LII Options History — February 2018

In February 2018, LII traded between $193.43 and $214.10. ATM implied volatility averaged 27.6%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.8% (HV 20d: 26.8%). Max pain ranged from $185.00 to $190.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 9.60.

Notable Days

2018-02-23: Highest Volume — 3,282 contracts
2018-02-07: Largest IV drop — 36.2% change
2018-02-02: Highest IV Rank — 100.0%
2018-02-06: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$204.43	$193.43	$214.10	$214.10	$205.00
Max Pain	$187.89	$185.00	$190.00	$185.00	$190.00
ATM IV	27.6%	21.9%	43.8%	32.3%	26.5%
Expected Move	7.3%	6.3%	8.2%	7.0%	7.6%
HV 20d	26.8%	18.6%	29.9%	18.6%	29.9%
HV 60d	20.8%	16.8%	22.5%	16.8%	21.2%
IV Rank	43.9%	20.7%	100.0%	78.4%	37.2%
IV Percentile	86.4%	61.1%	100.0%	99.2%	94.0%
Term Structure	-0.6%	-5.0%	3.2%	-1.2%	0.8%
VWIV	30.9%	25.4%	34.4%	25.4%	31.7%
Skew 25d	5.0%	2.7%	11.1%	3.3%	5.1%
Skew 10d	10.1%	3.8%	15.7%	8.7%	12.2%
Call IV 25d	23.7%	21.0%	27.2%	22.6%	23.2%
Put IV 25d	28.6%	25.0%	35.4%	25.8%	28.2%
Bid-Ask Spread %	72.57	44.64	86.30	84.58	72.28
Gamma HHI	0.26	0.15	0.34	0.30	0.32
Net GEX	-399.1K	-1.2M	312.3K	312.3K	-877.0K
Net DEX	-2.0M	-8.3M	4.4M	-8.3M	896.2K
Net VEX	-48.2K	-74.2K	-31.0K	-35.7K	-74.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.60	0.99	17.72	0.99	6.45
Total Volume	1,716.947	221	3,282	221	1,333
Total OI	2,725.263	1,207	4,443	1,207	4,443

Daily Data (19 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
2018-02-01	$214.10	$185.00	32.3%	7.0%	18.6%	78.4%	25.4%	3.3%	-1.2%	312.3K	-8.3M	-35.7K	0.99	84.58	111	110	816	391
2018-02-02	$210.66	$185.00	37.1%	7.6%	19.5%	100.0%	28.8%	3.5%	-2.0%	286.6K	-7.2M	-35.7K	1.31	79.05	111	145	816	396
2018-02-05	$203.80	$185.00	43.8%	8.1%	22.2%	100.0%	30.1%	3.2%	-3.7%	239.5K	-5.3M	-32.8K	1.39	85.60	121	168	816	408
2018-02-06	$198.33	$185.00	38.9%	8.2%	23.9%	82.1%	33.1%	7.4%	-5.0%	188.8K	-3.0M	-31.1K	1.71	79.77	128	219	830	427
2018-02-07	$201.37	$185.00	24.8%	7.1%	24.6%	31.1%	26.5%	4.9%	-1.9%	216.3K	-4.3M	-31.0K	2.50	76.39	125	312	831	476
2018-02-08	$193.43	$185.00	28.5%	8.2%	26.3%	44.7%	31.1%	6.8%	-4.6%	64.9K	-642.3K	-31.2K	1.60	79.59	135	216	834	579
2018-02-09	$197.97	$185.00	27.9%	8.0%	27.0%	42.5%	34.4%	11.1%	-2.1%	90.4K	-2.1M	-34.0K	14.93	79.75	148	2,209	844	612
2018-02-12	$201.70	$190.00	26.8%	7.7%	27.9%	38.3%	30.8%	4.4%	-2.1%	-1.0M	4.0M	-64.8K	14.87	66.91	156	2,319	859	2,616
2018-02-13	$200.18	$185.00	26.2%	7.5%	27.9%	36.4%	30.6%	6.6%	-2.9%	-121.7K	-1.9M	-32.0K	15.24	64.10	144	2,194	861	734
2018-02-14	$204.03	$190.00	24.9%	7.1%	28.9%	31.5%	29.6%	4.2%	-1.1%	-1.2M	4.4M	-65.2K	15.38	72.17	143	2,199	863	2,734
2018-02-15	$206.99	$190.00	22.7%	6.5%	28.9%	23.4%	30.7%	4.2%	0.2%	-850.3K	-989.9K	-56.1K	14.60	68.97	150	2,190	864	2,751
2018-02-16	$206.22	$190.00	22.1%	6.3%	28.5%	21.4%	31.3%	2.7%	1.2%	-731.0K	-1.6M	-49.7K	14.98	86.30	144	2,157	865	2,756
2018-02-20	$203.34	$190.00	26.8%	7.7%	28.8%	38.5%	31.6%	4.7%	0.3%	-987.2K	1.1M	-53.1K	17.72	61.71	120	2,126	807	2,547
2018-02-21	$203.17	$190.00	26.0%	7.4%	28.8%	35.5%	31.4%	4.4%	1.2%	-1.0M	1.5M	-53.3K	14.36	50.42	148	2,125	812	2,568
2018-02-22	$206.11	$190.00	22.9%	6.6%	29.1%	24.2%	31.2%	4.6%	2.2%	-814.7K	-379.9K	-53.1K	13.63	44.64	156	2,127	841	2,559
2018-02-23	$210.07	$190.00	21.9%	6.3%	29.8%	20.7%	32.1%	4.0%	3.2%	-341.6K	-5.6M	-37.9K	4.01	74.57	655	2,627	843	2,561
2018-02-26	$209.84	$190.00	22.8%	6.5%	29.7%	24.0%	33.4%	4.8%	2.4%	-406.9K	-5.4M	-71.7K	14.72	74.27	179	2,635	1,343	3,061
2018-02-27	$207.94	$190.00	22.7%	6.5%	29.7%	23.5%	32.7%	4.6%	2.7%	-589.2K	-2.8M	-74.0K	12.13	77.69	178	2,159	1,346	3,070
2018-02-28	$205.00	$190.00	26.5%	7.6%	29.9%	37.2%	31.7%	5.1%	0.8%	-877.0K	896.2K	-74.2K	6.45	72.28	179	1,154	1,346	3,097