LII Options History — March 2015

In March 2015, LII traded between $106.59 and $111.68. ATM implied volatility averaged 16.7%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.9% (HV 20d: 12.8%). Max pain ranged from $90.00 to $105.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2015-03-06: Highest Volume — 463 contracts
  • 2015-03-05: Largest IV spike — 18.4% change
  • 2015-03-09: Highest IV Rank — 28.5%
  • 2015-03-09: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.70$106.59$111.68$107.23$111.68
Max Pain$102.05$90.00$105.00$90.00$105.00
ATM IV16.7%14.5%18.3%17.3%17.4%
Expected Move4.8%4.2%5.0%4.9%5.0%
HV 20d12.8%8.1%14.7%14.7%8.1%
HV 60d13.9%13.2%14.8%14.8%13.3%
IV Rank15.9%4.6%28.5%21.7%18.8%
IV Percentile6.9%0.4%26.2%7.1%14.3%
Term Structure3.4%0.8%4.7%1.0%3.9%
VWIV17.2%15.2%19.9%19.8%19.9%
Skew 25d1.8%-1.3%6.1%1.3%2.2%
Skew 10d2.2%-8.5%10.3%7.4%5.3%
Call IV 25d16.1%11.8%18.1%18.1%16.6%
Put IV 25d17.9%13.4%19.5%19.4%18.7%
Bid-Ask Spread %99.9396.11106.4896.11100.53
Gamma HHI0.320.260.420.260.31
Net GEX65.3K26.8K87.0K63.0K66.3K
Net DEX-5.9M-7.6M-2.8M-6.9M-3.5M
Net VEX-11.1K-13.3K-8.6K-13.3K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.005.501.181.51
Total Volume169.6360463461314
Total OI1,715.4091,0642,0631,9881,147

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$107.23$90.0017.3%4.9%14.7%21.7%19.8%1.3%1.0%63.0K-6.9M-13.3K1.1896.112112508281,160
2015-03-03$107.01$90.0017.0%4.9%13.5%20.3%17.3%-0.7%0.8%78.8K-7.1M-11.9K1.18101.252112508301,160
2015-03-04$107.25$90.0014.5%4.2%13.4%4.6%17.8%0.3%4.6%64.9K-7.1M-11.7K1.18106.482112508251,160
2015-03-05$107.38$100.0017.2%5.0%13.3%21.4%17.1%1.0%2.4%73.7K-7.2M-11.5K1.1899.202112508251,160
2015-03-06$106.59$100.0017.5%4.9%13.8%23.6%17.3%2.5%2.8%75.8K-7.0M-11.3K1.1797.422132508251,160
2015-03-09$106.98$100.0018.3%5.0%13.8%28.5%0.0%2.4%2.4%80.7K-7.1M-11.0K0.0098.86048261,151
2015-03-10$107.13$100.0017.8%4.9%13.6%25.4%17.1%3.9%3.3%87.0K-7.2M-10.8K2.5097.074108261,147
2015-03-11$108.01$105.0017.0%4.9%13.6%20.3%17.9%1.4%3.0%81.8K-7.4M-10.3K1.6798.08358251,157
2015-03-12$108.70$105.0016.1%4.6%13.6%14.2%16.0%2.1%4.0%73.0K-7.6M-9.1K0.00101.65208261,154
2015-03-13$107.86$105.0016.8%4.8%13.3%14.8%0.0%1.4%3.4%57.6K-7.2M-10.3K1.0099.08228281,154
2015-03-16$108.40$105.0016.9%4.9%13.2%15.8%0.0%1.7%2.9%69.5K-7.5M-9.4K0.0098.532008281,156
2015-03-17$108.09$105.0017.1%4.9%13.2%16.6%0.0%4.5%2.8%71.3K-7.3M-9.9K0.0098.231508131,156
2015-03-18$109.23$105.0016.4%4.7%13.5%12.5%0.0%5.4%3.2%61.4K-7.5M-8.6K0.00100.12097981,156
2015-03-19$109.46$105.0016.4%4.7%13.5%12.1%0.0%1.8%2.9%65.3K-7.5M-8.6K5.5098.96201107981,165
2015-03-20$109.77$105.0015.8%4.5%13.0%8.2%15.9%6.1%3.7%26.8K-6.9M-11.5K0.00100.37907881,275
2015-03-23$109.95$105.0016.3%4.7%12.9%11.5%16.0%1.5%4.3%32.1K-3.1M-11.2K0.2599.608020434630
2015-03-24$109.96$105.0016.1%4.6%12.7%10.1%0.0%0.1%4.7%62.1K-3.3M-12.7K0.00101.5100514650
2015-03-25$109.20$105.0015.7%4.5%12.4%8.0%0.0%0.6%4.5%56.7K-3.2M-13.0K0.0099.7050514650
2015-03-26$109.73$105.0016.4%4.7%12.1%12.1%16.5%0.1%4.7%61.1K-3.2M-13.1K2.0199.68144290519659
2015-03-27$110.52$105.0016.2%4.6%12.2%11.0%0.0%1.4%4.7%59.6K-2.8M-12.3K1.00103.7499465650
2015-03-30$111.37$105.0017.4%5.0%8.3%19.1%15.2%-1.3%4.3%67.7K-3.5M-11.7K1.26102.25150189497650
2015-03-31$111.68$105.0017.4%5.0%8.1%18.8%19.9%2.2%3.9%66.3K-3.5M-11.7K1.51100.53125189497650