LII Options History — April 2018

In April 2018, LII traded between $188.97 and $206.17. ATM implied volatility averaged 25.7%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.7% (HV 20d: 25.0%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 4.37.

Notable Days

  • 2018-04-03: Highest Volume — 1,551 contracts
  • 2018-04-04: Largest IV drop — 30.8% change
  • 2018-04-03: Highest IV Rank — 58.2%
  • 2018-04-03: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$200.28$188.97$206.17$200.05$194.39
Max Pain$201.90$200.00$210.00$210.00$200.00
ATM IV25.7%21.1%32.3%32.1%24.3%
Expected Move7.5%6.2%9.2%9.2%7.0%
HV 20d25.0%21.2%31.9%21.2%31.0%
HV 60d26.1%24.8%28.6%25.0%28.6%
IV Rank34.4%17.6%58.2%57.7%29.3%
IV Percentile80.8%54.8%98.0%98.0%77.0%
Term Structure-1.2%-4.7%3.4%-3.5%-1.2%
VWIV26.8%21.9%30.3%30.3%26.5%
Skew 25d5.5%4.4%7.1%7.1%5.5%
Skew 10d11.8%10.1%14.4%14.4%11.5%
Call IV 25d24.0%20.8%29.9%29.9%22.7%
Put IV 25d29.5%25.3%37.0%37.0%28.2%
Bid-Ask Spread %26.4715.5668.7954.9118.23
Gamma HHI0.390.170.630.210.23
Net GEX-480.0K-981.2K-97.2K-169.6K-240.4K
Net DEX5.0M1.5M10.1M7.8M4.2M
Net VEX-28.6K-41.2K-20.4K-37.5K-21.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.370.6110.961.321.20
Total Volume764.6192691,5511,248269
Total OI1,737.5711,3342,1852,1651,588

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$200.05$210.0032.1%9.2%21.2%57.7%30.3%7.1%-3.5%-169.6K7.8M-37.5K1.3254.915397091,0611,104
2018-04-03$203.82$210.0032.3%9.2%22.0%58.2%29.8%6.4%-4.7%-150.8K5.0M-41.2K1.8868.795391,0121,0611,124
2018-04-04$206.01$210.0022.3%6.4%21.8%22.2%22.8%4.6%3.4%-529.1K3.3M-33.0K3.5852.622087445611,004
2018-04-05$205.15$200.0021.1%7.2%21.5%17.6%26.8%5.7%-0.9%-577.7K3.4M-34.0K3.6719.752147866151,024
2018-04-06$199.68$200.0027.2%8.0%23.5%39.8%27.8%6.1%-1.4%-720.5K7.3M-33.5K7.7415.74937206201,064
2018-04-09$200.16$200.0027.6%7.9%22.2%41.2%29.3%5.8%-1.2%-802.4K7.3M-32.6K9.3029.25908376191,081
2018-04-10$201.65$200.0025.5%8.0%21.9%33.7%29.4%5.5%-1.7%-756.0K6.1M-32.1K9.2221.67908306211,139
2018-04-11$199.84$200.0027.6%7.9%22.0%41.4%29.2%5.8%-1.6%-868.3K7.4M-30.6K8.3316.281008336211,154
2018-04-12$202.22$200.0026.9%7.7%22.6%38.9%26.8%5.2%-1.2%-872.5K5.4M-30.9K6.6518.701117386311,128
2018-04-13$199.04$200.0026.6%7.6%23.1%37.7%26.7%5.9%-1.0%-981.2K8.0M-28.7K6.4818.241117196441,128
2018-04-16$203.51$200.0026.8%7.7%24.6%38.6%25.8%5.2%-1.7%-970.9K4.5M-27.6K3.4520.052097226441,125
2018-04-17$206.17$200.0023.6%6.8%24.5%26.8%26.3%5.1%-0.5%-315.1K1.5M-28.7K10.9622.07707677511,140
2018-04-18$206.08$200.0023.7%6.8%24.5%27.1%26.2%5.0%-1.2%-255.2K1.8M-26.0K4.5918.321737947581,053
2018-04-19$203.14$200.0026.2%7.5%24.6%36.2%26.0%5.4%-2.0%-864.6K3.5M-25.3K4.6441.161738028241,085
2018-04-20$197.34$210.0028.7%8.2%25.2%45.2%29.5%6.2%-2.4%-97.2K10.1M-22.6K3.0027.331163488251,093
2018-04-23$198.28$200.0022.1%6.3%24.7%21.5%21.9%5.1%-0.3%-169.5K2.5M-22.8K0.6115.56284174669665
2018-04-24$188.97$200.0025.8%7.4%29.4%34.9%26.5%5.3%-1.2%-229.1K5.6M-20.4K1.5017.51119178818718
2018-04-25$194.77$200.0023.6%6.8%31.5%27.1%25.6%5.0%-0.1%-206.6K3.9M-22.8K1.2520.55124155813756
2018-04-26$197.23$200.0023.5%6.8%31.9%26.7%25.2%5.1%-0.4%-166.5K3.0M-23.4K1.2222.30129157820756
2018-04-27$198.30$200.0021.8%6.2%31.2%20.2%24.9%4.4%-0.3%-136.2K2.5M-24.6K1.2016.76123148822762
2018-04-30$194.39$200.0024.3%7.0%31.0%29.3%26.5%5.5%-1.2%-240.4K4.2M-21.5K1.2018.23122147826762