LII Options History — November 2016

In November 2016, LII traded between $142.12 and $154.11. ATM implied volatility averaged 22.4%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.2% (HV 20d: 20.1%). Max pain ranged from $145.00 to $155.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.87.

Notable Days

  • 2016-11-02: Highest Volume — 1,740 contracts
  • 2016-11-02: Largest IV spike — 14.2% change
  • 2016-11-07: Highest IV Rank — 52.6%
  • 2016-11-02: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$148.81$142.12$154.11$144.73$149.09
Max Pain$145.95$145.00$155.00$155.00$145.00
ATM IV22.4%18.8%29.0%23.1%21.1%
Expected Move6.2%5.4%7.6%6.6%6.1%
HV 20d20.1%17.2%22.3%19.0%20.6%
HV 60d17.5%15.6%18.8%15.6%18.8%
IV Rank29.8%17.4%52.6%32.3%25.6%
IV Percentile59.8%30.2%87.7%69.8%54.4%
Term Structure0.2%-2.1%2.3%-0.7%-0.1%
VWIV23.3%20.4%26.9%23.0%20.5%
Skew 25d3.9%1.8%7.9%4.6%1.8%
Skew 10d7.1%-1.3%13.5%6.2%-1.3%
Call IV 25d21.4%18.6%25.9%22.0%20.9%
Put IV 25d25.3%21.5%29.6%26.6%22.7%
Bid-Ask Spread %88.7278.0196.3689.5995.81
Gamma HHI0.360.190.660.250.23
Net GEX-659.8K-1.9M45.1K-286.2K-189.0K
Net DEX6.4M1.9M15.9M7.6M4.7M
Net VEX-47.5K-57.5K-40.7K-44.9K-40.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.766.500.762.29
Total Volume649.5244091,740409573
Total OI3,068.192,0543,9552,1822,101

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$144.73$155.0023.1%6.6%19.0%32.3%23.0%4.6%-0.7%-286.2K7.6M-44.9K0.7689.592321778751,307
2016-11-02$142.12$155.0026.4%7.6%19.4%43.6%26.9%3.7%-2.1%-309.2K8.8M-41.7K6.5095.522321,5088751,305
2016-11-03$142.38$145.0027.9%7.2%17.2%48.9%25.4%3.5%-2.0%-1.7M15.9M-57.0K1.0784.372402568752,743
2016-11-04$144.84$145.0025.6%6.7%19.1%40.9%26.8%3.8%0.2%-1.4M12.1M-57.5K1.0381.442342428872,744
2016-11-07$144.67$145.0029.0%6.6%18.4%52.6%25.5%3.7%-0.2%-1.4M13.3M-53.9K0.9285.762382198892,750
2016-11-08$147.42$145.0025.5%6.6%19.5%40.5%25.8%7.9%0.2%-1.5M7.2M-48.2K0.9288.772382198892,762
2016-11-09$146.23$145.0021.9%6.3%19.5%28.2%26.7%3.8%1.9%-1.1M7.4M-48.5K0.8691.242652298892,762
2016-11-10$144.28$145.0023.0%6.6%19.7%31.9%25.1%5.4%0.7%-1.8M13.2M-50.7K1.5178.012944458932,773
2016-11-11$147.06$145.0023.2%6.6%21.4%32.5%24.8%4.9%0.9%-1.9M7.7M-50.0K1.4883.773004459332,995
2016-11-14$148.68$145.0020.6%5.9%21.6%23.9%20.8%5.2%2.2%-1.3M7.9M-52.3K1.4885.173004459402,995
2016-11-15$151.29$145.0021.0%6.0%21.3%25.1%21.1%5.1%2.1%-108.2K3.9M-47.5K1.4388.923124459402,995
2016-11-16$150.57$145.0021.4%6.1%20.8%26.7%24.5%2.7%1.3%-443.8K4.4M-48.1K1.4288.833124429462,996
2016-11-17$154.11$145.0019.6%5.6%22.1%20.2%21.3%4.0%2.3%45.1K1.9M-47.0K1.5287.563004559463,006
2016-11-18$152.65$145.0020.6%5.9%22.3%23.8%22.9%2.4%1.6%-68.2K2.1M-47.2K1.5186.262984499453,010
2016-11-21$153.15$145.0019.5%5.6%22.3%20.0%20.4%3.8%-0.7%-75.1K2.4M-44.9K2.5787.551523907231,331
2016-11-22$153.55$145.0019.0%5.4%19.3%18.2%20.7%3.7%0.3%-62.6K2.3M-45.0K2.5786.901523907251,349
2016-11-23$152.95$145.0018.8%5.4%19.4%17.4%20.8%2.9%-0.2%-66.5K2.5M-44.6K2.4892.391573907251,349
2016-11-25$153.49$145.0020.3%5.8%19.2%22.6%22.0%3.5%-1.2%-55.5K2.2M-43.9K2.4696.361583897321,349
2016-11-28$150.72$145.0021.3%6.1%20.3%26.0%23.0%2.8%-1.3%-123.6K3.4M-42.3K2.3294.461683897331,349
2016-11-29$151.12$145.0021.2%6.1%20.2%25.7%21.9%3.7%-0.9%-106.7K3.5M-41.9K2.2694.381723897511,350
2016-11-30$149.09$145.0021.1%6.1%20.6%25.6%20.5%1.8%-0.1%-189.0K4.7M-40.7K2.2995.811743997511,350