LII Options History — October 2015

In October 2015, LII traded between $112.96 and $133.04. ATM implied volatility averaged 23.6%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 2.4% (HV 20d: 26.0%). Max pain ranged from $110.00 to $125.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2015-10-19: Highest Volume — 923 contracts
  • 2015-10-12: Largest IV spike — 36.3% change
  • 2015-10-13: Highest IV Rank — 97.0%
  • 2015-10-14: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.68$112.96$133.04$112.96$133.04
Max Pain$118.41$110.00$125.00$125.00$120.00
ATM IV23.6%18.5%33.4%25.8%19.4%
Expected Move6.9%5.3%8.7%7.4%5.6%
HV 20d26.0%22.1%31.1%23.6%28.9%
HV 60d25.4%21.8%27.3%26.5%26.6%
IV Rank54.3%32.4%97.0%63.9%36.3%
IV Percentile77.0%43.3%99.6%89.7%56.3%
Term Structure-0.6%-3.6%5.6%5.6%0.3%
VWIV24.7%19.2%30.9%24.0%20.2%
Skew 25d2.8%-3.1%6.1%5.2%1.8%
Skew 10d6.0%-8.2%25.4%25.4%5.7%
Call IV 25d23.7%17.8%29.7%25.4%19.8%
Put IV 25d26.5%18.6%30.9%30.6%21.6%
Bid-Ask Spread %92.9083.10103.36101.3994.30
Gamma HHI0.240.200.280.210.24
Net GEX258.6K-96.6K641.7K-62.0K625.9K
Net DEX-5.8M-15.6M1.8M1.8M-15.6M
Net VEX-30.6K-33.9K-23.0K-23.0K-29.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.301.410.330.53
Total Volume554.18242923858495
Total OI2,196.1361,8052,4961,8052,365

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$112.96$125.0025.8%7.4%23.6%63.9%24.0%5.2%5.6%-62.0K1.8M-23.0K0.33101.396432151,060745
2015-10-02$113.01$120.0026.7%7.7%23.5%67.8%26.2%0.1%2.0%105.6K574.1K-29.1K0.30103.366962081,422769
2015-10-05$115.50$110.0022.7%8.0%24.6%50.6%27.8%3.0%-2.4%105.4K-1.2M-31.0K0.8384.8723191,454772
2015-10-06$113.89$115.0023.2%7.9%22.9%52.4%28.7%2.3%-1.8%104.8K-101.8K-31.0K0.7384.713072251,454791
2015-10-07$115.51$115.0023.9%7.8%23.5%55.7%27.6%2.9%-1.1%89.4K-750.6K-30.5K0.7283.102862051,454792
2015-10-08$117.74$115.0027.0%7.7%24.6%69.3%27.3%4.6%-1.8%96.7K-2.9M-32.6K0.7086.022922051,454793
2015-10-09$117.47$115.0022.2%7.7%22.1%48.3%27.6%2.7%-1.0%37.2K-2.7M-31.9K0.6991.922992051,448793
2015-10-12$119.04$115.0030.2%7.7%22.7%83.2%27.2%4.9%-2.2%29.5K-3.2M-30.3K0.7191.372872051,435793
2015-10-13$118.56$115.0033.4%7.7%22.6%97.0%27.7%3.1%-2.1%39.8K-3.0M-30.0K0.7289.322852041,448793
2015-10-14$116.87$115.0030.4%8.7%22.8%83.8%30.9%3.2%-3.6%-21.6K-2.2M-29.0K1.4190.992874061,459792
2015-10-15$117.78$120.0026.8%7.7%23.1%68.2%27.1%4.0%-2.0%-96.6K-1.3M-31.8K0.7589.232802101,474995
2015-10-16$117.79$120.0027.6%7.9%22.7%71.6%28.7%4.0%-2.7%199.5K-1.5M-31.3K0.7087.013592501,4931,003
2015-10-19$124.91$120.0020.5%5.9%31.1%41.0%23.5%6.1%1.3%376.2K-7.7M-33.9K0.6595.625593641,383692
2015-10-20$124.08$120.0018.5%5.3%30.8%32.4%20.5%4.0%1.0%477.0K-8.3M-32.9K0.6195.973091901,434602
2015-10-21$124.88$120.0020.0%5.7%29.9%38.8%20.2%-1.0%-0.6%490.7K-9.2M-32.3K0.7996.772692131,448599
2015-10-22$127.81$120.0018.8%5.4%30.1%33.4%19.2%2.4%-0.4%510.1K-10.6M-31.4K0.6397.263312091,452621
2015-10-23$127.88$120.0019.3%5.5%30.1%35.9%19.4%-3.1%1.1%483.8K-11.0M-30.6K0.5998.013251911,461638
2015-10-26$129.50$120.0019.8%5.7%28.0%37.8%21.8%2.6%0.8%479.1K-11.8M-30.0K0.5995.762821671,470634
2015-10-27$127.10$120.0020.6%5.9%27.2%41.6%22.0%2.3%-0.2%497.1K-10.1M-30.9K0.6294.262821751,477635
2015-10-28$131.10$125.0020.9%6.0%28.6%42.9%22.6%4.1%-1.2%479.3K-12.6M-28.9K0.3895.474521711,495658
2015-10-29$130.55$120.0020.8%6.0%28.7%42.2%22.4%2.2%-1.3%641.7K-13.6M-32.0K0.3997.114361711,712653
2015-10-30$133.04$120.0019.4%5.6%28.9%36.3%20.2%1.8%0.3%625.9K-15.6M-29.3K0.5394.303241711,712653