LII Options History — July 2017

In July 2017, LII traded between $169.90 and $186.28. ATM implied volatility averaged 22.0%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.4% (HV 20d: 15.6%). Max pain ranged from $180.00 to $185.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.03.

Notable Days

2017-07-03: Highest Volume — 355 contracts
2017-07-12: Largest IV spike — 28.0% change
2017-07-21: Highest IV Rank — 56.0%
2017-07-21: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$180.50	$169.90	$186.28	$183.87	$171.21
Max Pain	$183.00	$180.00	$185.00	$185.00	$180.00
ATM IV	22.0%	18.3%	25.6%	21.9%	19.3%
Expected Move	6.4%	5.3%	7.3%	6.3%	5.5%
HV 20d	15.6%	11.4%	18.8%	15.1%	18.7%
HV 60d	15.1%	13.9%	16.4%	14.6%	16.4%
IV Rank	39.1%	21.7%	56.0%	38.7%	26.3%
IV Percentile	53.6%	16.7%	83.3%	59.9%	28.6%
Term Structure	-1.5%	-3.3%	0.4%	0.4%	-0.6%
VWIV	22.9%	18.4%	26.2%	23.5%	19.0%
Skew 25d	3.2%	1.7%	3.7%	3.4%	3.4%
Skew 10d	6.7%	-1.3%	10.0%	10.0%	6.4%
Call IV 25d	21.4%	17.5%	24.1%	22.5%	18.0%
Put IV 25d	24.6%	20.5%	27.1%	25.8%	21.3%
Bid-Ask Spread %	64.42	21.44	96.80	96.80	30.69
Gamma HHI	0.33	0.21	0.55	0.27	0.26
Net GEX	245.8K	8.1K	508.4K	218.9K	88.3K
Net DEX	-2.2M	-4.0M	1.3M	-3.4M	537.9K
Net VEX	-15.2K	-16.8K	-13.6K	-16.8K	-15.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.03	1.38	2.80	1.42	1.97
Total Volume	298.05	236	355	355	297
Total OI	905.35	705	1,032	881	864

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
2017-07-03	$183.87	$185.00	21.9%	6.3%	15.1%	38.7%	23.5%	3.4%	0.4%	218.9K	-3.4M	-16.8K	1.42	96.80	147	208	505	376
2017-07-05	$186.28	$185.00	24.9%	7.1%	15.2%	52.7%	24.2%	3.2%	-0.7%	224.9K	-3.9M	-16.8K	1.38	95.37	146	202	509	388
2017-07-06	$183.88	$185.00	22.3%	6.7%	16.1%	40.8%	23.7%	2.6%	-1.9%	239.0K	-3.2M	-16.7K	2.05	59.88	99	203	522	391
2017-07-07	$186.25	$185.00	24.6%	6.6%	16.6%	51.4%	23.2%	2.8%	-1.3%	250.8K	-4.0M	-16.8K	2.15	53.19	91	196	532	393
2017-07-10	$184.57	$185.00	19.5%	6.8%	17.0%	27.2%	24.2%	3.3%	-1.6%	304.0K	-3.6M	-15.5K	1.91	63.33	106	202	535	394
2017-07-11	$183.12	$185.00	18.3%	6.8%	15.8%	21.7%	24.0%	3.1%	-2.1%	333.4K	-3.2M	-15.9K	2.27	69.15	89	202	564	394
2017-07-12	$183.84	$185.00	23.4%	6.7%	15.1%	45.8%	23.6%	3.6%	-1.7%	321.4K	-3.2M	-15.9K	2.38	66.47	85	202	556	395
2017-07-13	$183.84	$185.00	23.8%	6.8%	14.6%	47.8%	24.4%	3.6%	-2.5%	362.2K	-3.5M	-14.9K	2.16	64.44	83	179	555	395
2017-07-14	$183.91	$185.00	23.8%	6.8%	14.3%	47.8%	25.2%	3.7%	-2.0%	396.7K	-3.6M	-14.9K	2.39	66.11	82	196	562	397
2017-07-17	$184.59	$185.00	24.0%	6.9%	14.4%	48.6%	25.6%	3.6%	-2.4%	399.7K	-3.6M	-14.5K	2.39	63.57	82	196	560	417
2017-07-18	$183.68	$185.00	24.5%	7.0%	12.6%	50.9%	25.2%	3.2%	-2.6%	390.4K	-3.2M	-14.1K	2.28	66.54	76	173	560	417
2017-07-19	$184.21	$180.00	24.7%	7.1%	12.7%	51.7%	26.2%	3.3%	-2.7%	508.4K	-3.6M	-13.7K	2.59	61.65	78	202	565	417
2017-07-20	$182.73	$180.00	24.8%	7.1%	12.6%	52.3%	25.5%	3.0%	-3.0%	486.1K	-2.7M	-13.8K	2.18	64.12	84	183	566	446
2017-07-21	$182.50	$180.00	25.6%	7.3%	11.4%	56.0%	25.8%	3.3%	-3.3%	111.4K	-2.4M	-13.6K	2.80	47.98	86	241	573	459
2017-07-24	$176.86	$185.00	18.6%	5.3%	15.5%	23.1%	19.3%	3.2%	-0.4%	63.9K	-1.1M	-14.8K	1.51	78.32	94	142	362	343
2017-07-25	$171.85	$180.00	19.3%	5.5%	18.0%	26.4%	18.4%	2.8%	-0.6%	55.4K	485.2K	-13.7K	2.12	84.23	97	206	383	356
2017-07-26	$169.90	$180.00	18.5%	5.3%	18.0%	22.8%	19.2%	1.7%	-0.0%	8.1K	1.3M	-14.2K	1.51	89.60	129	195	386	399
2017-07-27	$171.92	$180.00	19.0%	5.4%	18.8%	25.1%	18.5%	3.6%	-0.2%	76.0K	496.4K	-14.9K	1.47	45.43	137	202	421	392
2017-07-28	$170.95	$180.00	18.9%	5.4%	18.8%	24.7%	18.6%	2.9%	-0.6%	77.6K	667.8K	-16.2K	1.62	21.44	131	212	454	404
2017-07-31	$171.21	$180.00	19.3%	5.5%	18.7%	26.3%	19.0%	3.4%	-0.6%	88.3K	537.9K	-15.8K	1.97	30.69	100	197	460	404