LII Options History — January 2017

In January 2017, LII traded between $148.57 and $157.95. ATM implied volatility averaged 24.7%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 6.1% (HV 20d: 18.6%). Max pain ranged from $150.00 to $155.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 5.81.

Notable Days

  • 2017-01-31: Highest Volume — 570 contracts
  • 2017-01-11: Largest IV spike — 22.8% change
  • 2017-01-31: Highest IV Rank — 56.1%
  • 2017-01-31: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$153.00$148.57$157.95$153.48$157.37
Max Pain$154.50$150.00$155.00$150.00$155.00
ATM IV24.7%19.0%30.0%19.4%30.0%
Expected Move7.4%5.5%8.6%5.5%8.6%
HV 20d18.6%15.8%21.3%21.1%17.9%
HV 60d19.7%18.4%20.4%20.1%19.3%
IV Rank37.7%18.4%56.1%19.5%56.1%
IV Percentile73.0%36.5%94.4%38.9%94.4%
Term Structure-1.3%-4.8%5.6%4.6%-4.8%
VWIV26.4%21.5%30.5%23.4%30.3%
Skew 25d3.0%-1.0%4.2%-1.0%4.2%
Skew 10d7.9%-1.6%14.7%-1.6%9.3%
Call IV 25d25.1%19.1%29.2%23.6%27.9%
Put IV 25d28.0%21.9%32.1%22.6%32.1%
Bid-Ask Spread %84.7477.2596.7594.0287.94
Gamma HHI0.280.260.320.280.26
Net GEX-410.4K-470.7K-335.1K-396.3K-341.4K
Net DEX5.1M2.9M7.1M5.1M3.3M
Net VEX-29.2K-33.2K-25.6K-33.2K-25.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.814.598.985.354.59
Total Volume507.2432570432570
Total OI1,522.251,4531,5701,5231,511

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$153.48$150.0019.4%5.5%21.1%19.5%23.4%-1.0%4.6%-396.3K5.1M-33.2K5.3594.02683643121,211
2017-01-04$155.24$150.0019.3%5.5%21.3%19.2%21.5%2.8%5.6%-359.3K4.2M-32.7K5.4396.75693753121,217
2017-01-05$153.00$155.0019.0%6.9%20.1%18.4%25.1%3.3%-0.4%-412.7K5.1M-32.6K5.4377.25693753121,229
2017-01-06$151.92$155.0019.6%7.1%18.8%20.5%24.3%4.1%-2.4%-427.8K5.5M-32.8K5.5881.40693853121,229
2017-01-09$150.33$155.0020.0%7.1%18.9%21.6%26.3%3.4%-1.2%-446.4K6.3M-31.9K5.6180.35693873121,239
2017-01-10$150.42$155.0020.6%7.2%18.9%23.7%26.8%2.5%-0.8%-449.6K6.1M-32.6K6.3483.23613873121,241
2017-01-11$151.01$155.0025.3%7.2%18.9%39.8%25.1%2.7%0.1%-444.5K6.4M-31.3K6.3879.31613893111,241
2017-01-12$148.57$155.0025.6%7.3%19.3%40.9%25.7%3.5%-0.4%-463.5K7.1M-30.1K6.3981.65613903111,245
2017-01-13$149.45$155.0025.6%7.3%17.6%41.0%25.8%3.6%-1.1%-470.7K6.9M-30.0K5.5781.55703903121,250
2017-01-17$150.76$155.0025.5%7.3%16.6%40.5%25.9%3.4%-0.8%-445.8K6.3M-29.3K6.6081.07724753201,250
2017-01-18$151.21$155.0025.8%7.4%16.6%41.7%26.1%2.9%-1.5%-409.3K5.6M-29.0K6.6083.88724753221,200
2017-01-19$151.12$155.0026.6%7.6%16.6%44.1%26.7%3.6%-2.4%-398.4K5.6M-27.7K6.6084.96724753221,200
2017-01-20$151.54$155.0026.1%7.5%16.5%42.6%26.4%2.5%-1.8%-458.5K5.5M-27.5K6.6984.21714753221,199
2017-01-23$151.14$155.0026.9%7.7%15.8%45.2%27.7%3.9%-2.4%-467.8K5.9M-26.5K8.9884.21524672821,171
2017-01-24$156.43$155.0027.0%7.7%19.6%45.8%27.1%4.0%-2.4%-396.0K3.7M-26.7K4.8484.90974692821,171
2017-01-25$157.95$155.0025.4%7.3%19.9%40.2%26.9%3.5%-2.0%-335.1K2.9M-26.6K4.8487.86974693201,170
2017-01-26$156.16$155.0028.1%8.1%20.0%49.4%27.7%1.0%-3.1%-352.5K3.2M-26.5K4.9186.40964713231,172
2017-01-27$156.90$155.0028.5%8.2%18.7%50.8%28.6%3.1%-4.6%-358.2K3.3M-26.5K4.8586.89964663241,176
2017-01-30$156.10$155.0029.1%8.4%18.7%53.0%30.5%2.5%-4.4%-374.1K3.4M-25.8K4.6887.021004683241,176
2017-01-31$157.37$155.0030.0%8.6%17.9%56.1%30.3%4.2%-4.8%-341.4K3.3M-25.6K4.5987.941024683331,178