LII Options History — March 2016

In March 2016, LII traded between $128.61 and $135.32. ATM implied volatility averaged 21.3%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.3% (HV 20d: 18.0%). Max pain ranged from $120.00 to $130.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.74.

Notable Days

  • 2016-03-14: Highest Volume — 884 contracts
  • 2016-03-07: Largest IV spike — 13.1% change
  • 2016-03-07: Highest IV Rank — 45.4%
  • 2016-03-01: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.53$128.61$135.32$129.01$135.32
Max Pain$125.00$120.00$130.00$120.00$130.00
ATM IV21.3%17.2%25.5%23.9%17.2%
Expected Move6.0%4.9%6.8%6.8%4.9%
HV 20d18.0%10.7%24.8%24.8%10.7%
HV 60d24.6%23.6%26.0%26.0%23.6%
IV Rank32.2%19.3%45.4%40.3%19.3%
IV Percentile53.1%15.5%80.2%74.2%15.5%
Term Structure3.6%-0.8%6.3%0.7%6.1%
VWIV22.9%17.0%27.3%25.0%17.0%
Skew 25d3.6%-5.8%6.1%-5.8%3.0%
Skew 10d10.3%-5.1%19.7%-5.1%7.7%
Call IV 25d20.7%15.6%28.0%28.0%15.6%
Put IV 25d24.3%18.6%27.4%22.3%18.6%
Bid-Ask Spread %85.6574.7098.3898.3887.40
Gamma HHI0.460.110.790.550.30
Net GEX478.4K-8.8K1.0M668.8K86.4K
Net DEX-5.2M-11.3M-357.8K-6.6M-1.5M
Net VEX-14.8K-20.3K-9.6K-19.8K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.741.332.601.401.46
Total Volume707.364526884605633
Total OI1,702.9558432,2771,9791,095

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$129.01$120.0023.9%6.8%24.8%40.3%25.0%-5.8%0.7%668.8K-6.6M-19.8K1.4098.382523531,249730
2016-03-02$129.13$120.0023.5%6.7%23.8%39.1%27.3%1.3%-0.8%704.8K-5.9M-20.2K1.3391.772883831,249737
2016-03-03$128.61$120.0022.7%6.3%24.0%36.7%23.8%4.9%3.4%768.7K-6.2M-19.9K1.3584.302883891,290753
2016-03-04$129.04$120.0022.5%6.4%24.0%36.1%24.4%4.6%3.1%756.3K-6.3M-20.3K1.3580.602893891,290764
2016-03-07$128.61$120.0025.5%6.6%20.3%45.4%24.8%4.7%2.8%783.0K-6.2M-18.4K1.4284.142743891,288764
2016-03-08$128.62$120.0025.1%6.6%20.0%44.2%24.9%4.9%2.7%798.0K-6.3M-18.2K1.3884.022833911,289765
2016-03-09$129.16$120.0022.8%6.5%20.0%37.1%25.1%5.0%2.7%845.0K-6.8M-17.4K1.3881.222833911,287771
2016-03-10$129.45$120.0022.9%6.6%19.5%37.2%24.7%4.4%2.9%929.1K-6.9M-16.4K2.1874.702735941,287771
2016-03-11$130.82$120.0022.4%6.4%19.4%35.7%24.4%5.4%2.6%812.6K-7.9M-17.2K2.2284.332685941,290983
2016-03-14$133.59$120.0021.5%6.2%20.0%32.8%19.5%4.6%2.8%679.3K-9.9M-14.8K2.0579.882905941,289983
2016-03-15$132.87$120.0021.2%6.1%20.3%31.9%24.5%4.0%3.4%788.3K-9.8M-13.0K2.3883.982566091,270983
2016-03-16$132.40$130.0022.3%6.4%18.3%35.4%21.1%6.1%3.2%684.8K-8.6M-13.9K2.6091.062386191,2491,006
2016-03-17$131.54$130.0022.3%6.4%17.3%35.3%24.4%4.3%2.4%1.0M-9.4M-12.2K2.5384.642456191,2501,026
2016-03-18$132.75$130.0019.7%5.6%17.3%27.1%22.7%1.4%4.5%13.4K-11.3M-11.2K2.4889.022466101,2511,026
2016-03-21$132.87$130.0019.8%5.7%17.3%27.5%21.5%5.4%4.6%15.8K-590.0K-10.5K1.4982.13213318297553
2016-03-22$132.81$130.0018.9%5.4%16.6%24.8%20.8%4.9%4.7%4.7K-485.4K-10.0K1.4989.52211315283560
2016-03-23$132.09$130.0020.3%5.8%15.0%29.1%22.1%3.4%5.0%4.5K-414.2K-9.6K1.7689.02212373285561
2016-03-24$132.34$130.0019.9%5.7%13.8%28.0%21.0%3.9%4.8%-8.8K-357.8K-11.6K1.5287.60245373308614
2016-03-28$133.11$130.0018.5%5.3%12.0%23.5%19.9%2.7%5.6%35.4K-687.8K-12.5K1.5290.07245373362614
2016-03-29$134.46$130.0018.1%5.2%10.9%22.2%21.9%3.0%6.0%56.2K-1.1M-11.9K1.4782.21275404362614
2016-03-30$135.08$130.0017.5%5.0%10.7%20.3%22.6%3.5%6.3%79.7K-1.4M-13.3K1.6384.41257418422645
2016-03-31$135.32$130.0017.2%4.9%10.7%19.3%17.0%3.0%6.1%86.4K-1.5M-13.8K1.4687.40257376422673