LII Options History — August 2017

In August 2017, LII traded between $160.33 and $173.40. ATM implied volatility averaged 18.2%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.8% (HV 20d: 16.4%). Max pain ranged from $170.00 to $180.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.57.

Notable Days

  • 2017-08-07: Highest Volume — 311 contracts
  • 2017-08-08: Largest IV spike — 12.3% change
  • 2017-08-10: Highest IV Rank — 30.1%
  • 2017-08-10: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$167.06$160.33$173.40$170.99$165.71
Max Pain$170.87$170.00$180.00$180.00$170.00
ATM IV18.2%17.1%20.1%18.5%17.1%
Expected Move5.2%4.9%5.8%5.3%4.9%
HV 20d16.4%12.6%18.7%18.7%16.2%
HV 60d16.1%15.4%16.7%16.4%16.7%
IV Rank21.2%15.9%30.1%22.5%15.9%
IV Percentile13.5%2.4%38.5%15.5%2.4%
Term Structure2.1%-0.8%4.0%-0.2%4.0%
VWIV18.2%16.2%19.4%19.3%17.9%
Skew 25d2.9%2.2%3.6%2.8%3.0%
Skew 10d6.3%5.0%7.8%5.9%6.3%
Call IV 25d17.3%16.1%18.6%17.9%16.5%
Put IV 25d20.3%18.6%21.3%20.7%19.5%
Bid-Ask Spread %23.1216.4538.4838.4820.22
Gamma HHI0.250.190.290.270.19
Net GEX20.5K-136.3K135.4K96.4K-14.8K
Net DEX950.2K-371.1K2.2M463.8K990.4K
Net VEX-12.0K-15.4K-8.8K-15.3K-12.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.571.583.532.191.58
Total Volume248173311287196
Total OI823.217701880840852

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$170.99$180.0018.5%5.3%18.7%22.5%19.3%2.8%-0.2%96.4K463.8K-15.3K2.1938.4890197461379
2017-08-02$171.97$180.0018.7%5.4%18.0%23.8%18.8%2.9%-0.8%113.5K182.6K-15.4K2.4123.9081195467379
2017-08-03$172.34$170.0018.0%5.1%17.8%20.5%16.9%2.6%1.6%125.0K41.6K-15.2K2.8524.2678222467389
2017-08-04$172.24$170.0017.8%5.0%16.8%19.7%16.2%2.2%2.1%124.3K-8.4K-14.9K2.8122.8279222467389
2017-08-07$173.40$170.0017.8%5.0%17.1%19.4%17.3%2.7%1.4%135.4K-371.1K-14.7K2.6622.1685226468389
2017-08-08$172.46$170.0020.0%5.4%17.0%29.7%18.0%2.4%1.0%114.6K-24.0K-14.6K3.2825.0669226477397
2017-08-09$171.32$170.0018.3%5.2%16.8%21.8%18.2%2.9%1.2%101.1K451.2K-14.1K2.5122.7670176478397
2017-08-10$167.48$170.0020.1%5.8%18.1%30.1%19.4%2.8%0.8%37.0K1.7M-12.3K2.7424.1368186479396
2017-08-11$167.81$170.0018.6%5.3%18.2%23.0%19.4%3.4%1.6%43.7K1.8M-12.0K2.7429.9068186483397
2017-08-14$168.44$170.0018.0%5.2%18.2%20.4%18.5%3.0%2.0%45.7K875.3K-11.6K2.7722.0770194483354
2017-08-15$167.93$170.0017.3%5.0%18.2%17.1%18.7%3.0%2.7%38.0K1.1M-11.3K2.6626.1173194486356
2017-08-16$167.55$170.0017.6%5.0%18.0%18.5%17.9%2.8%2.3%29.3K399.5K-10.9K1.9530.7394183491311
2017-08-17$165.51$170.0018.3%5.2%18.1%21.7%19.1%2.9%1.9%34.8K847.3K-10.5K2.2122.8394208513313
2017-08-18$164.49$170.0017.7%5.1%18.1%19.1%18.5%2.5%2.4%-47.3K984.9K-10.2K2.6820.8775201513325
2017-08-21$164.67$170.0018.0%5.2%15.3%20.2%18.9%3.3%2.3%45.1K706.6K-9.9K2.5623.4163161430271
2017-08-22$165.98$170.0017.8%5.1%12.6%19.7%18.7%2.8%2.3%51.5K677.3K-10.8K3.3921.4549166430303
2017-08-23$163.74$170.0017.4%5.0%12.9%17.8%18.6%3.1%2.9%-10.9K1.2M-10.2K3.5317.6847166435309
2017-08-24$160.33$170.0017.7%5.1%13.5%18.8%17.3%2.9%3.6%-93.3K1.9M-8.8K2.8920.9747136437309
2017-08-25$161.93$170.0018.2%5.2%14.3%21.4%17.1%3.4%3.1%-120.8K2.0M-10.3K2.7118.5358157437357
2017-08-28$162.03$170.0019.0%5.5%14.2%25.2%17.9%3.6%2.8%-115.6K1.9M-10.3K2.3118.7959136449357
2017-08-29$161.37$170.0018.8%5.4%14.2%23.9%18.2%3.4%2.9%-136.3K2.2M-10.1K1.9816.4558115450366
2017-08-30$162.80$170.0017.5%5.0%14.5%18.2%17.6%2.9%4.0%-125.2K1.9M-10.8K1.7718.1665115461377
2017-08-31$165.71$170.0017.1%4.9%16.2%15.9%17.9%3.0%4.0%-14.8K990.4K-12.2K1.5820.2276120474378