LII Options History — April 2017

In April 2017, LII traded between $164.51 and $171.82. ATM implied volatility averaged 22.3%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 10.3% (HV 20d: 12.0%). Max pain ranged from $170.00 to $170.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.67.

Notable Days

2017-04-21: Highest Volume — 702 contracts
2017-04-24: Largest IV drop — 26.2% change
2017-04-21: Highest IV Rank — 60.2%
2017-04-21: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$166.96	$164.51	$171.82	$166.15	$165.69
Max Pain	$170.00	$170.00	$170.00	$170.00	$170.00
ATM IV	22.3%	18.8%	26.5%	19.7%	20.2%
Expected Move	6.6%	5.5%	7.6%	5.7%	5.8%
HV 20d	12.0%	10.1%	15.3%	11.2%	15.3%
HV 60d	20.2%	19.3%	20.6%	20.6%	20.2%
IV Rank	40.4%	24.0%	60.2%	28.5%	30.6%
IV Percentile	60.7%	30.6%	88.9%	44.0%	46.4%
Term Structure	-1.0%	-3.6%	5.7%	4.4%	-1.4%
VWIV	22.8%	19.3%	25.4%	20.1%	24.1%
Skew 25d	2.6%	0.3%	4.1%	1.8%	0.3%
Skew 10d	4.8%	-8.5%	8.6%	3.8%	-0.7%
Call IV 25d	22.3%	18.9%	25.5%	19.1%	21.7%
Put IV 25d	24.9%	20.5%	28.3%	20.9%	22.0%
Bid-Ask Spread %	84.78	63.73	96.81	96.81	93.22
Gamma HHI	0.33	0.19	0.48	0.44	0.19
Net GEX	240.8K	148.8K	446.5K	191.5K	290.8K
Net DEX	-1.8M	-3.5M	-996.3K	-1.5M	-1.9M
Net VEX	-23.0K	-28.8K	-19.9K	-23.4K	-28.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.42	0.82	0.44	0.73
Total Volume	392.737	311	702	435	464
Total OI	1,056.053	906	1,497	906	1,497

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
2017-04-03	$166.15	$170.00	19.7%	5.7%	11.2%	28.5%	20.1%	1.8%	4.4%	191.5K	-1.5M	-23.4K	0.44	96.81	302	133	606	300
2017-04-04	$165.56	$170.00	19.4%	5.6%	11.3%	27.0%	20.8%	1.7%	4.8%	201.8K	-1.4M	-23.1K	0.42	96.03	318	133	618	300
2017-04-05	$164.51	$170.00	19.1%	5.5%	11.4%	25.4%	19.3%	1.2%	5.7%	211.4K	-1.3M	-22.8K	0.58	96.31	228	133	635	300
2017-04-06	$165.51	$170.00	18.8%	6.8%	11.3%	24.2%	22.6%	3.4%	-2.4%	202.3K	-1.2M	-22.1K	0.58	82.20	228	133	624	300
2017-04-07	$164.80	$170.00	18.8%	6.8%	11.3%	24.0%	23.5%	2.4%	-2.2%	195.6K	-1.1M	-21.9K	0.67	80.11	204	136	624	300
2017-04-10	$166.51	$170.00	21.1%	7.1%	11.6%	34.8%	23.2%	3.7%	-2.3%	228.8K	-1.5M	-22.2K	0.70	81.28	195	136	627	303
2017-04-11	$167.62	$170.00	20.1%	6.9%	11.9%	30.4%	23.1%	3.9%	-1.8%	247.1K	-1.8M	-22.1K	0.71	78.82	196	139	618	303
2017-04-12	$165.45	$170.00	25.0%	7.2%	10.8%	53.5%	24.9%	1.6%	-3.3%	200.1K	-1.3M	-21.1K	0.71	82.24	196	139	619	306
2017-04-13	$165.29	$170.00	24.5%	7.0%	10.7%	50.8%	24.7%	2.7%	-2.4%	180.8K	-996.3K	-20.6K	0.74	82.49	188	139	619	309
2017-04-17	$166.18	$170.00	25.5%	7.3%	11.0%	55.6%	24.9%	3.4%	-2.7%	197.7K	-1.1M	-20.0K	0.74	82.45	188	139	619	309
2017-04-18	$167.01	$170.00	26.2%	7.5%	11.2%	59.1%	24.9%	2.3%	-3.6%	198.2K	-1.4M	-20.2K	0.80	78.89	173	138	623	311
2017-04-19	$167.89	$170.00	25.4%	7.3%	10.1%	55.2%	25.4%	2.8%	-1.6%	166.0K	-1.7M	-20.1K	0.82	85.33	176	145	623	313
2017-04-20	$169.47	$170.00	24.8%	7.1%	10.4%	52.5%	24.5%	3.6%	-1.6%	148.8K	-2.3M	-20.0K	0.82	84.30	176	145	618	313
2017-04-21	$171.82	$170.00	26.5%	7.6%	11.5%	60.2%	24.9%	2.6%	-1.8%	207.1K	-3.5M	-19.9K	0.57	63.73	447	255	618	313
2017-04-24	$167.99	$170.00	19.5%	5.6%	14.1%	27.6%	20.6%	2.1%	-0.6%	335.3K	-2.3M	-23.4K	0.69	75.30	264	181	850	347
2017-04-25	$169.08	$170.00	22.4%	6.4%	14.2%	41.3%	19.9%	2.3%	-0.7%	446.5K	-3.0M	-28.8K	0.59	87.63	261	154	1,007	433
2017-04-26	$167.57	$170.00	22.7%	6.5%	14.4%	42.3%	21.1%	4.1%	-3.5%	348.7K	-2.2M	-27.7K	0.75	90.79	252	188	1,013	450
2017-04-27	$168.21	$170.00	23.3%	6.7%	14.3%	45.1%	20.3%	2.7%	-1.9%	376.9K	-2.2M	-28.7K	0.75	92.85	252	188	1,015	482
2017-04-28	$165.69	$170.00	20.2%	5.8%	15.3%	30.6%	24.1%	0.3%	-1.4%	290.8K	-1.9M	-28.7K	0.73	93.22	268	196	1,015	482