LII Options History — January 2018

In January 2018, LII traded between $205.34 and $221.58. ATM implied volatility averaged 23.1%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.6% (HV 20d: 16.6%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2018-01-03: Highest Volume — 468 contracts
  • 2018-01-10: Largest IV spike — 23.9% change
  • 2018-01-31: Highest IV Rank — 73.6%
  • 2018-01-31: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$213.95$205.34$221.58$207.16$217.90
Max Pain$207.62$200.00$210.00$210.00$210.00
ATM IV23.1%17.3%31.3%17.6%31.3%
Expected Move6.8%5.0%9.0%5.0%9.0%
HV 20d16.6%12.1%18.4%12.1%18.1%
HV 60d19.5%15.9%22.4%21.3%16.3%
IV Rank33.8%5.7%73.6%6.9%73.6%
IV Percentile64.3%5.2%98.8%8.7%98.8%
Term Structure-2.7%-9.0%4.4%4.4%-9.0%
VWIV25.7%20.9%33.9%20.9%33.9%
Skew 25d2.8%1.5%5.0%2.9%5.0%
Skew 10d5.9%2.1%9.7%4.7%8.2%
Call IV 25d22.9%17.1%28.7%17.2%28.7%
Put IV 25d25.7%19.1%33.6%20.1%33.6%
Bid-Ask Spread %77.0642.7196.5083.4891.41
Gamma HHI0.300.170.410.170.38
Net GEX284.3K54.3K420.9K60.5K314.6K
Net DEX-8.8M-11.1M-4.7M-4.7M-10.1M
Net VEX-36.3K-41.5K-32.2K-35.6K-32.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.822.662.661.05
Total Volume313.571221468333228
Total OI1,431.6671,1821,6451,4351,207

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$207.16$210.0017.6%5.0%12.1%6.9%20.9%2.9%4.4%60.5K-4.7M-35.6K2.6683.4891242812623
2018-01-03$210.76$210.0017.5%5.0%13.6%6.3%22.2%2.0%3.9%190.7K-6.7M-35.1K1.0796.50226242812623
2018-01-04$211.05$200.0018.2%6.2%12.5%9.9%21.9%2.5%-1.4%278.0K-8.1M-41.5K1.0860.20225243959621
2018-01-05$213.50$200.0017.3%6.3%12.9%5.7%21.8%2.7%-1.5%407.4K-9.5M-40.4K1.0869.20225242959616
2018-01-08$213.90$200.0018.6%6.4%12.6%11.7%23.0%2.7%-1.5%420.9K-9.5M-39.5K1.8875.44129242959617
2018-01-09$211.72$200.0018.3%6.2%13.0%10.2%23.1%2.6%-0.7%329.8K-8.6M-38.1K1.0770.36135144959617
2018-01-10$205.34$200.0022.7%6.5%17.2%31.6%23.6%2.9%-1.7%54.3K-5.0M-37.7K1.3271.78146192958624
2018-01-11$208.81$210.0022.6%6.5%18.3%31.3%23.0%3.6%-2.3%95.7K-6.3M-38.2K1.0275.75184188957650
2018-01-12$210.33$210.0022.1%6.3%18.4%29.0%23.2%2.2%-1.4%262.0K-7.8M-40.4K1.3178.71142186995650
2018-01-16$209.98$210.0023.5%6.7%18.0%35.7%23.9%1.9%-2.6%231.9K-7.7M-35.8K1.3077.25143186990649
2018-01-17$210.90$210.0023.2%6.6%18.0%34.0%24.2%2.7%-2.3%241.2K-8.2M-35.3K1.3578.60138186975649
2018-01-18$213.75$210.0023.4%6.7%18.2%35.4%25.1%2.9%-2.2%340.5K-9.8M-35.1K1.4273.19131186986649
2018-01-19$216.39$210.0022.9%6.6%18.4%32.9%25.8%2.9%-2.5%359.5K-11.1M-35.6K1.4571.75139202993649
2018-01-22$215.62$210.0024.5%7.0%18.4%40.7%27.2%3.3%-4.5%345.0K-9.2M-35.5K1.2642.71120151816366
2018-01-23$215.52$210.0024.9%7.2%18.4%42.7%27.6%3.9%-3.8%342.3K-9.2M-35.9K0.8277.43130106817368
2018-01-24$217.35$210.0025.9%7.4%18.1%47.3%29.1%1.5%-4.8%349.8K-9.8M-35.4K0.9186.69117106813371
2018-01-25$219.50$210.0026.2%7.5%18.1%48.9%28.6%3.0%-5.6%344.5K-10.2M-35.2K0.9980.16111110812371
2018-01-26$220.97$210.0026.3%7.5%18.2%49.4%28.5%1.8%-4.3%331.1K-11.1M-32.8K0.9885.21112110814376
2018-01-29$221.58$210.0028.1%8.1%18.0%58.1%31.2%2.9%-5.4%332.4K-11.1M-32.2K0.9983.61111110815376
2018-01-30$221.01$210.0030.3%8.7%17.3%69.0%32.5%2.9%-7.4%338.3K-10.6M-33.8K1.0588.74111117816376
2018-01-31$217.90$210.0031.3%9.0%18.1%73.6%33.9%5.0%-9.0%314.6K-10.1M-32.7K1.0591.41111117816391