LII Options History — August 2018

In August 2018, LII traded between $213.77 and $224.94. ATM implied volatility averaged 21.1%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 1.3% (HV 20d: 22.4%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.31.

Notable Days

  • 2018-08-29: Highest Volume — 663 contracts
  • 2018-08-13: Largest IV spike — 42.2% change
  • 2018-08-13: Highest IV Rank — 43.3%
  • 2018-08-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$220.12$213.77$224.94$214.27$222.48
Max Pain$207.39$200.00$210.00$210.00$210.00
ATM IV21.1%19.6%28.1%23.1%20.4%
Expected Move5.9%5.6%6.6%6.6%5.9%
HV 20d22.4%16.8%26.0%26.0%16.8%
HV 60d21.6%21.1%22.1%21.4%21.7%
IV Rank17.7%12.3%43.3%25.0%15.4%
IV Percentile43.4%32.1%92.9%66.7%33.7%
Term Structure0.8%-0.8%2.2%-0.8%0.2%
VWIV22.7%20.0%25.0%21.4%22.9%
Skew 25d4.4%3.4%4.9%3.7%4.7%
Skew 10d9.6%6.6%10.8%6.6%10.1%
Call IV 25d18.8%18.1%20.4%20.4%18.1%
Put IV 25d23.2%22.2%24.8%24.2%22.8%
Bid-Ask Spread %19.9315.0833.9615.0820.88
Gamma HHI0.350.210.470.260.43
Net GEX295.6K60.2K449.4K251.5K301.9K
Net DEX-4.0M-6.6M-1.9M-2.6M-4.3M
Net VEX-22.9K-27.0K-18.1K-22.3K-25.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.652.440.912.44
Total Volume441.435268663273663
Total OI1,474.0431,3211,7721,4001,646

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$214.27$210.0023.1%6.6%26.0%25.0%21.4%3.7%-0.8%251.5K-2.6M-22.3K0.9115.08143130661739
2018-08-02$217.38$210.0020.0%5.7%25.7%13.7%21.6%3.4%-0.0%352.6K-3.5M-21.2K1.1818.26123145649739
2018-08-03$217.72$210.0019.6%5.6%25.7%12.3%20.6%3.4%0.3%360.7K-3.5M-22.6K1.0719.91134144658763
2018-08-06$220.22$200.0020.7%5.8%24.0%16.2%23.1%4.1%2.0%442.0K-4.3M-21.5K1.0418.85137143642762
2018-08-07$220.19$200.0020.3%5.7%24.1%14.9%22.3%4.3%2.2%449.4K-4.3M-21.3K0.7017.10206144648763
2018-08-08$216.52$200.0019.7%5.8%24.9%12.9%24.5%4.9%2.1%229.0K-2.9M-21.2K0.7321.66200147644777
2018-08-09$217.75$200.0020.0%5.7%24.6%13.8%23.3%4.6%2.1%270.9K-3.3M-20.7K0.7220.99195141642777
2018-08-10$215.63$200.0019.8%5.8%24.8%13.0%22.0%4.5%2.1%160.5K-2.6M-20.4K0.6616.89214141642777
2018-08-13$213.77$200.0028.1%6.5%24.5%43.3%23.2%4.7%1.0%60.2K-1.9M-19.5K0.6515.72212138645781
2018-08-14$218.37$210.0021.9%5.8%25.4%20.5%21.5%4.7%2.1%213.4K-3.1M-19.0K0.7118.86196140644804
2018-08-15$222.14$210.0020.1%5.8%26.0%14.3%20.0%4.1%2.2%302.0K-4.6M-18.1K0.7323.61226164642808
2018-08-16$221.05$210.0021.9%6.3%26.0%20.7%20.8%4.6%1.5%398.9K-4.4M-19.9K0.7122.79362257683806
2018-08-17$222.57$210.0021.8%6.2%25.9%20.3%20.9%4.8%1.5%283.8K-6.6M-24.1K0.6918.78370257847925
2018-08-20$224.94$210.0021.7%6.2%20.0%20.1%24.1%4.8%0.1%330.6K-5.3M-24.4K1.3433.96158211587734
2018-08-21$221.59$210.0020.3%5.8%20.8%14.7%23.9%4.4%0.1%277.0K-4.2M-23.8K1.1923.74177211588745
2018-08-22$223.13$210.0020.6%5.9%19.4%16.1%24.0%4.5%-0.1%325.3K-4.9M-24.1K1.9722.94167329606765
2018-08-23$220.99$210.0020.6%5.9%19.1%15.9%24.3%4.7%0.1%284.9K-4.1M-25.2K1.8619.07175326623872
2018-08-24$220.12$210.0020.7%5.9%19.1%16.3%25.0%4.4%-0.0%249.5K-3.6M-26.1K2.1219.70154326614891
2018-08-27$222.28$210.0021.1%6.1%19.1%18.0%24.4%4.9%-0.2%282.2K-4.1M-26.4K1.8317.87193353619906
2018-08-28$224.25$210.0020.8%6.0%18.2%16.8%23.1%4.5%-0.0%359.4K-5.0M-26.1K1.9819.02193382656925
2018-08-29$222.69$210.0020.8%6.0%17.4%16.6%23.4%4.8%0.0%306.3K-4.4M-27.0K2.4416.40193470656955
2018-08-30$222.68$210.0020.6%5.9%16.8%15.9%22.9%4.7%0.1%307.8K-4.3M-26.7K2.4416.35193470663984
2018-08-31$222.48$210.0020.4%5.9%16.8%15.4%22.9%4.7%0.2%301.9K-4.3M-25.5K2.4420.88193470662984