LII Options History — December 2017

In December 2017, LII traded between $204.43 and $210.72. ATM implied volatility averaged 20.6%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.6% (HV 20d: 16.9%). Max pain ranged from $170.00 to $210.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.25.

Notable Days

2017-12-11: Highest Volume — 814 contracts
2017-12-13: Largest IV drop — 52.2% change
2017-12-12: Highest IV Rank — 100.0%
2017-12-12: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$206.96	$204.43	$210.72	$208.88	$208.32
Max Pain	$207.50	$170.00	$210.00	$170.00	$210.00
ATM IV	20.6%	17.1%	36.7%	19.1%	17.2%
Expected Move	5.2%	4.9%	5.7%	5.5%	4.9%
HV 20d	16.9%	12.0%	19.1%	17.6%	12.0%
HV 60d	21.9%	21.0%	23.7%	23.7%	21.3%
IV Rank	22.4%	4.6%	100.0%	15.6%	5.0%
IV Percentile	33.6%	1.6%	100.0%	32.5%	2.0%
Term Structure	2.4%	-2.1%	4.3%	-2.1%	4.3%
VWIV	19.3%	17.0%	21.1%	19.5%	19.6%
Skew 25d	2.7%	1.5%	3.7%	3.7%	1.8%
Skew 10d	6.2%	3.9%	10.0%	7.3%	3.9%
Call IV 25d	17.3%	15.6%	19.4%	17.8%	16.5%
Put IV 25d	20.0%	18.3%	21.7%	21.6%	18.3%
Bid-Ask Spread %	75.54	15.77	90.96	15.77	72.36
Gamma HHI	0.29	0.16	0.51	0.47	0.19
Net GEX	918.6K	-42.9K	2.7M	1.8M	107.7K
Net DEX	-16.6M	-31.1M	-3.7M	-31.1M	-5.4M
Net VEX	-38.6K	-44.9K	-33.3K	-36.8K	-36.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.25	1.04	3.75	1.35	2.66
Total Volume	522.9	309	814	555	333
Total OI	2,394.25	1,304	3,555	2,757	1,434

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
2017-12-01	$208.88	$170.00	19.1%	5.5%	17.6%	15.6%	19.5%	3.7%	-2.1%	1.8M	-31.1M	-36.8K	1.35	15.77	236	319	2,053	704
2017-12-04	$209.30	$200.00	21.3%	4.9%	17.6%	27.1%	18.0%	2.7%	2.2%	1.7M	-31.0M	-37.9K	1.51	67.32	295	446	2,048	877
2017-12-05	$206.43	$210.00	21.6%	5.0%	18.8%	29.1%	18.9%	3.0%	2.1%	1.6M	-26.2M	-43.3K	1.89	64.32	234	442	2,156	958
2017-12-06	$205.61	$210.00	21.1%	5.1%	19.0%	26.0%	20.0%	2.8%	2.0%	1.7M	-24.6M	-43.8K	3.75	29.32	127	476	2,168	982
2017-12-07	$204.52	$210.00	24.7%	5.6%	19.1%	45.4%	19.9%	3.4%	0.9%	1.6M	-22.5M	-44.9K	3.59	79.02	132	474	2,171	1,019
2017-12-08	$206.59	$210.00	23.5%	5.5%	16.9%	39.3%	21.1%	1.6%	1.0%	1.7M	-26.2M	-44.6K	3.10	89.67	145	449	2,168	1,027
2017-12-11	$206.64	$210.00	30.9%	5.2%	16.8%	78.3%	19.6%	3.2%	2.6%	1.8M	-26.5M	-40.8K	1.35	82.50	346	468	2,188	1,021
2017-12-12	$206.83	$210.00	36.7%	5.7%	16.8%	100.0%	21.0%	2.5%	0.8%	1.9M	-28.3M	-42.9K	1.55	75.60	302	468	2,349	1,041
2017-12-13	$206.38	$210.00	17.5%	5.0%	16.9%	6.6%	20.2%	3.1%	2.7%	2.7M	-27.1M	-40.5K	2.54	86.64	147	374	2,446	1,044
2017-12-14	$204.43	$210.00	19.5%	5.6%	17.5%	16.1%	19.6%	2.4%	1.9%	1.3M	-23.0M	-36.5K	2.93	89.14	145	425	2,438	1,054
2017-12-15	$204.51	$210.00	18.1%	5.2%	16.8%	9.3%	17.0%	3.0%	2.9%	-42.9K	-23.3M	-35.8K	2.99	83.26	140	419	2,438	1,117
2017-12-18	$206.90	$210.00	17.6%	5.0%	16.9%	6.8%	18.4%	2.8%	3.2%	9.5K	-3.9M	-34.3K	2.19	84.67	97	212	687	618
2017-12-19	$205.98	$210.00	17.3%	5.0%	17.1%	5.4%	17.9%	2.3%	3.1%	-1.5K	-3.7M	-34.1K	2.36	80.06	92	217	687	618
2017-12-20	$207.56	$210.00	18.0%	5.2%	16.9%	8.9%	18.6%	2.3%	2.8%	24.5K	-4.3M	-33.3K	2.36	85.35	92	217	686	618
2017-12-21	$207.59	$210.00	17.1%	4.9%	16.7%	4.6%	18.2%	3.0%	3.3%	18.0K	-4.2M	-33.8K	1.04	86.39	234	243	686	618
2017-12-22	$205.73	$210.00	17.2%	4.9%	17.3%	5.1%	18.3%	1.5%	3.3%	26.2K	-4.1M	-39.6K	1.43	83.81	234	334	822	625
2017-12-26	$207.70	$210.00	18.1%	5.2%	17.4%	9.1%	20.4%	3.0%	2.8%	87.6K	-5.1M	-37.7K	1.04	80.89	235	244	822	617
2017-12-27	$208.58	$210.00	17.3%	4.9%	15.6%	5.2%	19.9%	2.4%	3.9%	99.0K	-5.5M	-37.1K	2.71	90.96	90	244	820	620
2017-12-28	$210.72	$210.00	17.2%	4.9%	15.2%	5.0%	20.7%	2.6%	3.9%	177.6K	-6.6M	-37.2K	2.68	83.75	90	241	820	620
2017-12-29	$208.32	$210.00	17.2%	4.9%	12.0%	5.0%	19.6%	1.8%	4.3%	107.7K	-5.4M	-36.7K	2.66	72.36	91	242	814	620