LII Options History — May 2017

In May 2017, LII traded between $165.24 and $177.12. ATM implied volatility averaged 18.9%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.5% (HV 20d: 15.4%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2017-05-19: Highest Volume — 587 contracts
  • 2017-05-10: Largest IV drop — 12.0% change
  • 2017-05-18: Highest IV Rank — 32.6%
  • 2017-05-18: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$170.91$165.24$177.12$166.61$177.12
Max Pain$165.68$165.00$170.00$170.00$165.00
ATM IV18.9%17.6%20.6%19.2%20.2%
Expected Move5.4%5.0%5.9%5.5%5.8%
HV 20d15.4%13.7%17.9%15.4%13.7%
HV 60d16.5%13.4%20.1%20.0%13.6%
IV Rank24.8%18.3%32.6%26.1%30.6%
IV Percentile32.9%19.0%50.8%36.5%47.6%
Term Structure1.3%-0.9%2.3%-0.3%0.3%
VWIV20.6%17.0%23.8%21.8%20.3%
Skew 25d2.0%0.7%3.1%1.2%1.6%
Skew 10d4.0%1.7%6.6%1.7%4.7%
Call IV 25d18.6%16.1%19.9%19.6%19.4%
Put IV 25d20.6%18.5%21.9%20.7%21.0%
Bid-Ask Spread %86.8582.3492.0191.1790.94
Gamma HHI0.270.180.780.180.28
Net GEX328.4K-17.9K2.1M236.3K299.1K
Net DEX-3.0M-6.9M-422.4K-1.4M-5.4M
Net VEX-20.9K-25.8K-16.8K-25.8K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.851.810.851.31
Total Volume411.682316587467355
Total OI1,382.5919151,6451,532969

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$166.61$170.0019.2%5.5%15.4%26.1%21.8%1.2%-0.3%236.3K-1.4M-25.8K0.8591.172522151,032500
2017-05-02$165.24$170.0019.2%5.5%15.3%25.9%21.2%1.8%-0.5%127.7K-539.7K-25.4K0.8788.572462151,032520
2017-05-03$166.80$170.0019.5%5.6%15.6%27.3%20.2%2.2%-0.9%171.1K-1.2M-25.0K1.4692.011662431,032520
2017-05-04$167.68$165.0018.6%5.1%15.5%23.4%21.8%2.5%2.0%214.0K-1.7M-25.6K1.4884.671642431,037583
2017-05-05$167.52$165.0018.7%5.2%15.4%23.6%20.9%1.7%2.3%181.0K-1.6M-24.9K1.3583.091642221,037583
2017-05-08$166.80$165.0019.3%5.4%15.4%26.3%20.8%1.9%1.7%89.0K-1.1M-23.4K1.4682.341552261,037604
2017-05-09$166.69$165.0020.2%5.4%14.9%30.9%20.5%1.7%1.5%124.5K-1.2M-23.4K1.2284.651852261,037608
2017-05-10$168.04$165.0017.8%5.1%15.0%19.5%20.2%2.8%2.2%142.1K-1.4M-22.8K1.2284.941852261,004608
2017-05-11$167.81$165.0017.9%5.1%14.2%19.9%20.9%3.1%1.7%107.2K-1.2M-22.2K1.2284.951852261,004608
2017-05-12$166.26$165.0018.7%5.4%14.6%23.6%20.2%1.5%1.9%-17.9K-422.4K-21.5K1.2284.501852261,004608
2017-05-15$167.84$165.0017.9%5.1%14.9%20.0%20.4%2.5%2.1%76.5K-1.4M-20.5K1.3084.801762281,004607
2017-05-16$172.32$165.0018.6%5.3%17.5%23.0%22.4%2.1%1.7%531.5K-3.9M-20.1K1.8185.611763181,005597
2017-05-17$171.67$165.0020.0%5.7%17.5%29.6%21.9%2.1%1.5%456.1K-3.6M-19.8K1.7090.491813071,007530
2017-05-18$172.02$165.0020.6%5.9%17.2%32.6%22.4%1.9%0.6%624.3K-4.2M-19.3K1.1486.762653031,007529
2017-05-19$175.39$165.0019.5%5.6%17.9%27.6%18.1%2.2%0.7%2.1M-6.9M-18.2K1.0787.042843031,004529
2017-05-22$175.62$165.0018.6%5.3%15.6%23.0%22.2%0.7%2.2%277.0K-4.7M-17.1K1.4382.76130186504411
2017-05-23$175.22$165.0018.1%5.2%15.6%21.0%23.8%1.7%2.2%281.4K-4.6M-17.3K1.5189.61130196506411
2017-05-24$176.00$165.0018.4%5.3%15.1%22.2%18.2%1.6%1.7%279.3K-4.8M-17.9K1.4689.30134196514421
2017-05-25$176.58$165.0018.6%5.3%15.1%23.2%18.0%2.3%1.5%275.4K-4.9M-17.7K1.5588.37135209515421
2017-05-26$175.30$165.0017.6%5.0%14.1%18.3%17.0%2.5%2.3%312.4K-4.7M-17.9K1.4086.17144201525434
2017-05-30$175.39$165.0019.5%5.6%14.1%27.4%19.6%2.6%1.0%311.3K-4.7M-17.6K1.4087.94144201535434
2017-05-31$177.12$165.0020.2%5.8%13.7%30.6%20.3%1.6%0.3%299.1K-5.4M-16.8K1.3190.94154201535434