LII Options History — October 2017

In October 2017, LII traded between $179.32 and $196.58. ATM implied volatility averaged 20.1%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.4% (HV 20d: 22.5%). Max pain ranged from $155.00 to $180.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2017-10-24: Highest Volume — 1,057 contracts
  • 2017-10-23: Largest IV drop — 29.5% change
  • 2017-10-05: Highest IV Rank — 39.1%
  • 2017-10-02: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$185.09$179.32$196.58$179.32$191.21
Max Pain$170.45$155.00$180.00$165.00$180.00
ATM IV20.1%16.2%23.9%23.3%18.3%
Expected Move5.8%4.6%6.7%6.7%5.2%
HV 20d22.5%15.3%30.1%23.8%30.1%
HV 60d20.8%18.1%24.0%19.6%24.0%
IV Rank18.8%0.0%39.1%35.8%11.2%
IV Percentile36.1%0.0%75.0%70.2%13.5%
Term Structure-1.1%-3.1%0.6%-3.1%0.2%
VWIV20.9%16.9%23.8%23.4%18.9%
Skew 25d2.9%2.2%3.9%3.6%2.4%
Skew 10d6.3%3.9%8.0%7.5%5.8%
Call IV 25d18.9%15.7%22.1%22.1%16.8%
Put IV 25d21.9%18.4%25.7%25.7%19.2%
Bid-Ask Spread %59.9119.4783.2224.6765.75
Gamma HHI0.200.180.230.190.19
Net GEX771.1K565.4K908.3K773.6K580.8K
Net DEX-16.5M-21.9M-13.2M-13.2M-17.6M
Net VEX-33.8K-37.3K-24.6K-36.6K-35.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.262.750.352.60
Total Volume481.3642211,057566511
Total OI1,912.0451,5892,6341,5902,634

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$179.32$165.0023.3%6.7%23.8%35.8%23.4%3.6%-3.1%773.6K-13.2M-36.6K0.3524.674201461,279311
2017-10-03$180.07$165.0023.3%6.7%23.8%35.6%23.1%3.5%-2.8%798.2K-14.1M-37.3K0.3626.474181491,314311
2017-10-04$181.31$165.0022.9%6.6%22.3%33.6%22.9%3.9%-2.6%792.0K-14.8M-36.5K0.3829.543931491,313314
2017-10-05$181.34$155.0023.9%5.9%22.3%39.1%21.0%2.6%-1.0%788.7K-14.7M-36.5K0.3519.474241491,314314
2017-10-06$184.31$155.0018.1%5.6%20.2%6.7%20.2%2.5%-0.9%829.2K-17.1M-34.8K0.2660.45360931,374314
2017-10-09$184.31$170.0017.7%5.8%20.2%4.7%21.1%2.9%-1.1%822.1K-16.7M-35.0K0.4661.12202931,380315
2017-10-10$181.42$170.0018.0%6.0%20.5%6.3%22.0%3.0%-1.2%874.6K-15.2M-35.6K0.3969.07241951,382317
2017-10-11$180.35$170.0020.6%5.9%17.7%20.6%21.8%2.8%-1.0%901.4K-14.4M-35.4K0.4041.11235951,417320
2017-10-12$181.04$170.0021.2%6.1%17.5%23.8%22.2%3.4%-1.3%908.3K-15.0M-35.1K0.3869.38232871,412321
2017-10-13$181.23$170.0021.0%6.0%17.5%22.9%23.0%2.9%-1.4%889.6K-15.4M-33.2K0.9266.871151061,412323
2017-10-16$181.12$170.0021.5%6.2%17.6%25.8%23.8%3.5%-1.6%854.4K-15.2M-33.0K1.1166.331151281,417344
2017-10-17$180.10$170.0021.6%6.2%17.3%26.0%23.0%3.3%-1.6%829.2K-14.6M-33.5K1.0866.531281381,417368
2017-10-18$181.92$170.0021.5%6.2%15.3%25.8%22.5%2.9%-1.5%843.9K-15.7M-33.3K1.0067.671281281,432375
2017-10-19$179.40$170.0021.2%6.1%16.4%24.1%21.8%3.0%-1.4%793.4K-13.9M-33.5K0.9167.191441311,432377
2017-10-20$180.14$170.0022.9%6.6%16.2%33.7%21.7%3.1%-3.0%837.9K-14.5M-33.0K0.5658.862581441,439385
2017-10-23$193.40$175.0016.2%4.6%28.4%0.0%17.9%3.0%0.6%640.1K-20.3M-24.6K1.0762.392853041,303286
2017-10-24$196.58$175.0017.3%5.0%28.3%5.9%16.9%2.5%0.1%565.4K-21.9M-25.5K0.9069.285555021,392441
2017-10-25$193.14$175.0017.5%5.0%29.5%7.1%19.0%2.2%-0.1%704.5K-19.8M-32.5K1.1577.904365001,786720
2017-10-26$195.72$180.0017.3%5.0%29.5%6.0%17.0%2.3%-0.4%657.3K-21.4M-32.3K0.8782.864283711,785798
2017-10-27$193.23$180.0016.8%4.8%29.7%3.2%18.3%2.8%0.6%652.9K-19.3M-36.1K2.7583.221393821,792799
2017-10-30$191.22$180.0018.9%5.4%30.1%14.4%18.3%2.8%-0.5%625.9K-17.7M-35.6K2.4881.811533801,786800
2017-10-31$191.21$180.0018.3%5.2%30.1%11.2%18.9%2.4%0.2%580.8K-17.6M-35.2K2.6065.751423691,798836