LII Options History — July 2016

In July 2016, LII traded between $142.75 and $159.08. ATM implied volatility averaged 19.1%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 1.8% (HV 20d: 20.9%). Max pain ranged from $130.00 to $150.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 3.06.

Notable Days

2016-07-18: Highest Volume — 1,158 contracts
2016-07-11: Largest IV spike — 78.9% change
2016-07-11: Highest IV Rank — 37.4%
2016-07-14: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$149.73	$142.75	$159.08	$142.86	$156.95
Max Pain	$140.50	$130.00	$150.00	$135.00	$150.00
ATM IV	19.1%	13.8%	24.6%	19.3%	17.1%
Expected Move	5.8%	4.5%	7.0%	5.5%	4.9%
HV 20d	20.9%	15.9%	25.2%	23.2%	15.9%
HV 60d	18.3%	17.8%	19.2%	18.3%	18.4%
IV Rank	17.0%	0.0%	37.4%	13.0%	11.5%
IV Percentile	27.5%	0.0%	75.4%	32.5%	5.2%
Term Structure	-0.7%	-2.3%	2.7%	2.7%	-0.3%
VWIV	21.2%	16.6%	26.6%	18.8%	16.9%
Skew 25d	3.3%	-1.9%	5.3%	-1.9%	2.8%
Skew 10d	7.2%	-0.8%	14.9%	-0.8%	6.0%
Call IV 25d	19.6%	14.9%	23.9%	19.8%	15.4%
Put IV 25d	22.9%	17.8%	27.7%	17.9%	18.1%
Bid-Ask Spread %	85.73	81.50	98.16	98.16	85.64
Gamma HHI	0.28	0.18	0.39	0.18	0.22
Net GEX	57.1K	-287.5K	318.8K	150.9K	-103.4K
Net DEX	-4.3M	-9.1M	-1.3M	-2.3M	-7.1M
Net VEX	-29.0K	-35.3K	-24.8K	-26.8K	-35.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.06	1.61	7.26	2.09	1.98
Total Volume	848.8	579	1,158	727	854
Total OI	1,994.95	1,636	2,648	1,636	2,648

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
2016-07-01	$142.86	$135.00	19.3%	5.5%	23.2%	13.0%	18.8%	-1.9%	2.7%	150.9K	-2.3M	-26.8K	2.09	98.16	235	492	742	894
2016-07-05	$142.75	$130.00	19.3%	6.6%	23.2%	12.8%	26.3%	4.8%	-1.4%	168.1K	-2.3M	-26.0K	2.09	85.83	235	492	752	893
2016-07-06	$145.71	$130.00	19.4%	6.6%	24.1%	13.3%	26.6%	5.1%	-1.8%	229.9K	-3.4M	-25.6K	2.06	85.55	241	497	760	893
2016-07-07	$144.36	$130.00	19.3%	6.7%	24.0%	13.0%	26.3%	4.0%	-1.6%	251.2K	-3.3M	-26.5K	2.02	85.24	253	511	792	898
2016-07-08	$147.69	$130.00	13.8%	6.4%	25.2%	0.0%	24.9%	5.1%	-1.7%	277.9K	-4.5M	-26.9K	1.87	83.69	273	511	809	912
2016-07-11	$147.50	$130.00	24.6%	7.0%	23.7%	37.4%	24.7%	3.8%	-1.0%	282.2K	-5.1M	-26.0K	1.71	84.52	282	483	819	912
2016-07-12	$148.07	$130.00	18.3%	6.8%	21.5%	15.7%	24.7%	3.4%	-2.3%	280.8K	-4.9M	-26.9K	1.78	85.28	278	496	829	914
2016-07-13	$148.19	$130.00	23.6%	6.8%	21.6%	33.9%	24.9%	3.9%	-2.3%	318.8K	-5.5M	-25.3K	1.84	86.42	269	496	832	914
2016-07-14	$146.88	$130.00	24.4%	7.0%	22.0%	36.6%	25.0%	3.8%	-1.8%	290.4K	-5.0M	-24.9K	1.74	82.55	278	485	835	914
2016-07-15	$147.92	$140.00	23.4%	6.7%	21.9%	33.1%	24.2%	4.3%	-1.9%	210.1K	-5.3M	-24.8K	1.88	82.10	304	573	842	934
2016-07-18	$149.48	$145.00	18.0%	5.2%	21.9%	14.4%	18.3%	5.3%	-0.5%	289.3K	-4.7M	-26.3K	4.62	90.63	206	952	824	874
2016-07-19	$150.80	$150.00	18.4%	5.3%	20.3%	15.8%	18.3%	2.3%	-1.2%	-236.3K	-1.9M	-33.4K	5.96	87.21	161	959	801	1,373
2016-07-20	$151.07	$150.00	18.1%	5.2%	20.3%	15.0%	18.2%	1.8%	-0.4%	-275.7K	-2.0M	-34.6K	6.13	87.28	159	975	819	1,383
2016-07-21	$150.22	$150.00	18.4%	5.3%	20.5%	16.0%	18.4%	3.2%	0.0%	-287.5K	-1.3M	-34.8K	6.29	81.50	154	968	829	1,415
2016-07-22	$151.60	$150.00	18.2%	5.2%	19.5%	15.3%	18.4%	2.6%	-0.0%	-249.9K	-3.0M	-31.8K	7.26	82.35	135	980	829	1,439
2016-07-25	$152.01	$150.00	18.7%	5.4%	18.6%	17.1%	18.6%	2.9%	-0.5%	-277.6K	-2.9M	-32.9K	3.15	83.35	143	450	843	1,459
2016-07-26	$154.70	$150.00	16.1%	4.6%	16.7%	8.1%	17.5%	2.8%	0.4%	-172.0K	-5.1M	-30.6K	3.39	84.88	132	447	861	1,494
2016-07-27	$156.78	$150.00	17.0%	4.9%	16.9%	11.0%	17.3%	2.6%	0.3%	-71.4K	-6.8M	-28.2K	1.61	85.02	288	464	866	1,504
2016-07-28	$159.08	$150.00	15.8%	4.5%	16.9%	7.1%	16.6%	3.0%	0.3%	65.2K	-9.1M	-32.4K	1.80	87.37	309	556	1,022	1,526
2016-07-29	$156.95	$150.00	17.1%	4.9%	15.9%	11.5%	16.9%	2.8%	-0.3%	-103.4K	-7.1M	-35.3K	1.98	85.64	287	567	1,041	1,607