LII Options History — May 2016

In May 2016, LII traded between $133.13 and $138.58. ATM implied volatility averaged 19.1%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.0% (HV 20d: 16.1%). Max pain ranged from $135.00 to $135.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 4.80.

Notable Days

  • 2016-05-12: Highest Volume — 2,055 contracts
  • 2016-05-09: Largest IV spike — 14.2% change
  • 2016-05-09: Highest IV Rank — 33.7%
  • 2016-05-04: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$136.05$133.13$138.58$135.65$137.49
Max Pain$135.00$135.00$135.00$135.00$135.00
ATM IV19.1%17.3%21.8%20.3%19.0%
Expected Move5.4%5.0%5.9%5.8%5.5%
HV 20d16.1%13.8%17.5%15.4%16.1%
HV 60d15.5%14.3%17.7%17.7%14.4%
IV Rank20.4%11.3%33.7%29.0%17.1%
IV Percentile31.4%9.9%59.5%48.8%28.6%
Term Structure1.0%-0.9%2.8%-0.6%-0.9%
VWIV20.8%18.6%24.4%24.2%20.8%
Skew 25d3.3%2.6%3.9%3.2%3.9%
Skew 10d8.6%6.6%11.3%7.9%8.4%
Call IV 25d18.1%16.2%20.4%19.3%16.7%
Put IV 25d21.5%19.1%23.1%22.5%20.6%
Bid-Ask Spread %76.3561.8586.3180.1785.89
Gamma HHI0.370.260.510.290.45
Net GEX-219.9K-570.0K302.1K184.2K-516.7K
Net DEX4.1M-1.8M9.3M-902.9K4.9M
Net VEX-50.2K-61.7K-29.5K-30.7K-52.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.801.749.542.173.76
Total Volume1,517.4767432,055895771
Total OI3,040.7142,4183,5232,4182,879

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$135.65$135.0020.3%5.8%15.4%29.0%24.2%3.2%-0.6%184.2K-902.9K-30.7K2.1780.172826131,2421,176
2016-05-03$134.07$135.0020.6%5.9%15.9%29.9%24.4%2.6%-0.8%112.4K-2.1K-29.5K1.7480.713516091,2621,176
2016-05-04$135.08$135.0020.6%5.9%15.9%30.0%24.1%3.0%-0.6%172.1K-571.6K-30.4K1.9379.263156091,2611,177
2016-05-05$135.24$135.0020.5%5.7%15.9%29.9%20.5%3.3%1.8%181.7K-645.5K-30.0K1.8467.813105701,2661,177
2016-05-06$136.76$135.0019.1%5.4%16.1%25.2%19.1%3.4%2.0%302.1K-1.8M-29.5K5.1774.223101,6041,2641,177
2016-05-09$137.16$135.0021.8%5.6%16.2%33.7%19.7%3.0%1.3%-131.0K4.0M-61.7K4.2071.213851,6181,2642,218
2016-05-10$138.58$135.0018.8%5.2%16.5%18.2%19.6%3.0%2.1%-4682.4M-61.6K4.8763.153391,6501,2832,240
2016-05-11$136.49$135.0019.8%5.7%16.6%21.5%20.9%3.4%1.3%-206.1K5.2M-60.7K5.1470.643251,6711,2562,219
2016-05-12$138.24$135.0018.4%5.3%17.2%16.6%20.5%3.2%2.2%-86.4K3.1M-60.1K4.4561.853771,6781,2312,249
2016-05-13$137.58$135.0018.7%5.4%17.2%17.7%21.0%3.7%1.8%-154.3K4.2M-59.5K5.6973.842941,6731,2142,256
2016-05-16$137.52$135.0018.6%5.3%14.8%17.2%21.1%3.9%1.9%-120.8K4.3M-57.5K5.5875.203001,6731,2132,251
2016-05-17$137.66$135.0018.9%5.4%13.8%18.4%20.6%3.4%1.6%-105.8K4.2M-57.0K5.5877.993001,6731,2112,252
2016-05-18$134.25$135.0019.9%5.7%15.8%21.9%21.9%3.7%1.4%-435.4K8.1M-55.6K6.7373.552481,6681,2082,281
2016-05-19$133.31$135.0019.7%5.6%15.9%21.1%22.4%3.9%1.5%-513.7K9.1M-54.4K6.9274.652411,6681,2082,297
2016-05-20$133.53$135.0017.9%5.1%15.9%15.1%20.5%3.7%2.8%-537.4K9.3M-53.6K6.3778.782651,6881,2132,297
2016-05-23$133.13$135.0018.0%5.2%15.8%15.4%19.1%3.0%0.3%-558.2K8.1M-52.8K9.2978.381671,5527531,937
2016-05-24$135.69$135.0017.9%5.1%17.4%13.3%20.0%3.1%0.2%-537.3K6.3M-54.5K9.5480.751681,6037741,974
2016-05-25$136.31$135.0017.9%5.1%17.5%13.4%19.8%3.4%0.4%-570.0K6.0M-54.7K3.3783.051705737792,036
2016-05-26$136.50$135.0017.3%5.0%16.1%11.3%18.6%3.4%0.6%-562.5K5.7M-54.5K2.9385.931995837912,036
2016-05-27$136.74$135.0017.4%5.0%16.1%11.6%18.9%2.7%0.4%-533.6K5.5M-54.1K3.5086.311726028112,046
2016-05-31$137.49$135.0019.0%5.5%16.1%17.1%20.8%3.9%-0.9%-516.7K4.9M-52.7K3.7685.891626098142,065