LII Options History — January 2016

In January 2016, LII traded between $114.49 and $124.24. ATM implied volatility averaged 31.7%, placing in the 72.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 9.5% (HV 20d: 22.2%). Max pain ranged from $115.00 to $115.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.94.

Notable Days

2016-01-29: Highest Volume — 507 contracts
2016-01-11: Largest IV spike — 30.5% change
2016-01-11: Highest IV Rank — 100.0%
2016-01-15: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.91	$114.49	$124.24	$124.24	$118.28
Max Pain	$115.00	$115.00	$115.00	$115.00	$115.00
ATM IV	31.7%	22.3%	41.4%	23.9%	32.9%
Expected Move	8.8%	7.3%	10.0%	7.3%	9.4%
HV 20d	22.2%	18.6%	30.7%	20.6%	30.7%
HV 60d	22.2%	20.4%	23.8%	22.8%	22.9%
IV Rank	72.6%	48.9%	100.0%	55.9%	71.8%
IV Percentile	95.6%	73.8%	100.0%	84.1%	96.4%
Term Structure	-2.9%	-5.2%	0.2%	-1.1%	-4.4%
VWIV	31.7%	26.5%	36.1%	26.5%	36.1%
Skew 25d	4.6%	2.0%	7.1%	4.5%	5.7%
Skew 10d	9.9%	0.7%	21.3%	13.2%	15.2%
Call IV 25d	29.5%	24.8%	33.2%	24.8%	32.3%
Put IV 25d	34.2%	29.1%	39.7%	29.3%	37.9%
Bid-Ask Spread %	85.34	80.14	89.87	82.87	89.87
Gamma HHI	0.21	0.18	0.27	0.20	0.18
Net GEX	43.7K	15.3K	78.1K	27.5K	53.9K
Net DEX	278.2K	-572.7K	1.2M	-514.5K	-99.1K
Net VEX	-11.6K	-14.0K	-9.6K	-14.0K	-13.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.58	1.21	1.15	0.89
Total Volume	373.526	305	507	331	507
Total OI	965.737	827	1,051	1,007	989

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
2016-01-04	$124.24	$115.00	23.9%	7.3%	20.6%	55.9%	26.5%	4.5%	-1.1%	27.5K	-514.5K	-14.0K	1.15	82.87	154	177	635	372
2016-01-05	$123.27	$115.00	22.3%	7.3%	18.6%	48.9%	27.4%	3.6%	-0.5%	15.3K	-440.3K	-13.8K	1.19	85.17	149	177	639	372
2016-01-06	$120.63	$115.00	29.0%	8.1%	18.8%	77.8%	28.8%	3.4%	-2.5%	19.0K	319.8K	-12.8K	1.15	86.36	156	179	641	372
2016-01-07	$119.16	$115.00	31.3%	8.4%	18.8%	87.9%	29.8%	3.9%	-2.7%	28.6K	607.7K	-12.4K	1.21	83.84	154	186	654	375
2016-01-08	$117.49	$115.00	31.8%	8.6%	18.6%	89.8%	30.2%	2.0%	0.2%	23.8K	749.7K	-11.7K	1.10	85.80	164	181	660	384
2016-01-11	$116.77	$115.00	41.4%	8.5%	18.6%	100.0%	30.5%	3.0%	-2.5%	37.8K	1.1M	-11.2K	1.10	86.79	164	181	663	387
2016-01-12	$118.42	$115.00	33.9%	7.7%	19.1%	75.2%	29.1%	5.2%	-1.9%	55.6K	854.2K	-11.3K	1.20	85.22	151	181	663	387
2016-01-13	$115.34	$115.00	29.6%	8.5%	20.6%	61.1%	30.6%	2.4%	-1.7%	34.1K	1.2M	-11.2K	1.13	89.03	160	181	664	387
2016-01-14	$117.42	$115.00	30.6%	8.8%	22.3%	64.3%	29.4%	5.0%	-3.1%	53.9K	876.4K	-11.2K	1.06	83.48	170	181	659	384
2016-01-15	$115.71	$115.00	34.8%	10.0%	21.7%	78.3%	34.1%	6.5%	-5.0%	40.4K	1.1M	-10.7K	0.95	84.55	183	174	645	384
2016-01-19	$116.55	$115.00	32.0%	9.2%	19.9%	68.8%	33.7%	5.0%	-3.1%	53.6K	-32.7K	-11.2K	0.85	87.63	165	140	556	282
2016-01-20	$114.99	$115.00	33.0%	9.5%	19.7%	72.2%	32.8%	7.1%	-4.9%	40.8K	284.9K	-10.1K	0.67	81.13	209	140	569	282
2016-01-21	$114.49	$115.00	32.7%	9.4%	19.7%	71.2%	32.8%	4.6%	-3.6%	37.5K	312.6K	-9.6K	0.59	81.57	239	140	545	282
2016-01-22	$118.38	$115.00	29.8%	8.5%	23.0%	61.7%	32.8%	6.3%	-1.7%	65.7K	-299.3K	-11.3K	0.58	86.84	257	150	579	282
2016-01-25	$115.77	$115.00	33.0%	9.5%	24.0%	72.2%	34.1%	4.3%	-3.6%	51.7K	32.9K	-10.8K	0.69	80.14	249	171	604	292
2016-01-26	$120.45	$115.00	31.9%	9.1%	28.2%	68.4%	33.4%	6.9%	-3.7%	78.1K	-572.7K	-11.8K	0.69	85.64	249	171	607	313
2016-01-27	$117.25	$115.00	34.1%	9.8%	29.4%	75.7%	35.0%	4.3%	-4.4%	58.1K	-178.1K	-10.9K	0.69	89.75	249	171	607	313
2016-01-28	$115.69	$115.00	34.7%	10.0%	29.3%	77.9%	36.0%	4.8%	-5.2%	55.0K	-64.6K	-11.2K	0.96	85.81	248	239	607	313
2016-01-29	$118.28	$115.00	32.9%	9.4%	30.7%	71.8%	36.1%	5.7%	-4.4%	53.9K	-99.1K	-13.5K	0.89	89.87	268	239	608	381