LII Options History — July 2018

In July 2018, LII traded between $201.34 and $217.52. ATM implied volatility averaged 22.2%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.0% (HV 20d: 23.3%). Max pain ranged from $185.00 to $210.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2018-07-20: Highest Volume — 619 contracts
  • 2018-07-09: Largest IV spike — 21.4% change
  • 2018-07-18: Highest IV Rank — 36.8%
  • 2018-07-18: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$210.93$201.34$217.52$201.34$217.52
Max Pain$199.76$185.00$210.00$210.00$210.00
ATM IV22.2%17.9%26.3%19.6%20.5%
Expected Move6.6%5.6%7.5%5.6%5.9%
HV 20d23.3%20.0%26.6%21.9%25.1%
HV 60d22.6%19.7%24.3%23.5%21.2%
IV Rank21.9%6.3%36.8%12.3%15.6%
IV Percentile56.5%13.1%86.9%35.3%39.7%
Term Structure-0.7%-3.2%5.2%5.2%-0.2%
VWIV24.5%20.2%29.0%21.2%20.2%
Skew 25d3.7%2.3%5.2%2.3%3.2%
Skew 10d7.7%4.9%12.8%8.3%7.5%
Call IV 25d21.6%18.1%24.1%21.3%19.6%
Put IV 25d25.3%22.3%28.6%23.5%22.8%
Bid-Ask Spread %65.4115.5496.6379.0132.10
Gamma HHI0.360.150.720.150.31
Net GEX248.5K9.2K705.3K10.1K429.1K
Net DEX-2.3M-4.4M-465.8K-465.8K-3.9M
Net VEX-19.8K-22.9K-13.9K-14.8K-22.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.601.940.770.67
Total Volume435.286291619291330
Total OI1,179.4768241,4478241,447

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$201.34$210.0019.6%5.6%21.9%12.3%21.2%2.3%5.2%10.1K-465.8K-14.8K0.7779.01164127340484
2018-07-03$202.00$210.0023.0%6.6%21.8%24.8%20.4%4.7%2.2%9.2K-488.1K-13.9K0.8096.63164132340490
2018-07-05$205.84$185.0018.8%6.5%22.9%9.5%23.5%3.6%-0.4%12.1K-839.4K-14.1K0.8653.95203174340490
2018-07-06$206.41$185.0017.9%6.7%22.5%6.3%23.4%4.3%-0.3%45.2K-1.3M-17.4K0.8667.91202174401520
2018-07-09$212.47$185.0021.8%7.2%23.9%20.2%27.4%3.7%-1.8%182.5K-2.5M-18.0K1.0066.54262261427518
2018-07-10$212.66$190.0021.8%7.1%23.4%20.5%27.5%4.5%-2.0%352.9K-2.8M-22.9K1.0064.18262261554604
2018-07-11$211.94$190.0024.6%7.1%23.1%30.6%27.8%2.9%-1.3%307.2K-2.5M-22.1K1.0059.44262261554604
2018-07-12$214.69$190.0024.9%7.1%21.9%31.5%28.5%4.2%-1.2%459.3K-3.2M-22.0K1.2063.32238285554604
2018-07-13$215.37$190.0023.0%6.6%21.2%24.8%28.4%3.8%-1.3%537.0K-3.4M-21.8K1.2068.68238285554633
2018-07-16$212.55$190.0025.9%7.4%21.8%35.0%26.7%5.2%-3.2%223.1K-2.3M-20.6K1.0764.43250267556633
2018-07-17$214.86$210.0025.6%7.3%21.7%34.2%27.5%3.0%-2.2%440.9K-3.0M-20.6K0.9164.81292267559646
2018-07-18$214.57$200.0026.3%7.5%21.0%36.8%28.7%3.8%-2.2%307.8K-3.5M-20.5K1.0262.20249255601646
2018-07-19$216.66$200.0023.9%6.9%20.9%28.0%29.0%4.8%-1.9%705.3K-4.4M-20.8K1.0267.02254258614650
2018-07-20$215.45$200.0023.5%6.7%20.0%26.6%23.9%3.3%-1.6%159.9K-3.9M-19.8K0.6462.50377242616650
2018-07-23$206.39$200.0020.1%5.8%25.6%14.2%21.5%3.5%0.6%137.8K-1.8M-20.1K0.6074.82354213586602
2018-07-24$209.10$210.0020.7%5.9%25.6%16.3%21.8%3.1%-0.9%179.0K-1.7M-21.0K1.3875.46147203719657
2018-07-25$205.48$210.0020.8%6.0%26.4%16.8%22.2%3.2%-0.4%64.1K-597.0K-20.3K1.7676.97111195707665
2018-07-26$209.60$210.0020.6%5.9%26.6%15.9%20.8%3.3%-0.2%177.6K-1.8M-20.7K1.9475.90111215714673
2018-07-27$211.36$210.0020.3%5.8%26.6%14.8%20.7%3.1%0.4%199.0K-1.9M-21.1K1.7382.19111192709700
2018-07-30$213.33$210.0023.4%6.7%24.5%26.0%22.8%4.2%-0.9%279.9K-2.7M-21.0K0.8115.54162131708700
2018-07-31$217.52$210.0020.5%5.9%25.1%15.6%20.2%3.2%-0.2%429.1K-3.9M-22.4K0.6732.10198132706741