LII Options History — June 2018

In June 2018, LII traded between $194.16 and $213.24. ATM implied volatility averaged 21.3%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.5% (HV 20d: 17.8%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2018-06-12: Highest Volume — 1,072 contracts
  • 2018-06-11: Largest IV spike — 16.3% change
  • 2018-06-27: Highest IV Rank — 30.7%
  • 2018-06-27: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$205.16$194.16$213.24$204.80$200.61
Max Pain$207.62$200.00$210.00$210.00$210.00
ATM IV21.3%18.4%24.7%21.2%21.8%
Expected Move6.0%5.1%7.1%6.1%6.3%
HV 20d17.8%15.3%21.9%18.9%21.9%
HV 60d23.9%23.1%24.6%24.0%24.1%
IV Rank18.5%8.0%30.7%18.2%20.5%
IV Percentile49.7%20.2%78.6%50.0%52.8%
Term Structure1.5%-1.0%3.3%-1.0%1.6%
VWIV20.4%17.4%23.7%23.0%22.2%
Skew 25d4.1%3.0%5.7%3.4%3.6%
Skew 10d9.6%5.0%13.1%13.1%12.6%
Call IV 25d19.0%16.3%23.0%18.6%20.8%
Put IV 25d23.2%20.4%28.0%22.0%24.4%
Bid-Ask Spread %74.1266.0486.2786.2773.04
Gamma HHI0.370.120.860.380.14
Net GEX-154.5K-2.4M646.5K166.3K-4.3K
Net DEX-1.5M-5.9M5.3M-1.0M-342.2K
Net VEX-14.8K-17.5K-13.2K-17.4K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.496.102.050.78
Total Volume396.192021,072458292
Total OI1,310.9057052,3211,602822

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$204.80$210.0021.2%6.1%18.9%18.2%23.0%3.4%-1.0%166.3K-1.0M-17.4K2.0586.27150308817785
2018-06-04$205.54$200.0019.6%5.7%15.9%12.5%20.5%4.3%1.8%216.5K-1.4M-17.0K2.0572.65150308817791
2018-06-05$206.97$200.0020.2%5.7%15.8%14.6%20.5%3.8%1.2%294.5K-2.0M-16.3K2.0567.68150308817791
2018-06-06$206.75$200.0019.3%5.3%15.4%11.3%17.8%4.2%3.3%293.9K-1.9M-15.9K1.7466.50177308817791
2018-06-07$209.36$200.0019.9%5.4%15.3%13.6%17.4%3.6%2.5%431.0K-3.2M-16.3K1.7569.17177309847790
2018-06-08$213.24$200.0019.2%5.3%16.0%11.0%17.7%3.9%2.2%545.3K-5.5M-14.4K1.6781.37197329847788
2018-06-11$210.44$210.0022.4%5.1%16.9%22.4%18.1%3.5%2.9%600.6K-4.0M-15.1K2.0975.81157328894808
2018-06-12$212.92$210.0021.3%5.4%16.7%18.4%19.4%3.9%2.6%646.5K-5.9M-15.0K6.1084.70151921916809
2018-06-13$208.17$210.0018.9%5.4%17.6%9.8%19.6%3.1%2.5%-1.8M5.3M-17.5K2.0078.161663329241,360
2018-06-14$211.58$210.0018.9%5.4%18.3%9.8%19.3%3.8%2.7%-2.4M-3.0M-16.3K1.8272.301753189331,360
2018-06-15$211.59$210.0018.4%5.3%17.3%8.0%19.1%4.7%2.8%-2.4M-5.4M-13.9K1.6673.921823039541,367
2018-06-18$209.19$210.0020.7%5.9%17.9%16.3%20.9%4.6%0.4%79.9K-1.3M-14.0K0.7877.32131102297408
2018-06-19$206.32$210.0019.8%5.7%18.4%13.2%21.4%3.0%2.1%55.2K-949.1K-14.1K0.5472.9213171297418
2018-06-20$204.95$210.0022.8%6.5%18.3%24.0%20.5%4.1%-0.1%29.4K-665.8K-13.7K0.5370.6713371297420
2018-06-21$201.79$210.0022.3%6.4%19.1%22.0%21.6%5.7%1.4%11.7K-301.8K-13.3K0.4979.2315275303422
2018-06-22$200.14$210.0022.3%6.4%19.2%22.3%19.5%3.7%1.5%7.1K-126.9K-13.7K0.5271.5115379322432
2018-06-25$198.18$210.0024.4%7.0%19.0%29.7%22.3%4.1%0.6%-2.4K114.2K-13.4K0.4973.5816279323432
2018-06-26$196.84$210.0024.3%7.0%19.1%29.5%21.2%5.7%0.9%-7.0K123.0K-13.4K0.4966.0416079332432
2018-06-27$194.78$210.0024.7%7.1%19.0%30.7%23.7%5.2%0.3%-7.5K320.0K-13.2K0.5471.2716489335432
2018-06-28$194.16$210.0024.4%7.0%18.1%29.9%23.3%5.0%-0.0%-4.6K239.2K-13.4K0.7972.49164129340442
2018-06-29$200.61$210.0021.8%6.3%21.9%20.5%22.2%3.6%1.6%-4.3K-342.2K-14.3K0.7873.04164128340482