LII Options History — July 2015

In July 2015, LII traded between $107.35 and $118.04. ATM implied volatility averaged 19.1%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.9% (HV 20d: 20.1%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2015-07-17: Highest Volume — 1,238 contracts
  • 2015-07-20: Largest IV drop — 27.2% change
  • 2015-07-17: Highest IV Rank — 65.7%
  • 2015-07-09: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.17$107.35$118.04$108.13$118.04
Max Pain$112.05$110.00$115.00$110.00$115.00
ATM IV19.1%16.3%23.3%18.4%17.8%
Expected Move5.8%4.7%6.7%5.3%5.1%
HV 20d20.1%9.8%31.2%12.4%30.7%
HV 60d17.8%12.5%20.7%16.5%20.6%
IV Rank43.2%28.3%65.7%39.2%36.0%
IV Percentile51.3%13.1%91.7%43.3%32.1%
Term Structure-1.0%-3.3%3.9%3.9%-0.1%
VWIV20.4%15.2%24.4%18.4%18.3%
Skew 25d1.7%0.8%2.6%0.8%1.2%
Skew 10d3.8%2.9%5.0%3.1%2.9%
Call IV 25d19.6%15.3%23.1%18.7%17.9%
Put IV 25d21.4%16.7%25.6%19.4%19.1%
Bid-Ask Spread %86.1476.5499.1994.9193.50
Gamma HHI0.290.200.400.290.21
Net GEX51.9K-17.9K163.1K34.2K125.5K
Net DEX-2.0M-6.0M915.9K196.1K-5.1M
Net VEX-24.6K-28.7K-21.0K-25.1K-26.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.331.500.440.34
Total Volume521.1363041,238376755
Total OI1,854.8181,5812,2911,5812,291

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$108.13$110.0018.4%5.3%12.4%39.2%18.4%0.8%3.9%34.2K196.1K-25.1K0.4494.91261115953628
2015-07-02$108.05$110.0018.3%5.2%12.0%38.7%18.7%0.9%3.7%21.2K325.5K-24.6K0.4399.19265115951631
2015-07-06$108.56$110.0018.8%6.5%11.8%41.3%22.9%2.2%-2.3%22.0K21.6K-24.8K0.5876.79199115976631
2015-07-07$109.12$110.0019.5%6.6%12.1%45.4%23.0%2.1%-2.6%31.3K-334.2K-25.2K0.5876.54199115974631
2015-07-08$107.87$110.0021.2%6.7%12.2%54.4%23.8%1.8%-2.7%25.0K238.1K-24.2K0.6177.16190115989631
2015-07-09$108.35$110.0020.3%6.7%9.8%49.5%23.8%1.8%-2.8%22.6K-10.0K-24.4K0.6177.06189115990631
2015-07-10$108.08$110.0018.7%6.6%9.8%41.2%23.4%2.0%-2.8%13.4K154.6K-23.8K0.6378.58190120990630
2015-07-13$109.05$110.0019.7%6.4%10.7%46.1%22.7%2.1%-2.4%19.1K-312.4K-23.5K0.6680.43185122993631
2015-07-14$109.11$110.0018.0%6.3%10.1%37.2%22.6%1.8%-2.5%9.5K-153.4K-23.0K0.6382.34186118997633
2015-07-15$107.48$110.0022.8%6.5%10.8%62.9%22.7%1.8%-2.8%689754.0K-22.3K0.6182.21195118998642
2015-07-16$107.35$110.0023.2%6.6%10.8%64.9%22.7%2.0%-3.3%-17.9K915.9K-21.0K0.6081.95198118999646
2015-07-17$107.58$110.0023.3%6.7%10.9%65.7%24.4%2.6%-3.0%33.3K634.3K-21.9K0.5482.458034351,006646
2015-07-20$116.54$110.0017.0%4.9%30.5%31.7%16.9%1.2%-0.1%163.1K-6.0M-24.1K0.3381.497562461,002949
2015-07-21$115.73$115.0016.3%4.7%30.7%28.3%16.1%1.5%0.0%98.1K-4.1M-23.6K0.8392.623082579431,026
2015-07-22$117.45$115.0016.4%4.7%31.0%28.6%15.2%1.5%-0.0%148.6K-5.2M-22.5K1.0791.423293519401,036
2015-07-23$117.34$115.0016.5%4.7%30.9%29.2%15.9%1.5%0.0%114.3K-4.8M-24.4K1.1091.853363709581,142
2015-07-24$117.26$115.0018.7%5.4%30.7%41.1%18.8%1.6%-0.3%94.9K-4.5M-26.8K1.3287.632593429631,132
2015-07-27$115.66$115.0020.1%5.8%31.2%48.4%20.2%2.0%-0.5%-12.1K-3.2M-28.7K1.3890.012483429701,259
2015-07-28$116.25$115.0019.2%5.5%30.7%43.8%19.7%2.6%-0.5%18.7K-3.7M-28.5K1.1690.882833289801,259
2015-07-29$117.10$115.0019.1%5.5%30.7%43.4%20.2%2.0%-0.5%72.7K-4.6M-26.8K1.4193.432393381,0041,256
2015-07-30$117.61$115.0017.3%5.0%30.7%33.5%18.8%1.5%-0.1%104.5K-5.0M-25.9K1.5092.732393581,0031,266
2015-07-31$118.04$115.0017.8%5.1%30.7%36.0%18.3%1.2%-0.1%125.5K-5.1M-26.7K0.3493.505621931,0131,278