LII Options History — February 2016

In February 2016, LII traded between $113.94 and $131.55. ATM implied volatility averaged 30.8%, placing in the 62.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.1% (HV 20d: 29.7%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.40.

Notable Days

  • 2016-02-05: Highest Volume — 1,347 contracts
  • 2016-02-10: Largest IV drop — 25.4% change
  • 2016-02-05: Highest IV Rank — 100.0%
  • 2016-02-02: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.67$113.94$131.55$118.56$129.57
Max Pain$119.25$115.00$120.00$115.00$120.00
ATM IV30.8%23.4%42.8%35.0%25.2%
Expected Move8.4%6.7%10.9%10.0%7.2%
HV 20d29.7%24.2%31.9%30.7%24.6%
HV 60d24.3%22.9%26.2%22.9%26.2%
IV Rank62.9%38.9%100.0%78.8%44.6%
IV Percentile87.6%73.4%100.0%99.6%79.0%
Term Structure-1.2%-7.3%4.6%-6.2%-0.2%
VWIV31.4%22.4%39.6%38.4%25.0%
Skew 25d4.8%-3.8%11.6%7.0%-3.8%
Skew 10d13.0%-1.9%29.5%19.5%-1.9%
Call IV 25d29.2%23.5%38.5%34.1%27.4%
Put IV 25d34.0%23.6%42.5%41.0%23.6%
Bid-Ask Spread %82.0068.3594.2489.5194.24
Gamma HHI0.330.170.590.180.53
Net GEX77.5K-356.0K622.2K62.9K621.9K
Net DEX-975.6K-7.2M3.6M-296.2K-7.0M
Net VEX-15.9K-23.0K-12.2K-14.1K-21.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.436.090.941.47
Total Volume580.754191,347494600
Total OI1,579.51,0111,9791,0111,976

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$118.56$115.0035.0%10.0%30.7%78.8%38.4%7.0%-6.2%62.9K-296.2K-14.1K0.9489.51255239630381
2016-02-02$116.76$115.0037.9%10.9%30.9%88.2%38.6%5.2%-7.3%56.1K49.2K-13.7K1.0184.55237240637381
2016-02-03$117.60$115.0036.9%10.6%31.1%85.1%39.6%4.0%-7.2%64.9K-108.8K-14.3K1.0187.69237240660382
2016-02-04$118.12$120.0037.7%8.6%30.3%87.7%32.8%5.8%-1.7%71.8K-353.7K-14.3K1.0269.45237242660382
2016-02-05$114.53$120.0042.8%9.3%31.9%100.0%32.9%4.5%-3.2%39.4K410.6K-13.2K6.0979.181901,157658384
2016-02-08$113.94$120.0040.8%10.1%31.6%93.6%34.1%11.6%-4.1%-356.0K3.6M-18.0K1.1072.732142366641,167
2016-02-09$114.11$120.0042.5%10.0%31.6%99.1%33.9%6.5%-2.7%-318.9K2.9M-19.5K1.0271.012072126811,170
2016-02-10$116.15$120.0031.7%9.1%31.8%65.1%33.2%4.7%-1.5%-294.2K2.2M-18.7K1.0870.762072246841,193
2016-02-11$117.65$120.0030.5%8.7%30.7%61.2%33.0%5.6%-1.6%-231.1K875.8K-17.3K1.0868.352122286871,195
2016-02-12$119.36$120.0030.2%8.7%30.5%60.2%32.5%7.1%-1.5%-94.7K-211.6K-16.3K1.2377.122162656841,216
2016-02-16$119.50$120.0027.9%8.0%29.9%53.1%31.6%5.0%1.8%43.7K-729.9K-14.3K1.4076.172283196931,270
2016-02-17$123.11$120.0025.1%7.2%31.5%44.2%29.3%4.1%1.6%163.2K-1.6M-13.3K1.4981.492153206941,285
2016-02-18$121.20$120.0025.8%7.4%31.7%46.4%29.2%0.4%2.8%130.9K-977.5K-13.1K1.4687.772133116851,285
2016-02-19$121.19$120.0025.4%7.3%31.6%45.1%29.4%4.1%2.8%78.9K-966.4K-12.6K1.5088.562073116841,284
2016-02-22$121.36$120.0023.9%6.9%29.5%40.6%30.7%6.6%4.6%108.5K-839.7K-13.1K1.3391.60184244624493
2016-02-23$123.60$120.0023.4%6.7%28.7%38.9%30.1%5.5%0.1%111.3K-1.3M-12.5K1.2788.10186237624508
2016-02-24$126.62$120.0023.4%6.7%26.5%39.0%26.4%1.2%2.2%141.3K-2.2M-12.2K0.4389.39811349626516
2016-02-25$128.89$120.0024.6%7.1%24.6%42.7%24.9%6.0%-1.3%622.2K-5.7M-22.5K1.1083.093233561,226686
2016-02-26$131.55$120.0025.2%7.2%24.2%44.6%22.4%5.6%-1.1%527.9K-7.2M-23.0K1.0289.173493571,241694
2016-02-29$129.57$120.0025.2%7.2%24.6%44.6%25.0%-3.8%-0.2%621.9K-7.0M-21.0K1.4794.242433571,248728