LII Options History — October 2016

In October 2016, LII traded between $144.75 and $163.08. ATM implied volatility averaged 24.4%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 8.2% (HV 20d: 16.2%). Max pain ranged from $145.00 to $160.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.66.

Notable Days

  • 2016-10-14: Highest Volume — 1,864 contracts
  • 2016-10-12: Largest IV drop — 32.8% change
  • 2016-10-11: Highest IV Rank — 69.8%
  • 2016-10-05: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$154.02$144.75$163.08$158.42$146.12
Max Pain$155.24$145.00$160.00$155.00$155.00
ATM IV24.4%19.5%34.0%27.3%22.2%
Expected Move6.5%5.6%8.5%7.8%6.4%
HV 20d16.2%11.5%19.4%16.2%19.1%
HV 60d14.6%13.3%15.7%13.3%15.6%
IV Rank36.6%20.0%69.8%46.9%29.3%
IV Percentile69.2%42.1%95.6%85.7%65.1%
Term Structure-1.3%-6.8%1.1%-4.8%-0.7%
VWIV27.0%21.1%37.6%30.5%23.8%
Skew 25d3.6%1.9%5.9%4.7%4.0%
Skew 10d7.1%-3.6%15.9%-3.6%8.2%
Call IV 25d22.5%19.3%29.4%28.0%21.3%
Put IV 25d26.1%22.6%34.7%32.7%25.2%
Bid-Ask Spread %79.7168.5390.9588.0390.95
Gamma HHI0.350.240.840.420.24
Net GEX-509.9K-3.3M-26.5K-231.7K-255.9K
Net DEX5.2M-1.9M17.2M993.6K6.9M
Net VEX-47.6K-54.1K-43.7K-48.0K-46.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.660.865.174.060.90
Total Volume783.0484251,8641,001441
Total OI2,196.1431,6643,2501,7882,176

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$158.42$155.0027.3%7.8%16.2%46.9%30.5%4.7%-4.8%-231.7K993.6K-48.0K4.0688.031988035851,203
2016-10-04$158.99$155.0027.2%7.8%16.3%46.5%29.1%4.7%-4.9%-116.6K204.5K-46.3K3.8887.221987685971,067
2016-10-05$159.27$155.0029.5%8.5%16.3%54.3%31.5%5.3%-6.8%-134.0K-61.8K-46.4K3.8887.091987685971,095
2016-10-06$162.46$145.0029.4%6.5%17.8%53.8%37.6%5.9%-1.3%-89.0K-1.2M-45.3K4.1477.311676925971,087
2016-10-07$161.54$145.0031.4%6.5%11.5%60.7%34.7%4.3%-1.7%-90.1K-1.1M-45.0K4.2775.651626916091,103
2016-10-10$163.08$145.0033.5%6.4%11.8%68.0%30.8%3.0%-1.8%-26.5K-1.9M-43.7K4.0671.471757106301,103
2016-10-11$159.71$160.0034.0%6.6%13.8%69.8%29.2%3.2%-1.6%-93.4K-405.1K-44.8K4.1076.201787306741,122
2016-10-12$159.29$160.0022.9%6.6%13.8%31.5%31.8%3.0%-1.4%-110.9K-69.5K-45.2K4.7378.921778386751,152
2016-10-13$159.20$160.0023.4%6.7%13.8%33.5%31.6%3.4%-1.9%-164.5K528.1K-48.3K5.1772.471638426751,273
2016-10-14$157.65$160.0024.4%7.0%14.1%36.8%26.9%2.4%-1.9%-199.2K1.3M-47.8K4.0168.533721,4926891,292
2016-10-17$155.53$160.0020.9%6.0%14.9%25.0%22.8%1.9%0.7%-1.1M8.2M-54.1K2.1068.823086489801,968
2016-10-18$152.02$160.0021.0%6.0%16.9%25.1%25.3%2.1%-0.9%-1.2M12.8M-53.1K2.9081.552015829792,088
2016-10-19$149.96$160.0019.6%5.6%16.9%20.5%21.1%2.7%1.1%-1.2M15.9M-50.6K0.9869.062672629952,121
2016-10-20$148.87$155.0019.5%5.6%16.6%20.0%23.9%2.5%0.7%-1.0M17.2M-49.9K0.9184.522812571,0532,124
2016-10-21$150.01$155.0020.2%5.8%16.8%22.4%22.7%4.0%-0.1%-3.3M15.8M-50.0K0.8682.172832441,1452,105
2016-10-24$149.88$155.0019.8%5.7%16.8%20.9%22.8%4.6%-0.3%-247.0K5.1M-49.5K1.0084.522122137771,293
2016-10-25$145.62$155.0021.2%6.1%19.0%25.7%22.8%3.3%-0.2%-297.2K6.9M-46.0K0.9181.592332137871,269
2016-10-26$145.57$155.0020.9%6.0%19.1%24.9%22.2%3.0%-0.1%-295.2K7.2M-45.6K0.9483.452532388231,269
2016-10-27$144.75$155.0020.8%6.0%19.0%24.6%22.3%3.9%0.2%-289.9K7.7M-45.9K1.0080.072492508651,306
2016-10-28$146.45$155.0022.1%6.3%19.4%28.9%22.9%3.1%-0.5%-248.3K6.5M-47.4K1.0584.352382498671,304
2016-10-31$146.12$155.0022.2%6.4%19.1%29.3%23.8%4.0%-0.7%-255.9K6.9M-46.4K0.9090.952322098731,303