LII Options History — May 2018

In May 2018, LII traded between $193.29 and $207.83. ATM implied volatility averaged 20.8%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 6.3% (HV 20d: 27.1%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.61.

Notable Days

  • 2018-05-09: Highest Volume — 749 contracts
  • 2018-05-22: Largest IV spike — 21.0% change
  • 2018-05-01: Highest IV Rank — 28.6%
  • 2018-05-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$202.53$193.29$207.83$196.15$203.94
Max Pain$200.91$200.00$210.00$200.00$210.00
ATM IV20.8%17.8%24.1%24.1%22.4%
Expected Move6.0%5.1%6.9%6.9%6.4%
HV 20d27.1%18.3%31.5%30.3%18.9%
HV 60d26.0%23.9%28.5%28.5%24.1%
IV Rank16.7%5.8%28.6%28.6%22.7%
IV Percentile45.9%11.5%75.8%75.8%61.5%
Term Structure1.1%-1.2%3.9%-1.0%-1.2%
VWIV22.9%20.5%26.1%26.1%23.6%
Skew 25d4.0%2.5%5.4%4.8%3.5%
Skew 10d8.3%3.5%10.8%10.4%7.2%
Call IV 25d19.0%16.7%22.6%22.1%19.8%
Put IV 25d23.0%21.0%27.9%26.8%23.3%
Bid-Ask Spread %65.1917.1492.2717.1486.04
Gamma HHI0.320.180.510.250.35
Net GEX-46.9K-762.5K317.5K-279.8K138.9K
Net DEX-86.4K-2.4M4.1M3.7M-833.4K
Net VEX-21.3K-26.3K-18.1K-21.6K-18.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.682.240.932.01
Total Volume496.864333749343451
Total OI1,730.2731,4332,0101,5981,600

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$196.15$200.0024.1%6.9%30.3%28.6%26.1%4.8%-1.0%-279.8K3.7M-21.6K0.9317.14178165826772
2018-05-02$193.29$200.0024.0%6.9%30.3%28.4%25.8%5.4%-0.7%-276.8K4.1M-22.5K0.9720.93180174874752
2018-05-03$194.12$200.0023.7%6.6%30.4%27.3%25.1%5.1%1.3%-297.2K3.9M-22.3K1.0722.29167178886762
2018-05-04$200.05$200.0020.6%6.1%31.1%16.0%24.0%4.4%2.1%-207.2K1.4M-23.3K1.0720.85175188894757
2018-05-07$201.76$200.0021.9%6.0%31.2%20.7%23.5%4.1%2.3%-68.7K227.7K-22.6K1.2321.12149184910762
2018-05-08$204.12$200.0021.2%6.1%31.4%18.0%21.0%4.5%2.0%129.3K-1.3M-22.4K0.6866.59391265915762
2018-05-09$201.93$200.0020.9%6.0%31.5%17.0%21.8%4.6%2.1%-23.6K32.4K-26.3K0.8870.913983511,054949
2018-05-10$204.35$200.0020.6%5.9%31.5%15.8%23.0%4.2%2.7%260.7K-1.5M-25.9K2.2227.591543421,061949
2018-05-11$204.40$200.0021.1%6.0%30.9%17.7%22.8%3.7%2.6%317.5K-2.0M-25.4K1.7377.261983421,061949
2018-05-14$202.32$200.0021.2%6.1%30.1%18.3%23.0%3.5%1.6%-210.3K-31.2K-22.6K1.7376.361983431,011949
2018-05-15$198.82$200.0020.9%6.0%30.3%17.1%23.1%4.0%1.7%-568.9K2.4M-21.3K1.7777.831983501,011950
2018-05-16$199.47$200.0020.5%5.9%30.3%15.6%22.8%3.7%2.1%-762.5K2.3M-20.3K1.6978.692053471,011954
2018-05-17$203.23$200.0020.4%5.9%30.7%15.4%22.6%3.6%3.9%-421.0K-667.1K-19.7K1.5878.252193451,001961
2018-05-18$204.41$200.0021.6%6.2%28.8%19.6%22.0%3.8%0.2%90.3K-2.0M-19.7K2.2487.952315171,018961
2018-05-21$206.16$200.0017.8%5.1%28.9%5.8%21.9%3.8%-0.1%117.9K-1.6M-18.7K2.2188.66154340740693
2018-05-22$204.43$200.0021.5%6.2%22.5%19.3%21.8%2.5%-1.0%133.4K-1.4M-19.6K2.0092.27167334757746
2018-05-23$205.24$200.0018.4%5.3%20.3%8.1%21.5%3.0%1.6%79.7K-1.1M-19.8K1.9483.64159309753769
2018-05-24$205.41$200.0017.9%5.1%19.9%6.4%21.4%3.4%0.7%97.2K-1.0M-19.5K1.9482.57158307764779
2018-05-25$207.40$200.0017.8%5.1%20.1%5.8%20.5%4.8%0.6%205.7K-2.2M-19.2K1.6887.61183307774780
2018-05-29$206.78$200.0019.7%5.7%18.4%12.8%23.3%3.3%0.6%238.4K-2.1M-19.4K1.9885.21156309809780
2018-05-30$207.83$210.0019.1%5.5%18.3%10.5%23.5%3.5%-0.4%275.7K-2.4M-18.5K1.9884.46156309817783
2018-05-31$203.94$210.0022.4%6.4%18.9%22.7%23.6%3.5%-1.2%138.9K-833.4K-18.1K2.0186.04150301817783