37	196	186	1,754	718
2015-11-13	$133.51	$110.00	19.1%	5.5%	27.7%	35.1%	25.5%	4.3%	3.4%	718.4K	-15.9M	-27.0K	0.98	93.71	189	185	1,755	717
2015-11-16	$135.11	$110.00	20.1%	5.8%	19.9%	39.2%	20.8%	4.2%	1.6%	691.0K	-16.9M	-25.5K	0.00	90.65	3	0	1,755	717
2015-11-17	$134.37	$110.00	18.5%	5.3%	19.8%	32.5%	22.5%	2.5%	4.1%	758.9K	-17.1M	-23.0K	0.89	93.79	187	167	1,758	717
2015-11-18	$136.87	$110.00	18.7%	5.4%	20.4%	33.1%	21.0%	4.0%	4.7%	721.5K	-18.4M	-23.6K	0.85	94.84	193	165	1,767	724
2015-11-19	$136.55	$110.00	18.2%	5.2%	19.3%	30.9%	19.6%	1.9%	4.0%	636.1K	-18.8M	-19.5K	0.70	87.77	232	162	1,740	724
2015-11-20	$136.30	$110.00	19.8%	5.7%	19.4%	37.7%	21.8%	3.0%	2.9%	530.4K	-18.5M	-22.0K	0.77	90.83	218	168	1,758	727
2015-11-23	$136.69	$110.00	19.2%	5.5%	19.1%	35.5%	23.6%	3.4%	1.0%	538.8K	-15.7M	-21.0K	1.60	93.25	15	24	1,527	460
2015-11-24	$136.61	$110.00	20.0%	5.7%	17.4%	38.8%	20.1%	3.6%	-0.5%	520.1K	-15.6M	-20.7K	0.17	89.75	118	20	1,524	460
2015-11-25	$136.95	$110.00	19.0%	5.5%	14.0%	34.5%	19.9%	3.9%	0.1%	611.5K	-16.5M	-20.8K	0.80	95.03	208	167	1,593	460
2015-11-27	$137.63	$110.00	20.9%	6.0%	13.9%	42.6%	19.9%	1.9%	-1.4%	577.0K	-16.6M	-21.3K	0.69	94.58	232	161	1,598	475
2015-11-30	$135.92	$110.00	20.8%	6.0%	13.5%	42.3%	20.7%	3.0%	-1.4%	633.1K	-16.0M	-20.1K	0.24	99.34	17	4	1,620	479