LII Options History — March 2018

In March 2018, LII traded between $196.03 and $212.44. ATM implied volatility averaged 25.8%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.6% (HV 20d: 26.4%). Max pain ranged from $190.00 to $210.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 2.32.

Notable Days

  • 2018-03-01: Highest Volume — 456 contracts
  • 2018-03-08: Largest IV drop — 23.3% change
  • 2018-03-29: Highest IV Rank — 51.3%
  • 2018-03-29: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$206.03$196.03$212.44$196.03$204.49
Max Pain$208.10$190.00$210.00$190.00$210.00
ATM IV25.8%18.5%30.3%28.2%30.3%
Expected Move7.7%6.7%8.7%8.1%8.7%
HV 20d26.4%19.7%33.3%33.1%19.7%
HV 60d23.8%23.1%24.8%23.1%24.8%
IV Rank34.8%8.3%51.3%43.6%51.3%
IV Percentile83.7%22.2%97.2%96.4%97.2%
Term Structure-2.1%-3.4%1.4%-0.4%-3.1%
VWIV29.5%26.3%33.7%29.2%31.7%
Skew 25d5.5%4.5%6.1%5.5%5.8%
Skew 10d12.0%10.2%14.0%12.2%13.3%
Call IV 25d24.7%22.0%28.0%26.0%26.7%
Put IV 25d30.2%26.5%34.1%31.5%32.5%
Bid-Ask Spread %52.5435.0867.4966.9153.04
Gamma HHI0.240.170.400.400.18
Net GEX-268.9K-1.8M355.8K-1.8M-40.4K
Net DEX-180.5K-10.5M12.2M12.2M3.8M
Net VEX-54.9K-76.2K-40.6K-73.0K-44.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.914.830.914.83
Total Volume306.619159456456233
Total OI3,489.8571,9944,6674,4412,091

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$196.03$190.0028.2%8.1%33.1%43.6%29.2%5.5%-0.4%-1.8M12.2M-73.0K0.9166.912392171,3443,097
2018-03-02$198.09$190.0025.9%7.4%33.3%35.0%29.3%5.8%1.4%-1.6M10.5M-76.2K0.9867.492262211,3983,164
2018-03-05$199.40$210.0027.0%7.8%33.1%39.3%27.3%5.7%-2.3%-1.5M8.0M-71.3K1.0640.421982091,3973,166
2018-03-06$202.31$210.0026.5%7.9%31.6%37.5%27.3%5.6%-2.2%-1.1M3.5M-67.4K1.0438.552002091,4003,165
2018-03-07$204.64$210.0026.6%7.9%30.2%37.6%27.2%5.8%-2.9%-672.1K-1.5M-61.3K1.0045.322082081,3993,165
2018-03-08$205.60$210.0020.4%7.3%29.8%15.1%28.1%5.4%-2.4%-383.9K-3.3M-57.2K1.2550.641672081,3893,167
2018-03-09$209.62$210.0018.5%7.3%26.1%8.3%28.2%5.4%-2.7%205.6K-7.9M-56.0K1.3253.911572081,3993,167
2018-03-12$212.05$210.0021.6%7.5%25.3%19.6%29.2%5.2%-3.1%346.5K-10.3M-54.4K1.9748.951062091,4013,167
2018-03-13$212.22$210.0023.0%7.5%24.7%24.7%29.1%5.2%-2.9%355.8K-10.5M-53.6K2.0852.831062211,3963,168
2018-03-14$212.44$210.0026.3%7.5%24.4%36.7%29.3%5.4%-3.4%298.1K-10.4M-52.7K1.8352.171092001,3963,186
2018-03-15$211.38$210.0024.9%7.1%23.8%31.6%26.3%5.3%-2.8%322.3K-9.7M-51.5K2.4949.561233061,3973,188
2018-03-16$212.39$210.0026.3%7.5%23.3%36.5%28.3%5.1%-3.4%121.1K-9.6M-53.8K2.4857.621213001,3823,285
2018-03-19$208.78$210.0026.5%7.6%24.2%37.3%31.1%5.4%-2.5%58.0K-154.1K-51.0K2.5254.88621561,030964
2018-03-20$209.25$210.0023.5%6.7%23.6%26.5%28.7%4.6%-0.3%34.0K-379.1K-51.5K4.1038.99411681,030996
2018-03-21$211.43$210.0023.4%6.7%23.8%26.2%29.1%4.5%-0.5%53.8K-2.1M-52.6K4.1067.29411681,0401,022
2018-03-22$206.48$210.0024.8%7.1%24.9%31.2%30.4%5.1%-1.0%-24.5K2.4M-50.1K4.1061.80411681,0401,022
2018-03-23$202.87$210.0029.0%8.3%24.6%46.3%31.2%5.9%-2.0%-65.7K5.0M-45.7K3.2156.19421351,0401,023
2018-03-26$204.73$210.0029.0%8.3%24.9%46.5%31.3%5.8%-2.2%-50.8K3.8M-45.2K3.2154.77421351,0421,024
2018-03-27$201.61$210.0029.9%8.6%25.3%49.8%33.5%6.1%-2.7%-80.8K6.1M-43.1K2.3157.00481111,0431,022
2018-03-28$200.83$210.0030.2%8.7%24.9%50.8%33.7%6.1%-2.7%-85.9K6.7M-40.6K2.0235.08571151,0501,025
2018-03-29$204.49$210.0030.3%8.7%19.7%51.3%31.7%5.8%-3.1%-40.4K3.8M-44.5K4.8353.04401931,0611,030