LII Options History — April 2016

In April 2016, LII traded between $134.90 and $141.87. ATM implied volatility averaged 20.8%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 8.2% (HV 20d: 12.5%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.76.

Notable Days

  • 2016-04-15: Highest Volume — 2,141 contracts
  • 2016-04-18: Largest IV drop — 31.2% change
  • 2016-04-15: Highest IV Rank — 55.1%
  • 2016-04-15: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.15$134.90$141.87$137.23$134.90
Max Pain$134.76$130.00$135.00$130.00$135.00
ATM IV20.8%17.2%28.6%17.2%20.5%
Expected Move6.5%4.9%8.2%4.9%5.9%
HV 20d12.5%9.1%16.2%11.2%15.3%
HV 60d20.7%17.6%23.7%23.7%17.7%
IV Rank30.6%19.4%55.1%19.4%29.8%
IV Percentile46.0%15.9%86.5%15.9%51.6%
Term Structure-1.2%-4.4%6.5%6.5%-0.8%
VWIV24.6%16.3%29.7%16.3%25.1%
Skew 25d3.9%2.6%5.2%2.7%2.9%
Skew 10d8.6%3.5%11.4%3.5%9.0%
Call IV 25d21.3%15.2%25.8%15.2%19.8%
Put IV 25d25.2%17.9%30.9%17.9%22.7%
Bid-Ask Spread %62.7747.8687.8587.8577.59
Gamma HHI0.390.180.890.290.25
Net GEX632.4K54.3K3.0M95.0K110.6K
Net DEX-3.8M-15.0M-158.5K-1.9M-158.5K
Net VEX-28.3K-36.2K-12.9K-12.9K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.493.441.682.23
Total Volume1,235.2386362,141636888
Total OI2,075.0481,1002,7711,1002,377

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$137.23$130.0017.2%4.9%11.2%19.4%16.3%2.7%6.5%95.0K-1.9M-12.9K1.6887.85237399424676
2016-04-04$136.95$135.0019.5%7.0%11.3%26.5%24.9%4.1%-1.6%71.3K-1.6M-14.3K1.8457.29228419424710
2016-04-05$137.16$135.0021.2%7.6%11.1%32.0%28.2%4.5%-2.2%54.3K-1.6M-13.9K1.6752.21392654425724
2016-04-06$138.22$135.0018.7%7.2%11.2%24.0%28.0%4.7%-1.9%63.4K-1.8M-25.7K1.6749.53392656609935
2016-04-07$138.28$135.0020.0%7.6%11.2%28.0%26.7%4.8%-2.6%63.2K-1.9M-25.5K0.4951.251,352665609936
2016-04-08$139.49$135.0018.9%7.5%11.3%24.8%27.8%4.7%-2.3%2.2M-9.4M-36.2K0.5248.291,2306451,732972
2016-04-11$139.39$135.0021.9%7.7%11.2%34.0%29.3%5.0%-2.5%2.6M-8.9M-33.4K0.5647.861,2236861,732988
2016-04-12$140.25$135.0021.8%7.7%9.1%33.9%29.7%5.2%-2.8%3.0M-10.7M-32.7K0.5650.311,2026791,7341,031
2016-04-13$141.87$135.0027.6%7.9%9.1%52.0%28.6%4.9%-3.2%2.6M-15.0M-30.7K0.5748.111,1946771,7371,034
2016-04-14$140.64$135.0027.9%8.0%9.8%53.1%29.1%5.1%-3.9%391.6K-4.6M-28.0K0.5750.541,1966788501,033
2016-04-15$140.85$135.0028.6%8.2%9.1%55.1%28.8%5.2%-4.4%140.0K-4.8M-28.6K0.5450.351,3907518501,043
2016-04-18$137.38$135.0019.7%5.6%13.4%27.1%19.8%2.7%-0.6%214.8K-2.2M-30.3K1.8561.023346181,0111,018
2016-04-19$139.33$135.0018.3%5.2%14.0%22.6%21.3%3.6%-0.0%271.6K-3.3M-32.6K3.1874.402066561,0671,032
2016-04-20$137.63$135.0017.7%5.1%15.0%20.8%20.8%3.4%0.4%246.9K-2.1M-31.0K3.4474.911906531,0851,098
2016-04-21$137.02$135.0019.5%5.6%14.9%26.6%21.0%3.1%-0.6%201.5K-1.7M-31.1K2.9677.662256671,0861,112
2016-04-22$137.56$135.0018.2%5.2%14.9%22.5%20.5%2.7%-0.2%211.3K-2.0M-32.1K2.2565.072966671,1191,147
2016-04-25$136.98$135.0019.7%5.7%15.0%27.3%22.6%2.6%-0.9%183.1K-1.6M-31.2K2.7276.472456671,1311,147
2016-04-26$137.45$135.0019.8%5.7%14.7%27.4%22.8%3.1%-0.6%209.8K-1.8M-31.5K2.3770.672836701,1371,147
2016-04-27$137.50$135.0020.1%5.8%14.6%28.6%22.2%3.0%-1.3%231.4K-2.1M-31.2K2.7476.402296271,1611,154
2016-04-28$134.97$135.0019.4%5.6%16.2%26.2%22.4%2.9%-0.3%100.4K-248.1K-30.5K2.5470.452476271,1631,176
2016-04-29$134.90$135.0020.5%5.9%15.3%29.8%25.1%2.9%-0.8%110.6K-158.5K-31.3K2.2377.592756131,2011,176