LII Options History — June 2016

In June 2016, LII traded between $134.77 and $142.50. ATM implied volatility averaged 17.9%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.7% (HV 20d: 17.2%). Max pain ranged from $120.00 to $135.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.47.

Notable Days

  • 2016-06-08: Highest Volume — 1,841 contracts
  • 2016-06-27: Largest IV spike — 15.5% change
  • 2016-06-27: Highest IV Rank — 26.4%
  • 2016-06-27: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.20$134.77$142.50$137.79$142.50
Max Pain$131.59$120.00$135.00$135.00$135.00
ATM IV17.9%15.8%22.9%17.0%18.1%
Expected Move5.1%4.5%6.6%4.9%5.2%
HV 20d17.2%14.1%23.2%15.4%23.2%
HV 60d15.5%13.9%18.3%14.3%18.3%
IV Rank9.1%1.1%26.4%10.0%8.5%
IV Percentile17.0%0.8%67.9%6.7%14.3%
Term Structure3.3%0.0%5.1%0.0%4.8%
VWIV19.7%17.2%25.2%20.6%18.3%
Skew 25d2.9%-5.2%5.7%3.1%2.6%
Skew 10d6.6%-5.6%14.4%8.7%8.6%
Call IV 25d17.9%14.8%30.4%16.7%16.7%
Put IV 25d20.8%17.8%25.3%19.9%19.3%
Bid-Ask Spread %89.9073.9899.3087.2499.30
Gamma HHI0.330.190.900.450.21
Net GEX-366.3K-4.2M89.0K-512.8K89.0K
Net DEX929.0K-2.6M4.6M4.6M-1.7M
Net VEX-32.4K-52.4K-22.1K-52.4K-25.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.471.576.163.752.15
Total Volume827.9096951,841769721
Total OI2,107.9551,3902,9632,8861,602

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$137.79$135.0017.0%4.9%15.4%10.0%20.6%3.1%0.0%-512.8K4.6M-52.4K3.7587.241626078142,072
2016-06-02$137.93$120.0016.4%4.7%15.2%8.1%17.8%3.3%3.0%-506.0K4.4M-51.8K3.6173.981686078142,070
2016-06-03$137.89$120.0016.0%4.7%15.2%6.8%17.7%3.0%3.0%-509.9K4.4M-51.1K3.6874.791686188202,070
2016-06-06$138.18$120.0016.7%4.8%14.8%9.0%19.6%3.8%2.8%-496.2K4.0M-49.0K3.3277.181685588202,056
2016-06-07$139.10$120.0015.8%4.7%14.9%3.0%18.6%3.3%3.1%-461.5K3.2M-48.3K2.6079.472376178202,056
2016-06-08$141.10$120.0015.8%4.5%15.3%2.1%18.0%3.0%3.2%-367.0K1.1M-49.0K6.1679.642571,5848902,073
2016-06-09$140.87$135.0016.1%4.6%14.1%1.1%17.4%3.0%3.0%48.3K-2.6M-26.3K2.2081.352635788951,240
2016-06-10$137.96$135.0017.3%5.0%15.6%5.5%18.8%1.9%3.5%-56.5K-1.0M-26.9K2.1387.572635608981,250
2016-06-13$134.77$135.0018.8%5.4%17.6%11.0%18.3%3.1%2.9%-229.1K1.0M-25.8K2.1091.312635518981,250
2016-06-14$135.53$135.0019.1%5.5%17.7%12.1%22.4%5.7%1.6%-244.8K1.3M-25.0K2.1292.142635588981,251
2016-06-15$135.23$135.0018.3%5.3%17.7%9.3%17.7%3.0%2.6%-258.4K1.0M-23.9K2.2395.272615818941,247
2016-06-16$135.00$135.0018.6%5.3%15.3%10.4%22.7%3.6%2.1%-404.7K1.7M-23.0K2.2393.362615818941,242
2016-06-17$134.93$135.0017.9%5.1%15.0%7.9%20.1%2.7%2.7%-4.2M2.0M-22.1K1.7891.562905158941,242
2016-06-20$138.67$135.0016.9%4.8%17.8%3.9%17.2%4.3%4.9%12.1K-81.8K-23.6K1.5797.96270425609781
2016-06-21$138.82$135.0017.0%4.9%17.7%4.3%18.9%4.1%5.1%50.5K-517.7K-26.2K1.7298.86262450687791
2016-06-22$138.67$135.0017.3%5.0%16.6%5.7%19.7%4.2%4.6%36.6K-495.1K-26.6K1.8497.95272500687816
2016-06-23$141.81$135.0017.3%5.0%18.2%5.7%19.5%4.6%4.6%40.3K-1.1M-27.4K1.8996.58267504699891
2016-06-24$140.08$135.0019.9%5.7%18.9%15.0%21.9%1.4%3.7%605-614.7K-27.3K1.8798.16267500699891
2016-06-27$137.20$135.0022.9%6.6%20.4%26.4%25.2%-5.2%4.6%-61.3K297.6K-28.0K1.9496.48256496699915
2016-06-28$138.13$135.0021.7%6.2%20.5%21.9%22.0%2.7%2.6%-35.8K-45.0K-27.2K1.7292.75267458706919
2016-06-29$138.14$135.0019.0%5.4%20.5%11.7%21.5%3.2%5.0%-18.7K-380.7K-26.9K1.8494.86268492703912
2016-06-30$142.50$135.0018.1%5.2%23.2%8.5%18.3%2.6%4.8%89.0K-1.7M-25.8K2.1599.30229492708894