LII Options History — December 2016

In December 2016, LII traded between $147.52 and $160.64. ATM implied volatility averaged 21.7%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.5% (HV 20d: 20.1%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.96.

Notable Days

  • 2016-12-07: Highest Volume — 1,042 contracts
  • 2016-12-14: Largest IV drop — 37.2% change
  • 2016-12-13: Highest IV Rank — 63.2%
  • 2016-12-08: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$155.45$147.52$160.64$147.52$152.98
Max Pain$148.81$145.00$150.00$145.00$150.00
ATM IV21.7%17.5%32.1%20.7%18.8%
Expected Move5.6%5.0%6.1%5.9%5.4%
HV 20d20.1%19.0%21.3%19.8%21.1%
HV 60d19.3%17.5%20.6%18.9%20.6%
IV Rank27.4%13.3%63.2%24.1%17.6%
IV Percentile49.9%19.8%92.9%50.4%32.9%
Term Structure3.0%-1.2%6.1%-0.4%6.1%
VWIV22.2%19.9%24.0%20.9%22.9%
Skew 25d2.5%-0.8%5.0%2.4%2.4%
Skew 10d3.3%-0.6%9.8%0.4%-0.6%
Call IV 25d19.1%17.0%21.6%21.3%18.9%
Put IV 25d21.6%19.6%24.0%23.7%21.3%
Bid-Ask Spread %89.8381.4695.4095.2094.83
Gamma HHI0.250.200.380.240.27
Net GEX-66.8K-373.0K569.9K-238.8K-373.0K
Net DEX1.7M-6.4M5.5M5.5M4.6M
Net VEX-37.9K-44.6K-34.3K-39.8K-34.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.961.055.342.445.34
Total Volume626.9524311,042588431
Total OI2,0281,4692,6452,1111,522

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$147.52$145.0020.7%5.9%19.8%24.1%20.9%2.4%-0.4%-238.8K5.5M-39.8K2.4495.201714177511,360
2016-12-02$148.50$145.0021.1%6.1%19.8%25.5%23.1%2.8%-1.2%-209.5K5.2M-40.4K2.6495.401604227521,367
2016-12-05$149.29$145.0023.5%5.8%19.1%33.6%21.9%3.6%2.1%-172.0K4.5M-39.0K2.6482.941604227531,378
2016-12-06$153.21$145.0024.1%5.7%20.9%35.6%23.1%5.0%3.2%-12.4K2.3M-40.6K1.9787.172905707531,378
2016-12-07$156.28$145.0026.1%5.7%21.0%42.6%24.0%3.5%3.4%14.0K232.7K-40.7K1.0581.465085347871,465
2016-12-08$157.12$150.0026.8%6.1%20.6%45.1%23.1%3.4%1.7%325.9K-1.5M-44.6K1.9185.212635021,0601,569
2016-12-09$157.29$150.0025.9%5.6%19.7%41.9%22.3%2.8%1.4%356.3K-1.8M-44.2K1.9194.622635021,0601,574
2016-12-12$156.26$150.0029.6%5.8%19.2%54.5%23.2%2.8%1.3%390.2K-1.3M-41.0K1.8989.862655021,0601,574
2016-12-13$157.40$150.0032.1%6.0%19.0%63.2%23.1%3.2%1.1%496.4K-2.4M-40.1K1.6889.002654461,0671,574
2016-12-14$160.64$150.0020.2%5.8%19.4%22.3%22.9%-0.5%1.9%569.9K-6.4M-36.5K2.6888.571955221,0671,578
2016-12-15$157.05$150.0019.1%5.5%21.3%18.8%22.0%2.3%2.4%334.7K-2.0M-36.7K2.2690.122315221,0401,535
2016-12-16$157.41$150.0019.6%5.6%19.8%20.2%21.3%2.2%3.4%-256.0K-3.2M-34.7K2.1389.422174631,0281,535
2016-12-19$156.70$150.0018.8%5.4%19.5%17.4%21.3%1.4%4.6%-330.1K3.9M-35.2K4.0790.581014112861,183
2016-12-20$157.24$150.0018.5%5.3%19.5%16.7%19.9%2.8%3.9%-312.8K3.9M-36.1K4.1786.341014212861,185
2016-12-21$159.02$150.0017.5%5.0%19.8%13.3%21.3%3.1%4.3%-315.2K3.3M-35.1K3.4889.401214212861,195
2016-12-22$156.29$150.0018.2%5.2%20.8%15.4%21.4%1.8%4.5%-335.4K3.6M-34.9K3.1290.841213783081,195
2016-12-23$156.21$150.0018.3%5.3%20.8%16.0%21.6%2.3%5.1%-334.4K4.1M-36.6K3.1291.021213783081,209
2016-12-27$157.82$150.0018.5%5.3%19.8%16.6%21.5%-0.8%4.8%-324.8K3.6M-34.3K2.9692.401233643081,209
2016-12-28$154.71$150.0018.8%5.4%21.3%17.7%23.1%3.3%5.6%-340.8K4.2M-34.7K5.3489.49683633101,211
2016-12-29$155.45$150.0018.7%5.3%20.6%17.1%21.4%2.4%4.5%-335.4K4.4M-35.4K5.3492.59683633111,211
2016-12-30$152.98$150.0018.8%5.4%21.1%17.6%22.9%2.4%6.1%-373.0K4.6M-34.8K5.3494.83683633111,211