LII Options History — August 2015

In August 2015, LII traded between $114.54 and $126.57. ATM implied volatility averaged 21.9%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 1.9% (HV 20d: 23.8%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2015-08-13: Highest Volume — 1,133 contracts
  • 2015-08-24: Largest IV spike — 50.6% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.50$114.54$126.57$118.30$118.02
Max Pain$111.67$110.00$115.00$115.00$110.00
ATM IV21.9%17.4%34.1%19.3%25.7%
Expected Move6.3%5.0%9.8%5.5%7.4%
HV 20d23.8%10.8%30.7%30.7%23.3%
HV 60d21.2%20.1%23.3%20.4%23.3%
IV Rank52.9%34.2%100.0%44.1%63.6%
IV Percentile64.2%27.8%100.0%59.1%92.5%
Term Structure0.8%-5.0%4.1%-0.6%-1.7%
VWIV22.6%17.4%36.0%19.6%29.3%
Skew 25d2.6%1.0%7.6%1.4%4.3%
Skew 10d7.2%1.5%32.0%4.6%1.5%
Call IV 25d21.1%16.7%28.8%18.9%28.0%
Put IV 25d23.6%18.3%35.5%20.3%32.3%
Bid-Ask Spread %86.5176.7598.6493.2195.85
Gamma HHI0.340.210.470.310.23
Net GEX435.0K129.3K912.8K337.7K272.5K
Net DEX-9.1M-16.0M-1.7M-6.8M-5.3M
Net VEX-35.4K-43.9K-27.2K-31.6K-39.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.043.690.122.17
Total Volume450.19501,133276570
Total OI3,001.2862,6083,3952,6442,953

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$118.30$115.0019.3%5.5%30.7%44.1%19.6%1.4%-0.6%337.7K-6.8M-31.6K0.1293.21247291,3521,292
2015-08-04$118.62$115.0018.7%5.4%30.7%41.1%19.6%1.7%-0.2%489.7K-8.1M-35.0K0.8791.632622291,5661,324
2015-08-05$118.32$115.0018.8%5.4%30.2%41.4%19.0%1.3%-0.1%447.0K-7.7M-35.3K0.8392.741921601,5691,364
2015-08-06$118.53$110.0018.8%5.4%30.3%41.6%18.9%1.7%2.2%445.0K-7.7M-35.5K0.6377.822061301,5691,376
2015-08-07$118.91$110.0017.8%5.2%30.2%36.1%18.6%1.9%2.6%540.0K-8.3M-34.8K0.7976.751711351,5991,386
2015-08-10$121.04$110.0019.8%5.1%30.5%46.8%17.5%1.1%3.1%582.3K-10.3M-31.7K0.7583.802201651,5991,383
2015-08-11$121.43$110.0019.1%5.3%30.4%43.4%18.5%1.3%2.6%545.6K-10.5M-30.3K0.5980.3263371,5431,413
2015-08-12$122.47$110.0019.5%5.6%29.5%45.5%19.2%1.7%1.8%519.8K-11.0M-28.4K0.6277.212611631,4941,414
2015-08-13$122.85$110.0017.7%5.1%29.4%35.6%18.2%1.8%4.0%513.2K-11.9M-27.2K0.2777.918922411,5131,412
2015-08-14$124.91$110.0017.6%5.0%29.5%34.9%18.2%1.0%3.8%506.8K-14.3M-32.2K0.7180.983432441,7071,462
2015-08-17$125.61$115.0017.8%5.1%11.7%36.3%17.7%1.3%3.8%505.4K-14.9M-32.3K0.6783.022481661,7351,502
2015-08-18$126.57$115.0017.4%5.0%11.1%34.2%17.4%1.8%4.1%492.6K-16.0M-31.9K0.9082.682021821,7881,511
2015-08-19$125.96$115.0018.0%5.2%10.8%37.4%18.1%1.7%3.6%517.3K-15.6M-32.6K0.0485.424821,7921,516
2015-08-20$122.76$115.0020.4%5.8%15.0%50.1%21.3%1.2%2.0%529.9K-12.7M-36.4K0.8381.383432841,8181,520
2015-08-21$120.08$110.0022.7%6.5%17.3%62.2%23.1%2.1%0.9%912.8K-10.4M-37.0K2.1079.161352831,9471,448
2015-08-24$116.30$110.0034.1%9.8%20.3%100.0%34.5%4.3%-2.1%219.8K-4.7M-40.4K3.6998.641083991,5981,010
2015-08-25$114.54$110.0031.8%9.1%20.9%90.1%36.0%4.7%-4.4%129.3K-1.7M-42.4K2.7593.681313601,5951,244
2015-08-26$117.04$110.0032.1%9.2%22.2%91.2%32.9%6.8%-5.0%139.7K-3.1M-43.9K2.8695.421263601,6241,267
2015-08-27$118.66$110.0027.5%7.9%22.7%71.2%28.7%3.3%-1.6%210.7K-4.6M-41.8K2.0693.361793691,6251,267
2015-08-28$119.56$110.0025.9%7.4%22.9%64.5%29.3%7.6%-2.1%278.4K-5.3M-43.5K2.1695.821803891,6611,269
2015-08-31$118.02$110.0025.7%7.4%23.3%63.6%29.3%4.3%-1.7%272.5K-5.3M-39.6K2.1795.851803901,6641,289