LII Options History — March 2017

In March 2017, LII traded between $165.45 and $172.08. ATM implied volatility averaged 23.1%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 2.1% (HV 20d: 21.1%). Max pain ranged from $155.00 to $170.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.28.

Notable Days

  • 2017-03-06: Highest Volume — 797 contracts
  • 2017-03-03: Largest IV drop — 11.0% change
  • 2017-03-14: Highest IV Rank — 53.1%
  • 2017-03-31: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$168.82$165.45$172.08$167.28$167.80
Max Pain$161.52$155.00$170.00$160.00$170.00
ATM IV23.1%21.2%24.9%24.1%24.7%
Expected Move6.6%6.2%7.1%6.9%7.1%
HV 20d21.1%10.7%30.0%30.0%10.8%
HV 60d21.9%20.7%23.2%23.2%20.7%
IV Rank44.5%35.4%53.1%49.0%51.9%
IV Percentile72.1%62.7%79.8%77.0%79.4%
Term Structure-0.6%-2.4%1.1%-2.4%-1.5%
VWIV24.0%21.8%25.5%25.5%23.8%
Skew 25d2.8%1.0%5.8%4.2%2.1%
Skew 10d3.8%0.3%8.5%5.2%0.3%
Call IV 25d22.7%21.2%24.1%22.6%23.6%
Put IV 25d25.6%23.7%27.5%26.8%25.7%
Bid-Ask Spread %87.4871.7993.6892.3384.03
Gamma HHI0.380.240.490.240.46
Net GEX519.2K147.1K1.7M507.8K245.0K
Net DEX-4.6M-9.6M-2.2M-5.1M-2.2M
Net VEX-25.1K-32.2K-19.5K-32.2K-24.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.453.351.340.48
Total Volume572.826398797606410
Total OI1,9235732,8182,622906

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$167.28$160.0024.1%6.9%30.0%49.0%25.5%4.2%-2.4%507.8K-5.1M-32.2K1.3492.332593471,1901,432
2017-03-02$167.17$160.0024.4%7.0%30.0%50.5%25.4%2.3%-2.2%554.9K-5.3M-30.6K1.3893.082593571,1901,432
2017-03-03$167.36$160.0021.7%6.2%29.5%37.9%23.4%1.0%0.4%654.2K-5.5M-28.8K1.3893.682633631,1901,442
2017-03-06$166.63$155.0022.6%6.5%29.5%41.8%25.4%2.4%-1.1%686.0K-5.3M-26.9K2.0290.282645331,2031,446
2017-03-07$166.17$155.0021.6%6.5%29.6%37.3%25.4%2.5%-1.6%453.7K-4.5M-26.7K2.0289.462645331,2031,615
2017-03-08$165.45$155.0021.2%6.5%29.2%35.4%23.5%1.8%-1.5%296.8K-3.4M-25.5K1.6890.222744591,2031,615
2017-03-09$166.57$155.0022.3%6.5%28.3%40.4%24.0%2.5%-1.9%563.1K-4.8M-25.5K1.6887.322764641,2131,586
2017-03-10$167.09$155.0022.7%6.7%28.3%42.6%24.0%2.9%-1.8%685.4K-5.3M-24.5K1.6889.302764641,2161,547
2017-03-13$168.43$155.0024.5%6.5%28.4%51.1%24.8%3.4%-0.4%879.9K-5.9M-21.9K1.6887.872764641,2161,547
2017-03-14$168.70$155.0024.9%6.7%27.9%53.1%25.2%2.7%-0.9%1.0M-6.4M-21.2K1.7489.542674641,2141,547
2017-03-15$171.62$155.0023.3%6.7%28.1%45.1%24.6%2.9%0.4%1.4M-8.8M-21.4K1.6591.702824641,2141,547
2017-03-16$171.89$155.0023.4%6.7%28.0%45.8%24.2%3.7%-0.4%1.7M-9.3M-19.9K2.9471.791584651,2221,547
2017-03-17$172.08$155.0023.0%6.6%19.4%44.0%25.2%2.4%1.1%147.1K-9.6M-19.7K3.3592.751344491,2431,548
2017-03-20$171.65$155.0022.8%6.5%12.1%43.1%22.7%2.5%0.8%151.8K-2.7M-19.5K0.6280.78271167388185
2017-03-21$169.04$170.0023.4%6.7%12.6%45.8%23.7%1.2%-0.0%235.3K-3.0M-26.2K0.4581.91276123588273
2017-03-22$170.19$170.0022.1%6.3%12.5%39.7%21.8%5.1%0.6%250.6K-2.8M-26.9K0.4581.15275123603293
2017-03-23$170.46$170.0021.9%6.3%12.5%38.9%23.1%3.9%0.5%251.3K-3.2M-26.9K0.4790.52277129604293
2017-03-24$169.89$170.0023.1%6.6%12.4%44.4%22.8%1.5%-0.9%250.3K-3.0M-26.6K0.4785.67277129606299
2017-03-27$170.66$170.0022.9%6.6%12.3%43.4%22.4%5.8%0.8%258.4K-2.9M-26.2K0.4888.48277133606299
2017-03-28$169.66$170.0023.8%6.8%11.6%47.8%23.9%4.2%-0.9%266.7K-2.7M-25.6K0.4891.21277133606300
2017-03-29$168.62$170.0023.4%6.7%10.7%45.7%22.8%3.3%0.1%243.3K-2.4M-25.6K0.4888.88277133606300
2017-03-30$168.44$170.0024.3%7.0%10.7%50.0%23.9%1.1%-1.2%240.9K-2.3M-25.1K0.4880.02277133606300
2017-03-31$167.80$170.0024.7%7.1%10.8%51.9%23.8%2.1%-1.5%245.0K-2.2M-24.8K0.4884.03277133606300