LII Options History — February 2017

In February 2017, LII traded between $155.57 and $169.06. ATM implied volatility averaged 24.2%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.3% (HV 20d: 22.9%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.84.

Notable Days

2017-02-16: Highest Volume — 3,265 contracts
2017-02-16: Largest IV spike — 45.8% change
2017-02-06: Highest IV Rank — 72.9%
2017-02-01: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$162.18	$155.57	$169.06	$157.48	$164.77
Max Pain	$156.84	$155.00	$160.00	$155.00	$160.00
ATM IV	24.2%	18.3%	34.9%	30.7%	26.3%
Expected Move	6.5%	5.2%	8.8%	8.8%	7.5%
HV 20d	22.9%	17.1%	31.7%	17.9%	29.7%
HV 60d	20.7%	18.3%	23.5%	19.3%	23.2%
IV Rank	43.5%	17.9%	72.9%	58.5%	59.3%
IV Percentile	68.6%	25.8%	98.8%	95.6%	87.3%
Term Structure	-0.8%	-5.2%	2.1%	-5.2%	-4.1%
VWIV	23.9%	20.9%	30.6%	30.6%	27.7%
Skew 25d	2.3%	-1.5%	10.2%	4.0%	9.5%
Skew 10d	3.2%	-2.6%	10.4%	6.5%	0.1%
Call IV 25d	21.8%	17.3%	28.9%	28.0%	22.4%
Put IV 25d	24.1%	19.2%	32.7%	32.1%	31.9%
Bid-Ask Spread %	89.44	81.89	96.03	91.88	96.03
Gamma HHI	0.22	0.18	0.27	0.25	0.20
Net GEX	-12.5K	-374.6K	422.8K	-333.7K	277.6K
Net DEX	-1.1M	-5.1M	3.5M	3.2M	-2.7M
Net VEX	-30.7K	-38.7K	-23.7K	-25.7K	-33.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.84	0.23	4.70	4.59	1.34
Total Volume	1,085.474	570	3,265	570	605
Total OI	2,179.895	1,519	3,517	1,519	2,615

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
2017-02-01	$157.48	$155.00	30.7%	8.8%	17.9%	58.5%	30.6%	4.0%	-5.2%	-333.7K	3.2M	-25.7K	4.59	91.88	102	468	341	1,178
2017-02-02	$155.57	$155.00	30.0%	7.1%	18.1%	55.8%	24.8%	1.7%	-2.5%	-374.6K	3.5M	-24.9K	4.70	85.67	102	479	341	1,178
2017-02-03	$157.05	$155.00	31.7%	7.3%	17.5%	61.9%	26.0%	3.0%	-2.4%	-352.3K	3.2M	-25.2K	4.70	85.37	102	479	341	1,199
2017-02-06	$157.21	$155.00	34.9%	7.0%	17.2%	72.9%	25.5%	3.2%	-2.2%	-357.7K	2.9M	-24.0K	4.56	86.72	148	675	341	1,199
2017-02-07	$159.85	$155.00	26.1%	5.7%	17.3%	43.1%	22.4%	5.1%	2.0%	-348.3K	1.5M	-23.7K	1.66	94.63	409	678	403	1,364
2017-02-08	$163.30	$155.00	18.8%	5.4%	18.5%	17.9%	21.1%	1.9%	1.5%	-9.3K	-2.1M	-31.0K	1.51	88.51	373	565	674	1,367
2017-02-09	$163.82	$155.00	20.8%	6.0%	18.5%	33.5%	23.9%	1.8%	-0.1%	21.2K	-2.3M	-31.2K	1.60	91.84	347	556	668	1,388
2017-02-10	$163.33	$155.00	20.2%	5.8%	17.1%	30.7%	21.5%	0.9%	0.4%	28.3K	-2.3M	-31.1K	1.57	91.58	354	556	669	1,389
2017-02-13	$161.28	$155.00	19.1%	5.5%	18.1%	25.8%	21.5%	1.1%	1.5%	-113.5K	-1.1M	-30.2K	1.20	87.69	354	424	667	1,389
2017-02-14	$160.12	$155.00	18.9%	5.4%	18.5%	24.4%	22.6%	1.7%	2.1%	-214.1K	-320.7K	-30.8K	1.19	91.27	354	422	667	1,402
2017-02-15	$159.55	$155.00	18.3%	5.2%	18.6%	21.7%	21.4%	2.8%	1.3%	-345.8K	451.8K	-28.8K	1.18	89.53	358	422	667	1,406
2017-02-16	$169.06	$155.00	26.7%	7.6%	26.9%	61.1%	26.7%	-1.3%	-4.5%	121.1K	-5.1M	-28.1K	0.25	81.89	2,611	654	668	1,404
2017-02-17	$162.41	$160.00	20.5%	5.9%	31.5%	32.2%	22.7%	-1.5%	0.8%	382.6K	-2.8M	-38.7K	0.23	82.06	2,547	573	1,966	1,551
2017-02-21	$165.06	$160.00	21.6%	6.2%	31.7%	37.4%	21.0%	0.1%	1.3%	210.9K	-2.9M	-35.2K	0.57	87.69	807	456	1,184	1,401
2017-02-22	$164.21	$160.00	22.1%	6.3%	29.8%	39.7%	21.7%	-0.4%	1.0%	201.9K	-2.9M	-34.0K	0.57	91.77	807	456	1,190	1,406
2017-02-23	$164.58	$160.00	21.3%	6.1%	29.7%	35.9%	20.9%	-0.0%	0.6%	281.9K	-3.7M	-33.0K	1.02	89.05	449	456	1,190	1,406
2017-02-24	$165.84	$160.00	27.3%	7.8%	29.3%	64.2%	24.6%	-0.5%	-4.1%	264.3K	-3.3M	-36.2K	1.17	94.40	406	474	1,180	1,406
2017-02-27	$166.85	$160.00	24.5%	7.0%	29.3%	50.8%	28.2%	10.2%	-3.2%	422.8K	-3.9M	-37.9K	1.34	91.84	255	341	1,189	1,424
2017-02-28	$164.77	$160.00	26.3%	7.5%	29.7%	59.3%	27.7%	9.5%	-4.1%	277.6K	-2.7M	-33.6K	1.34	96.03	258	347	1,190	1,425