LII Options History — November 2017

In November 2017, LII traded between $188.85 and $209.81. ATM implied volatility averaged 19.3%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 5.2% (HV 20d: 24.5%). Max pain ranged from $170.00 to $180.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2017-11-29: Highest Volume — 1,381 contracts
  • 2017-11-30: Largest IV drop — 10.8% change
  • 2017-11-29: Highest IV Rank — 31.4%
  • 2017-11-29: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$194.27$188.85$209.81$189.75$209.81
Max Pain$170.48$170.00$180.00$180.00$170.00
ATM IV19.3%17.5%22.1%18.1%19.7%
Expected Move5.6%5.1%6.3%5.2%5.6%
HV 20d24.5%13.3%30.4%30.3%17.3%
HV 60d23.5%23.0%24.0%24.0%23.6%
IV Rank16.5%7.1%31.4%10.1%18.7%
IV Percentile32.0%3.6%64.7%10.7%42.1%
Term Structure-0.6%-3.6%1.1%0.4%-2.4%
VWIV19.6%18.1%22.4%18.5%19.8%
Skew 25d2.9%2.5%3.5%2.8%3.5%
Skew 10d6.2%5.1%7.2%6.3%6.4%
Call IV 25d18.3%16.8%20.1%17.1%19.0%
Put IV 25d21.2%19.7%23.2%19.9%22.6%
Bid-Ask Spread %37.3314.7983.4683.4615.37
Gamma HHI0.310.180.690.190.52
Net GEX594.0K264.6K1.9M578.0K1.9M
Net DEX-18.1M-32.1M-12.8M-16.5M-32.1M
Net VEX-31.4K-36.6K-26.3K-36.2K-32.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.122.342.340.45
Total Volume542.9052541,381575504
Total OI2,519.6191,6922,8822,6462,725

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$189.75$180.0018.1%5.2%30.3%10.1%18.5%2.8%0.4%578.0K-16.5M-36.2K2.3483.461724031,801845
2017-11-02$190.13$170.0017.5%5.2%30.3%7.1%18.4%2.8%0.9%531.6K-16.7M-36.6K1.3743.002463381,821934
2017-11-03$190.30$170.0017.6%5.3%29.9%7.5%18.1%2.8%1.0%518.6K-16.7M-36.5K1.2843.102252871,838966
2017-11-06$191.30$170.0018.4%5.4%29.9%12.0%18.8%2.7%0.7%483.4K-17.6M-33.8K1.2618.922322921,823975
2017-11-07$191.69$170.0018.6%5.5%29.2%12.9%18.5%3.1%0.3%526.9K-18.1M-34.1K1.5419.861862871,849969
2017-11-08$193.35$170.0017.8%5.1%29.0%8.4%18.2%3.1%1.1%538.2K-19.7M-32.2K1.0341.062602681,859970
2017-11-09$189.14$170.0018.9%5.4%30.4%14.4%18.8%3.3%0.6%498.6K-16.7M-33.0K1.6921.551592681,859971
2017-11-10$188.92$170.0018.8%5.4%30.4%14.1%19.2%2.6%1.0%476.9K-16.6M-31.9K1.5321.521772711,859970
2017-11-13$188.85$170.0019.0%5.4%30.4%15.0%20.0%2.8%0.8%490.2K-16.6M-32.1K1.0120.142762791,881968
2017-11-14$190.28$170.0019.3%5.5%30.4%16.4%19.7%2.9%0.5%395.1K-17.4M-29.2K0.9524.743012871,840973
2017-11-15$191.61$170.0020.1%5.7%30.3%20.6%19.4%3.0%0.2%356.5K-18.0M-29.7K0.7319.993802771,831986
2017-11-16$194.93$170.0018.8%5.4%30.0%13.8%19.8%2.7%0.7%307.1K-20.7M-28.0K1.0120.712993021,876989
2017-11-17$194.20$170.0018.5%5.3%30.2%12.5%19.5%2.7%0.8%264.6K-19.9M-28.8K0.9324.003192961,8801,002
2017-11-20$194.72$170.0019.3%5.5%16.7%16.4%20.7%3.0%-1.6%270.7K-12.8M-27.5K1.3569.941081461,033660
2017-11-21$197.02$170.0020.1%5.8%16.2%20.9%19.4%3.0%-2.2%275.0K-13.8M-26.3K0.3572.053891361,027665
2017-11-22$196.27$170.0019.5%5.6%14.9%17.8%19.0%2.8%-1.9%646.7K-15.3M-31.0K0.3568.623891371,277658
2017-11-24$196.40$170.0020.6%5.9%14.1%23.4%22.4%2.6%-2.7%645.8K-15.3M-30.5K1.4754.011161711,277653
2017-11-27$196.20$170.0021.5%6.2%13.3%28.5%20.9%3.1%-3.4%656.5K-15.3M-29.8K0.4766.573651711,283688
2017-11-28$200.89$170.0020.8%6.0%14.9%24.5%21.1%2.5%-2.9%1.1M-21.3M-31.0K0.9514.791541471,525688
2017-11-29$203.86$170.0022.1%6.3%15.4%31.4%21.1%3.0%-3.6%996.1K-23.3M-29.6K0.1220.491,2331481,524694
2017-11-30$209.81$170.0019.7%5.6%17.3%18.7%19.8%3.5%-2.4%1.9M-32.1M-32.4K0.4515.373481562,030695