LII Options History — September 2015

In September 2015, LII traded between $112.43 and $124.16. ATM implied volatility averaged 24.3%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 1.5% (HV 20d: 25.8%). Max pain ranged from $110.00 to $125.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2015-09-02: Highest Volume — 740 contracts
  • 2015-09-30: Largest IV drop — 18.1% change
  • 2015-09-01: Highest IV Rank — 84.3%
  • 2015-09-01: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.51$112.43$124.16$116.23$113.26
Max Pain$123.57$110.00$125.00$110.00$125.00
ATM IV24.3%20.4%30.5%30.5%22.8%
Expected Move6.9%5.8%8.7%8.7%6.5%
HV 20d25.8%22.8%28.7%23.9%25.2%
HV 60d24.8%23.5%26.6%23.5%26.6%
IV Rank57.5%40.5%84.3%84.3%50.8%
IV Percentile86.9%70.2%98.8%98.8%80.6%
Term Structure1.7%-6.7%5.3%-6.7%3.3%
VWIV25.7%22.4%32.1%31.1%25.7%
Skew 25d4.0%-0.3%7.4%7.4%6.0%
Skew 10d8.1%-0.4%25.2%13.9%11.2%
Call IV 25d23.8%19.9%29.7%26.1%23.3%
Put IV 25d27.8%24.4%33.6%33.6%29.3%
Bid-Ask Spread %96.1291.5299.8797.4299.87
Gamma HHI0.270.210.360.210.24
Net GEX274.6K-66.4K687.9K144.4K-66.4K
Net DEX-5.1M-11.3M1.9M-3.3M1.9M
Net VEX-32.8K-43.2K-21.5K-40.0K-21.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.302.182.180.98
Total Volume459.28627740566414
Total OI2,601.3331,7113,1982,9571,765

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$116.23$110.0030.5%8.7%23.9%84.3%31.1%7.4%-6.7%144.4K-3.3M-40.0K2.1897.421783881,6671,290
2015-09-02$118.85$110.0027.3%7.8%25.3%70.2%28.4%6.9%-1.4%217.2K-4.2M-41.1K1.4799.022994411,6671,293
2015-09-03$119.38$125.0025.8%7.2%25.3%64.0%25.9%4.2%1.9%330.5K-5.7M-43.2K1.4193.493004241,7701,364
2015-09-04$117.66$125.0026.7%7.1%25.8%67.7%25.5%2.3%2.5%247.1K-4.4M-40.9K1.4391.522914171,7821,367
2015-09-08$120.69$125.0027.8%7.4%26.7%72.7%0.0%5.9%0.1%556.3K-8.0M-36.2K0.3094.9333101,7691,362
2015-09-09$119.54$125.0025.0%7.2%26.9%60.6%25.7%3.3%1.2%431.3K-6.6M-37.3K1.9493.661903691,7551,364
2015-09-10$118.94$125.0024.3%7.0%26.7%57.3%24.5%4.2%1.0%398.2K-5.6M-36.3K1.8293.622033691,7571,383
2015-09-11$122.36$125.0023.3%6.7%28.7%53.2%23.2%3.9%1.0%631.3K-9.7M-34.7K1.4394.472483541,7781,383
2015-09-14$122.80$125.0023.5%6.7%28.0%54.0%25.6%3.7%1.3%586.2K-10.0M-33.7K1.7691.531943411,7521,383
2015-09-15$123.19$125.0022.5%6.5%28.0%49.7%23.3%3.3%1.4%559.9K-10.2M-33.1K1.7096.7710171,7501,381
2015-09-16$124.16$125.0021.4%6.1%28.0%44.7%26.3%3.1%2.4%687.9K-11.3M-32.8K0.6292.702581601,7581,396
2015-09-17$123.62$125.0021.3%6.1%28.0%44.6%32.1%6.7%2.5%630.8K-11.3M-33.0K0.6699.852621741,7901,408
2015-09-18$121.96$125.0023.4%6.7%26.8%53.6%25.6%2.9%1.1%131.5K-10.2M-31.8K0.7397.082371731,7761,422
2015-09-21$123.09$125.0020.4%5.8%25.8%40.5%22.4%4.9%4.8%160.7K-3.9M-31.9K0.7696.922061561,103659
2015-09-22$121.51$125.0022.9%6.6%23.3%51.4%23.5%3.7%2.0%127.7K-3.4M-31.3K0.7894.641991561,128659
2015-09-23$119.15$125.0021.3%6.1%23.8%44.2%22.9%2.7%3.6%58.9K-1.9M-30.0K0.8195.872031651,128662
2015-09-24$117.45$125.0023.6%6.8%23.2%54.2%23.2%4.1%5.3%28.7K-1.0M-28.1K0.4797.453341561,137662
2015-09-25$118.28$125.0022.8%6.5%22.8%50.8%24.3%2.5%2.9%-12.0K-872.8K-26.6K0.5399.613141671,047679
2015-09-28$115.20$125.0026.3%7.5%24.4%66.2%27.0%-0.3%4.4%-38.2K530.0K-24.4K0.5598.782891591,022689
2015-09-29$112.43$125.0027.8%8.0%25.4%72.6%28.5%2.7%0.4%-45.5K1.8M-21.7K0.8399.382111761,028693
2015-09-30$113.26$125.0022.8%6.5%25.2%50.8%25.7%6.0%3.3%-66.4K1.9M-21.5K0.9899.872092051,050715