LII Options History — June 2017

In June 2017, LII traded between $177.34 and $192.03. ATM implied volatility averaged 20.5%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.8% (HV 20d: 13.7%). Max pain ranged from $165.00 to $185.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.84.

Notable Days

  • 2017-06-16: Highest Volume — 472 contracts
  • 2017-06-14: Largest IV drop — 24.4% change
  • 2017-06-13: Highest IV Rank — 61.5%
  • 2017-06-28: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$184.26$177.34$192.03$177.34$184.25
Max Pain$177.73$165.00$185.00$165.00$185.00
ATM IV20.5%18.7%26.8%20.5%20.8%
Expected Move5.7%5.4%6.2%5.9%6.0%
HV 20d13.7%11.8%15.3%13.5%15.1%
HV 60d14.0%13.2%14.8%13.5%14.6%
IV Rank32.0%23.9%61.5%32.3%33.5%
IV Percentile46.8%24.2%90.1%50.0%52.0%
Term Structure0.9%-0.1%2.6%-0.1%0.9%
VWIV20.2%18.2%21.8%18.2%21.8%
Skew 25d2.6%0.3%4.2%2.9%1.9%
Skew 10d5.5%2.6%8.6%5.5%4.5%
Call IV 25d19.2%17.9%21.1%18.2%21.0%
Put IV 25d21.8%18.8%23.4%21.1%22.9%
Bid-Ask Spread %86.5978.7893.5593.5592.06
Gamma HHI0.240.200.280.270.20
Net GEX193.4K112.8K316.2K316.2K141.7K
Net DEX-5.2M-8.3M-2.6M-5.5M-2.9M
Net VEX-14.1K-16.6K-12.1K-16.5K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.841.312.601.341.66
Total Volume351.227240472388391
Total OI8695841,088979817

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$177.34$165.0020.5%5.9%13.5%32.3%18.2%2.9%-0.1%316.2K-5.5M-16.5K1.3493.55166222545434
2017-06-02$178.86$165.0019.1%5.5%13.6%25.3%20.1%0.3%1.2%304.9K-6.1M-16.6K1.3790.96166227562438
2017-06-05$179.45$165.0020.0%5.7%13.6%29.6%20.4%2.5%0.3%285.5K-6.3M-15.4K1.3983.33166231562447
2017-06-06$177.94$165.0020.5%5.6%13.9%32.1%20.6%2.6%0.7%313.6K-5.9M-15.7K1.4385.37166238563447
2017-06-07$178.93$165.0019.7%5.6%13.9%28.4%19.5%3.1%0.2%296.2K-6.2M-15.5K1.4978.78166248563457
2017-06-08$178.64$175.0020.4%5.5%13.9%31.7%20.7%1.2%0.8%290.6K-6.0M-15.7K1.5584.11166258563477
2017-06-09$178.38$175.0020.0%5.6%13.9%29.8%20.3%1.8%0.5%267.6K-6.0M-15.5K1.5887.05163258563487
2017-06-12$182.00$175.0022.3%5.8%14.3%40.5%20.7%3.3%0.2%175.8K-7.0M-14.0K1.7983.61145260563487
2017-06-13$184.46$175.0026.8%5.8%14.6%61.5%21.4%3.9%0.0%176.1K-7.5M-13.7K1.8181.27145262567489
2017-06-14$186.37$180.0020.2%5.8%12.4%30.8%21.5%2.9%0.9%175.6K-7.8M-13.1K1.7887.72148264567503
2017-06-15$187.72$180.0019.3%5.5%12.1%26.6%21.1%3.7%0.2%189.8K-8.2M-12.3K1.7784.73152269570509
2017-06-16$188.35$180.0019.2%5.5%12.1%26.1%19.7%2.9%0.5%112.8K-8.3M-12.2K1.3184.62204268573515
2017-06-19$191.73$180.0020.6%5.9%11.8%32.8%19.9%4.2%1.3%148.8K-4.2M-12.2K2.1885.8077168349235
2017-06-20$191.03$185.0019.0%5.4%12.1%25.0%18.9%3.0%1.9%132.8K-4.1M-12.9K2.3586.7178183358280
2017-06-21$192.03$185.0020.3%5.8%11.9%31.3%20.0%3.5%0.8%130.0K-4.2M-12.1K2.3383.5672168360285
2017-06-22$188.90$185.0020.2%5.8%14.0%30.8%20.1%2.0%2.1%128.5K-3.7M-13.1K2.4487.3870171362290
2017-06-23$188.07$185.0018.7%5.4%14.3%23.9%18.7%2.9%2.6%123.6K-3.3M-14.1K2.6086.7370182363293
2017-06-26$186.65$185.0020.6%5.9%14.3%32.7%19.8%0.9%0.7%139.6K-3.3M-13.3K2.2188.4978172363289
2017-06-27$184.45$185.0020.1%5.8%15.3%30.3%20.1%1.5%1.8%136.5K-2.8M-13.6K2.1887.6079172374297
2017-06-28$184.56$185.0021.5%6.2%15.0%36.8%20.5%3.6%0.2%136.6K-2.8M-13.3K2.1091.3782172377297
2017-06-29$183.51$185.0020.4%5.8%15.3%31.5%20.8%2.5%1.9%131.8K-2.6M-13.6K1.7490.11140244381297
2017-06-30$184.25$185.0020.8%6.0%15.1%33.5%21.8%1.9%0.9%141.7K-2.9M-15.4K1.6692.06147244441376