LII Options History — September 2016

In September 2016, LII traded between $155.27 and $163.07. ATM implied volatility averaged 22.3%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 7.7% (HV 20d: 14.5%). Max pain ranged from $150.00 to $170.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 4.17.

Notable Days

  • 2016-09-13: Highest Volume — 1,509 contracts
  • 2016-09-09: Largest IV spike — 24.9% change
  • 2016-09-29: Highest IV Rank — 47.5%
  • 2016-09-29: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$158.10$155.27$163.07$162.65$157.60
Max Pain$157.38$150.00$170.00$150.00$155.00
ATM IV22.3%13.7%27.5%15.2%25.5%
Expected Move6.7%3.9%7.9%4.3%7.3%
HV 20d14.5%9.0%16.8%9.5%16.1%
HV 60d16.0%14.0%17.6%17.0%14.0%
IV Rank29.5%0.0%47.5%4.8%40.7%
IV Percentile59.6%0.0%86.1%4.8%82.5%
Term Structure-2.1%-4.6%6.6%4.9%-3.9%
VWIV23.7%13.7%29.2%15.8%27.7%
Skew 25d3.3%-2.4%5.8%2.4%4.9%
Skew 10d7.8%2.6%20.8%6.4%8.9%
Call IV 25d23.2%13.7%32.5%14.9%25.1%
Put IV 25d26.6%15.6%31.6%17.3%30.0%
Bid-Ask Spread %82.1762.7189.8688.8186.21
Gamma HHI0.500.270.790.620.50
Net GEX73.2K-1.1M1.5M1.0M-272.9K
Net DEX-3.0M-14.2M2.1M-12.1M1.7M
Net VEX-44.9K-50.6K-31.4K-31.4K-48.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.171.167.841.314.11
Total Volume1,078.6197701,5091,081991
Total OI2,398.7141,4833,4782,5731,718

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$162.65$150.0015.2%4.3%9.5%4.8%15.8%2.4%4.9%1.0M-12.1M-31.4K1.3188.814676141,4011,172
2016-09-02$163.07$150.0013.7%3.9%9.0%0.0%13.7%1.9%6.6%1.5M-14.2M-32.2K1.1689.864715471,6181,172
2016-09-06$162.13$170.0017.0%6.2%9.3%11.5%22.0%3.4%-2.0%1.4M-11.7M-35.0K1.2062.714715651,6001,281
2016-09-07$161.58$170.0016.2%6.1%9.0%8.5%21.6%3.5%-1.6%1.2M-11.2M-33.2K1.2064.484715631,6001,278
2016-09-08$161.86$170.0016.0%6.2%9.0%8.0%21.8%3.5%-2.1%1.4M-11.5M-32.7K3.3766.332939881,6011,286
2016-09-09$156.00$170.0020.0%6.9%16.0%21.7%25.0%4.3%-1.7%71.4K-3.2M-49.0K4.4069.692781,2221,5561,724
2016-09-12$156.81$155.0021.0%6.9%16.1%25.1%25.5%4.7%-2.6%-291.8K-2.7M-50.6K4.4679.592761,2321,5621,888
2016-09-13$155.27$155.0021.1%7.0%16.3%25.3%25.6%3.8%-3.2%-404.7K-2.1M-50.6K4.4581.262771,2321,5701,898
2016-09-14$155.80$155.0025.1%7.2%15.9%39.0%25.8%5.3%-4.6%-557.3K-2.4M-49.8K4.4582.392771,2321,5801,898
2016-09-15$156.50$155.0025.0%7.2%16.0%39.0%26.5%5.5%-3.7%-624.7K-3.0M-49.2K4.3885.172771,2141,5801,898
2016-09-16$155.75$155.0023.4%6.7%15.9%33.4%25.7%4.3%-2.2%-1.1M-3.0M-48.5K7.8480.521551,2151,5801,898
2016-09-19$156.46$155.0024.5%7.0%16.0%37.2%21.7%5.4%-1.8%-187.6K2.0M-48.4K5.3184.64122648506977
2016-09-20$156.24$155.0025.5%7.3%15.8%40.6%21.6%3.7%-2.9%-221.6K2.1M-48.5K5.3987.291226585111,001
2016-09-21$157.83$155.0023.6%6.8%16.3%34.0%24.7%1.2%-2.3%-208.2K1.5M-48.4K5.0488.431336705121,011
2016-09-22$158.88$155.0023.2%6.7%16.4%32.7%23.1%4.5%-2.2%-189.5K745.3K-47.6K5.0886.531316665231,024
2016-09-23$157.15$155.0025.0%7.2%16.8%39.0%23.5%2.3%-2.5%-231.1K1.4M-48.2K5.0189.601356775231,042
2016-09-26$157.10$155.0026.7%7.6%16.8%44.5%25.6%2.1%-3.6%-210.8K1.5M-48.1K4.6687.171456755321,042
2016-09-27$157.73$155.0025.8%7.4%16.7%41.5%25.4%5.8%-4.6%-180.8K1.3M-48.4K4.6387.611456715431,053
2016-09-28$157.34$155.0026.9%7.7%16.2%45.3%25.7%-2.4%-4.0%-205.1K1.3M-48.0K4.5688.401476715431,063
2016-09-29$156.33$155.0027.5%7.9%16.2%47.5%29.2%0.3%-3.8%-212.7K1.6M-47.6K5.5388.791397685451,063
2016-09-30$157.60$155.0025.5%7.3%16.1%40.7%27.7%4.9%-3.9%-272.9K1.7M-48.2K4.1186.211947975451,173