LII Options History — August 2016

In August 2016, LII traded between $155.29 and $162.04. ATM implied volatility averaged 15.4%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.6% (HV 20d: 12.7%). Max pain ranged from $140.00 to $150.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.99.

Notable Days

  • 2016-08-12: Highest Volume — 951 contracts
  • 2016-08-05: Largest IV drop — 11.5% change
  • 2016-08-02: Highest IV Rank — 13.0%
  • 2016-08-02: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$158.14$155.29$162.04$156.39$161.14
Max Pain$142.61$140.00$150.00$150.00$150.00
ATM IV15.4%14.1%17.5%17.1%15.2%
Expected Move4.4%4.0%5.0%4.9%4.4%
HV 20d12.7%8.8%16.6%16.2%9.2%
HV 60d17.5%17.0%18.4%18.4%17.1%
IV Rank5.5%1.2%13.0%11.5%5.0%
IV Percentile2.8%0.4%9.5%5.2%4.8%
Term Structure3.9%-0.6%6.8%0.1%5.5%
VWIV17.1%14.6%21.0%17.0%16.1%
Skew 25d2.5%2.2%3.0%2.7%2.3%
Skew 10d6.4%4.3%10.7%5.6%4.3%
Call IV 25d14.6%13.2%16.1%16.1%14.1%
Put IV 25d17.1%16.1%18.9%18.9%16.4%
Bid-Ask Spread %82.6770.4390.3681.0290.10
Gamma HHI0.250.180.540.250.54
Net GEX168.3K-201.7K815.1K-125.1K815.1K
Net DEX-8.4M-10.9M-5.9M-6.8M-10.9M
Net VEX-28.5K-35.8K-23.2K-34.8K-30.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.584.002.032.62
Total Volume770.8719951883911
Total OI2,541.9131,9852,9142,6742,569

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$156.39$150.0017.1%4.9%16.2%11.5%17.0%2.7%0.1%-125.1K-6.8M-34.8K2.0381.022915921,0501,624
2016-08-02$155.29$150.0017.5%5.0%16.6%13.0%18.0%2.7%-0.6%-201.7K-5.9M-35.8K1.9485.812885591,0581,635
2016-08-03$155.46$150.0016.5%4.7%15.5%9.5%16.4%2.7%-0.1%-181.8K-5.9M-34.6K1.8389.522975431,0711,640
2016-08-04$156.46$140.0016.5%4.7%14.7%9.3%21.0%2.5%3.4%-129.9K-7.0M-33.8K1.8270.433015471,0701,647
2016-08-05$157.98$140.0014.6%4.4%13.2%2.8%19.9%2.4%3.8%-68.8K-8.3M-32.0K1.9174.392925571,0701,649
2016-08-08$158.77$140.0015.3%4.4%13.1%5.2%19.4%2.9%4.0%-71.3K-8.8M-29.5K1.6374.913415571,0691,662
2016-08-09$157.75$140.0015.1%4.5%13.6%4.6%20.4%2.7%3.9%-3.2K-8.6M-29.4K1.6473.883415601,0861,649
2016-08-10$158.30$140.0015.0%4.3%13.5%4.4%19.3%2.6%3.7%-155.6K-8.1M-29.1K1.6376.943445591,0891,675
2016-08-11$159.37$140.0015.0%4.3%12.8%4.2%17.4%2.5%3.7%142.4K-10.2M-26.2K1.6670.633575931,1001,675
2016-08-12$158.77$140.0014.6%4.2%13.0%2.8%15.7%2.7%4.2%175.2K-9.9M-26.0K1.6680.963585931,1091,690
2016-08-15$157.75$140.0015.4%4.4%13.2%5.5%16.5%2.7%3.7%226.4K-9.1M-25.1K1.8780.603175931,1111,690
2016-08-16$156.11$140.0015.6%4.5%13.8%6.2%15.7%2.2%3.9%317.1K-8.1M-24.5K1.7581.173145491,1111,690
2016-08-17$156.31$140.0016.1%4.6%13.8%8.1%16.7%2.2%3.5%309.0K-8.3M-23.8K0.5884.761271,1111,685
2016-08-18$157.43$140.0015.8%4.5%13.6%7.1%14.6%2.7%3.6%286.4K-8.8M-23.2K4.0085.23251001,1101,689
2016-08-19$157.25$140.0015.7%4.5%13.4%6.5%15.8%2.5%3.8%305.3K-8.3M-27.9K2.0785.382855911,1111,803
2016-08-22$158.15$140.0014.5%4.1%13.5%2.4%16.4%2.6%5.2%304.9K-7.8M-27.0K2.1384.892505339551,036
2016-08-23$158.54$140.0014.1%4.0%12.2%1.2%15.8%2.4%6.8%321.3K-8.2M-26.5K2.1388.742505339651,034
2016-08-24$158.76$140.0014.4%4.1%11.3%2.3%0.0%2.2%5.7%327.5K-8.3M-25.3K0.0088.670389651,020
2016-08-25$159.35$140.0014.4%4.1%10.2%2.3%15.2%2.4%5.4%294.7K-8.3M-26.3K1.5987.513605719651,072
2016-08-26$159.43$140.0014.5%4.2%8.8%2.7%16.3%2.3%5.9%353.2K-8.9M-28.0K2.4786.892486131,0301,072
2016-08-29$160.38$150.0015.4%4.4%8.8%5.6%17.0%2.4%5.4%292.8K-9.3M-28.0K2.4188.532546131,0361,133
2016-08-30$162.04$150.0015.1%4.3%8.8%4.4%16.0%3.0%5.8%337.6K-10.1M-27.7K2.5290.362546391,0501,133
2016-08-31$161.14$150.0015.2%4.4%9.2%5.0%16.1%2.3%5.5%815.1K-10.9M-30.5K2.6290.102526591,3991,170