LII Options History — September 2017

In September 2017, LII traded between $163.01 and $179.02. ATM implied volatility averaged 21.4%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.1% (HV 20d: 21.3%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.80.

Notable Days

2017-09-29: Highest Volume — 704 contracts
2017-09-13: Largest IV spike — 21.7% change
2017-09-19: Highest IV Rank — 41.0%
2017-09-19: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$169.46	$163.01	$179.02	$165.94	$179.02
Max Pain	$165.25	$165.00	$170.00	$170.00	$165.00
ATM IV	21.4%	16.9%	24.3%	16.9%	22.0%
Expected Move	6.3%	4.8%	7.0%	4.8%	6.3%
HV 20d	21.3%	15.9%	24.3%	16.2%	23.8%
HV 60d	18.2%	16.2%	19.8%	16.7%	19.8%
IV Rank	27.0%	11.6%	41.0%	15.0%	28.4%
IV Percentile	48.4%	1.6%	73.4%	1.6%	57.9%
Term Structure	-1.4%	-2.8%	4.5%	4.5%	-2.2%
VWIV	23.1%	16.4%	25.4%	16.4%	21.7%
Skew 25d	3.3%	2.6%	4.0%	2.9%	3.0%
Skew 10d	7.2%	4.9%	8.4%	4.9%	6.0%
Call IV 25d	21.0%	15.6%	22.7%	15.6%	20.9%
Put IV 25d	24.2%	18.5%	26.7%	18.5%	23.9%
Bid-Ask Spread %	32.71	18.83	82.19	18.83	26.97
Gamma HHI	0.26	0.19	0.39	0.19	0.20
Net GEX	247.3K	-119.7K	762.5K	-18.0K	762.5K
Net DEX	-3.0M	-13.3M	1.7M	869.9K	-13.3M
Net VEX	-20.5K	-36.8K	-11.5K	-12.5K	-36.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.22	1.66	1.54	0.26
Total Volume	370.2	180	704	180	704
Total OI	1,051.7	637	1,559	875	1,559

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-09-01	$165.94	$170.00	16.9%	4.8%	16.2%	15.0%	16.4%	2.9%	4.5%	-18.0K	869.9K	-12.5K	1.54	18.83	71	109	486	389
2017-09-05	$165.92	$165.00	19.6%	6.1%	15.9%	27.7%	21.9%	3.4%	-0.4%	-15.5K	881.1K	-12.0K	1.43	79.91	76	109	488	389
2017-09-06	$163.01	$165.00	19.7%	5.9%	16.8%	19.6%	21.5%	2.6%	0.5%	-119.7K	1.7M	-11.5K	0.50	82.19	221	111	493	389
2017-09-07	$163.17	$165.00	18.6%	6.2%	16.8%	13.4%	22.1%	2.9%	-1.1%	-47.5K	1.1M	-13.7K	1.44	30.36	77	111	628	398
2017-09-08	$168.72	$165.00	18.2%	6.1%	19.4%	11.6%	22.3%	3.0%	-1.2%	244.0K	-1.1M	-15.5K	1.33	32.49	81	108	641	398
2017-09-11	$168.54	$165.00	19.1%	6.2%	19.4%	12.2%	21.8%	3.1%	-1.9%	175.3K	-911.6K	-14.4K	0.49	31.40	229	112	637	404
2017-09-12	$171.95	$165.00	19.2%	6.2%	20.7%	12.7%	21.6%	3.2%	-1.0%	517.7K	-2.3M	-14.5K	0.48	36.31	229	109	637	409
2017-09-13	$167.46	$165.00	23.3%	6.7%	22.8%	35.8%	24.2%	3.4%	-2.8%	136.1K	-552.4K	-14.3K	1.53	23.66	87	133	644	408
2017-09-14	$166.83	$165.00	22.4%	6.4%	22.9%	30.9%	23.7%	3.1%	-2.4%	28.7K	-158.3K	-14.1K	1.66	26.51	80	133	647	423
2017-09-15	$167.28	$165.00	22.4%	6.4%	22.4%	30.4%	23.9%	3.5%	-1.9%	83.8K	-325.8K	-13.9K	1.58	26.80	83	131	644	424
2017-09-18	$167.25	$165.00	23.2%	6.6%	22.3%	34.8%	24.7%	3.4%	-1.6%	82.5K	-336.5K	-13.4K	1.57	24.25	72	113	347	290
2017-09-19	$165.79	$165.00	24.3%	7.0%	22.5%	41.0%	25.2%	3.3%	-2.2%	57.9K	107.0K	-14.2K	0.26	26.76	399	103	356	306
2017-09-20	$170.28	$165.00	22.2%	6.4%	24.3%	29.6%	24.3%	3.4%	-1.2%	319.2K	-4.5M	-24.7K	0.26	26.78	390	103	687	300
2017-09-21	$171.66	$165.00	22.5%	6.4%	23.8%	31.1%	23.9%	3.9%	-2.2%	301.1K	-4.4M	-22.4K	0.26	23.34	392	103	645	300
2017-09-22	$173.07	$165.00	21.9%	6.3%	22.1%	27.9%	23.9%	3.5%	-2.1%	485.5K	-7.3M	-33.2K	0.26	28.95	396	103	938	300
2017-09-25	$170.53	$165.00	24.2%	6.9%	23.0%	40.5%	25.4%	4.0%	-2.6%	477.7K	-6.1M	-32.5K	0.28	31.24	396	112	943	303
2017-09-26	$173.69	$165.00	22.6%	6.5%	23.6%	31.5%	24.1%	3.6%	-2.2%	496.8K	-7.7M	-32.0K	0.28	25.95	396	111	945	312
2017-09-27	$173.37	$165.00	22.5%	6.4%	23.5%	31.0%	24.2%	2.9%	-2.2%	494.3K	-7.4M	-32.3K	0.28	25.71	394	111	944	318
2017-09-28	$175.70	$165.00	23.0%	6.6%	23.7%	33.9%	24.4%	3.5%	-2.3%	484.1K	-8.8M	-31.2K	0.22	25.87	495	111	947	318
2017-09-29	$179.02	$165.00	22.0%	6.3%	23.8%	28.4%	21.7%	3.0%	-2.2%	762.5K	-13.3M	-36.8K	0.26	26.97	558	146	1,241	318