LII Options History — June 2015

In June 2015, LII traded between $107.35 and $115.53. ATM implied volatility averaged 16.6%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.7% (HV 20d: 12.9%). Max pain ranged from $100.00 to $115.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.18.

Notable Days

  • 2015-06-10: Highest Volume — 738 contracts
  • 2015-06-29: Largest IV spike — 23.7% change
  • 2015-06-29: Highest IV Rank — 49.3%
  • 2015-06-29: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.90$107.35$115.53$113.36$107.74
Max Pain$111.82$100.00$115.00$100.00$115.00
ATM IV16.6%14.1%20.3%15.3%18.8%
Expected Move4.8%4.2%5.8%4.4%5.4%
HV 20d12.9%12.1%14.1%12.7%12.4%
HV 60d16.0%15.4%16.5%15.5%16.5%
IV Rank29.7%16.3%49.3%22.5%41.5%
IV Percentile20.3%1.2%74.6%6.7%52.0%
Term Structure2.7%-0.4%4.5%-0.4%3.7%
VWIV17.4%16.3%19.9%18.0%19.1%
Skew 25d2.0%0.5%4.2%2.4%0.5%
Skew 10d5.2%0.2%18.4%5.9%0.2%
Call IV 25d16.4%13.3%20.0%15.1%20.0%
Put IV 25d18.4%17.1%21.2%17.5%20.5%
Bid-Ask Spread %92.1884.5198.1997.5098.19
Gamma HHI0.310.250.360.360.30
Net GEX28.6K7.5K67.2K16.2K14.4K
Net DEX-4.0M-7.7M555.3K-6.0M440.6K
Net VEX-26.8K-30.0K-24.4K-26.4K-24.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.307.501.800.53
Total Volume414.534738319322
Total OI2,142.1361,4632,6892,2221,554

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$113.36$100.0015.3%4.4%12.7%22.5%18.0%2.4%-0.4%16.2K-6.0M-26.4K1.8097.501142051,0261,196
2015-06-02$113.44$100.0015.2%4.4%12.5%22.3%17.6%3.7%-0.3%16.5K-5.9M-26.0K7.5097.484301,0031,186
2015-06-03$113.77$100.0014.9%4.3%12.1%20.9%17.7%4.2%-0.1%13.2K-6.3M-26.2K1.9395.301182281,0301,217
2015-06-04$112.53$110.0015.4%4.3%12.9%23.3%16.8%3.2%3.1%7.5K-5.6M-26.7K1.9386.721182281,0301,212
2015-06-05$113.28$110.0014.1%4.2%12.5%16.3%16.4%3.2%3.2%8.0K-6.0M-26.2K1.7888.451282281,0301,212
2015-06-08$112.75$110.0015.0%4.3%12.6%21.1%16.8%3.3%3.2%9.5K-5.8M-25.8K1.7884.511282281,0401,212
2015-06-09$113.45$110.0015.3%4.2%12.5%22.6%16.3%3.0%3.6%13.9K-6.4M-25.4K1.3090.611752281,0401,212
2015-06-10$115.53$110.0017.4%5.0%13.7%33.9%17.3%1.8%2.5%45.7K-7.7M-25.4K0.7485.034233151,0961,212
2015-06-11$115.02$115.0017.0%4.9%13.0%32.1%16.9%1.6%2.5%63.1K-5.5M-30.0K0.5087.254222111,1551,317
2015-06-12$115.00$115.0016.9%4.9%12.2%31.5%17.0%1.1%2.4%47.3K-7.6M-29.5K0.5488.983952121,3381,318
2015-06-15$113.58$115.0017.6%5.1%12.8%35.3%17.8%1.3%1.8%18.2K-6.4M-29.3K0.5290.093992081,3311,329
2015-06-16$112.52$115.0017.4%5.0%13.3%33.8%17.8%1.7%2.2%19.0K-5.3M-29.0K0.5686.864022261,3361,337
2015-06-17$112.00$115.0017.8%5.1%13.3%36.1%17.4%1.7%2.5%62.7K-4.9M-28.6K0.5692.824022261,3421,347
2015-06-18$111.84$115.0017.3%5.0%13.3%33.6%16.6%1.7%2.7%67.2K-4.9M-28.0K0.6890.583122131,3421,347
2015-06-19$110.31$115.0016.6%4.8%14.1%29.9%16.9%1.3%3.3%44.9K-3.9M-27.2K0.7193.352912061,3431,345
2015-06-22$110.57$115.0016.8%4.8%14.0%30.6%17.0%1.3%4.4%35.6K-644.1K-26.5K0.3293.3322773860603
2015-06-23$110.28$115.0016.5%4.7%14.0%29.2%16.7%1.4%3.8%30.8K-582.7K-26.5K0.3096.8424373910603
2015-06-24$109.87$115.0016.5%4.7%12.7%29.2%17.7%1.8%4.2%44.0K-383.0K-26.1K0.3496.4524382911603
2015-06-25$109.06$115.0016.7%4.8%12.5%30.2%17.6%0.7%3.8%20.4K47.9K-25.5K0.5394.8717392910613
2015-06-26$108.59$115.0016.4%4.7%12.1%28.5%16.6%1.6%4.5%16.3K69.0K-25.6K0.4996.9218390916623
2015-06-29$107.35$115.0020.3%5.8%12.2%49.3%19.9%1.4%3.6%15.5K555.3K-24.4K0.6195.86183112926614
2015-06-30$107.74$115.0018.8%5.4%12.4%41.5%19.1%0.5%3.7%14.4K440.6K-24.9K0.5398.19210112926628