LII Options History — December 2015

In December 2015, LII traded between $123.55 and $137.79. ATM implied volatility averaged 21.5%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.4% (HV 20d: 19.1%). Max pain ranged from $110.00 to $140.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2015-12-15: Highest Volume — 615 contracts
  • 2015-12-11: Largest IV spike — 22.7% change
  • 2015-12-11: Highest IV Rank — 62.5%
  • 2015-12-11: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$130.00$123.55$137.79$137.79$125.25
Max Pain$132.73$110.00$140.00$110.00$130.00
ATM IV21.5%18.4%25.5%18.4%19.9%
Expected Move6.0%5.3%7.3%5.3%5.7%
HV 20d19.1%13.8%22.1%13.8%20.9%
HV 60d23.5%22.9%24.3%23.4%22.9%
IV Rank45.2%31.7%62.5%31.7%38.3%
IV Percentile67.4%38.9%87.3%38.9%57.1%
Term Structure2.7%-0.9%6.1%-0.9%4.8%
VWIV20.9%16.4%24.7%16.4%19.9%
Skew 25d3.0%0.8%5.1%3.4%0.8%
Skew 10d5.6%-4.2%14.6%6.0%6.9%
Call IV 25d20.9%18.0%24.8%19.1%20.5%
Put IV 25d23.9%21.3%29.4%22.4%21.3%
Bid-Ask Spread %93.6886.2799.6599.0698.24
Gamma HHI0.270.160.470.470.20
Net GEX375.7K25.9K699.8K609.2K41.2K
Net DEX-8.5M-17.4M-561.9K-17.4M-920.1K
Net VEX-17.8K-22.5K-14.5K-18.9K-14.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.001.751.751.13
Total Volume382.5912961544334
Total OI1,7578962,3432,1151,007

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$137.79$110.0018.4%5.3%13.8%31.7%16.4%3.4%-0.9%609.2K-17.4M-18.9K1.7599.0616281,633482
2015-12-02$135.53$110.0020.5%5.9%15.1%40.8%21.2%3.2%0.1%667.1K-15.6M-21.3K0.9095.322392161,637496
2015-12-03$133.59$140.0022.2%5.8%15.9%48.5%17.8%3.5%3.3%659.7K-13.9M-22.5K0.7389.072421761,668525
2015-12-04$136.35$140.0020.7%5.5%17.3%41.9%18.6%4.5%2.9%699.8K-16.1M-20.2K0.7691.552311761,677525
2015-12-07$137.46$140.0023.5%6.0%17.4%53.8%0.0%3.3%2.1%589.5K-16.8M-20.2K0.0088.342901,672525
2015-12-08$135.79$140.0024.4%6.1%17.1%57.9%20.5%3.1%2.4%682.3K-15.6M-20.4K0.6789.342631761,665525
2015-12-09$133.58$140.0021.7%6.2%17.7%46.3%21.1%2.5%2.2%660.3K-14.0M-20.2K0.7890.032582001,662525
2015-12-10$132.86$140.0020.8%5.9%17.5%42.1%20.6%2.5%3.0%648.7K-13.4M-20.5K0.7491.922591911,661550
2015-12-11$130.06$140.0025.5%7.3%19.0%62.5%23.7%5.1%0.0%616.2K-10.8M-20.7K0.7595.172631961,665550
2015-12-14$129.65$140.0025.0%7.2%19.1%60.3%24.5%3.8%1.7%607.3K-10.3M-18.4K0.6993.102721881,653545
2015-12-15$128.98$135.0024.3%7.0%18.4%57.7%24.7%3.3%1.0%602.0K-9.8M-18.7K0.9690.773143011,677555
2015-12-16$130.46$135.0021.5%6.2%19.0%45.2%23.5%2.1%1.5%540.1K-11.1M-18.2K1.0092.292632641,687656
2015-12-17$126.38$135.0022.2%6.4%20.3%48.2%22.4%2.9%2.8%331.1K-8.1M-16.5K1.0793.622612791,689641
2015-12-18$124.48$135.0022.8%6.5%20.7%51.0%23.1%3.6%1.0%42.6K-5.5M-15.2K0.9386.272602431,689622
2015-12-21$123.55$130.0021.5%6.2%20.7%45.4%21.7%2.9%4.3%32.6K-561.9K-14.6K1.2790.20135172555341
2015-12-22$125.20$130.0019.2%5.5%21.5%35.4%19.4%3.1%4.4%26.1K-613.6K-14.8K1.2295.81141172567352
2015-12-23$125.12$130.0018.5%5.3%21.5%32.3%18.9%2.9%6.1%25.9K-757.1K-15.0K1.2098.83141169573352
2015-12-24$126.41$130.0019.3%5.5%22.0%35.5%19.3%3.8%4.6%42.9K-1.1M-15.2K1.1497.36148169583354
2015-12-28$127.03$130.0019.9%5.7%22.0%38.5%20.6%2.5%5.0%42.7K-1.2M-14.5K1.1696.28153177590354
2015-12-29$127.83$130.0019.3%5.5%22.1%35.8%20.4%1.3%4.7%43.2K-1.6M-15.4K0.9399.65191177596372
2015-12-30$126.64$130.0021.3%6.1%21.3%44.3%21.6%0.8%2.6%54.0K-1.3M-15.0K1.1398.77157177629372
2015-12-31$125.25$130.0019.9%5.7%20.9%38.3%19.9%0.8%4.8%41.2K-920.1K-14.6K1.1398.24157177635372