LII Options History — September 2018

In September 2018, LII traded between $216.02 and $228.31. ATM implied volatility averaged 19.9%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 6.2% (HV 20d: 13.7%). Max pain ranged from $210.00 to $230.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 3.18.

Notable Days

2018-09-21: Highest Volume — 1,350 contracts
2018-09-05: Largest IV drop — 16.6% change
2018-09-17: Highest IV Rank — 21.3%
2018-09-17: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$222.55	$216.02	$228.31	$224.03	$218.51
Max Pain	$227.37	$210.00	$230.00	$210.00	$230.00
ATM IV	19.9%	17.4%	22.1%	21.8%	20.1%
Expected Move	5.8%	5.2%	6.3%	6.2%	5.8%
HV 20d	13.7%	12.0%	16.7%	16.5%	12.4%
HV 60d	20.2%	18.9%	21.4%	21.4%	18.9%
IV Rank	13.5%	4.3%	21.3%	20.3%	14.0%
IV Percentile	30.6%	4.4%	55.2%	50.8%	30.2%
Term Structure	2.6%	-0.6%	4.0%	-0.6%	4.0%
VWIV	24.4%	21.3%	27.7%	24.3%	25.6%
Skew 25d	4.4%	3.7%	5.1%	5.1%	3.7%
Skew 10d	9.9%	7.6%	10.8%	10.6%	9.1%
Call IV 25d	19.0%	17.7%	20.4%	18.6%	19.1%
Put IV 25d	23.4%	22.0%	24.9%	23.7%	22.9%
Bid-Ask Spread %	20.30	17.66	24.57	18.86	19.02
Gamma HHI	0.39	0.13	0.65	0.49	0.13
Net GEX	195.8K	-345.4K	653.1K	337.0K	-121.3K
Net DEX	-3.1M	-6.8M	888.2K	-4.5M	91.8K
Net VEX	-30.2K	-36.7K	-22.8K	-22.8K	-33.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.18	1.87	4.87	2.68	4.87
Total Volume	817.105	684	1,350	718	898
Total OI	1,764.842	1,420	2,257	1,420	1,463

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$224.03	$210.00	21.8%	6.2%	16.5%	20.3%	24.3%	5.1%	-0.6%	337.0K	-4.5M	-22.8K	2.68	18.86	195	523	608	812
2018-09-05	$226.04	$210.00	18.2%	5.2%	16.7%	7.2%	21.3%	4.2%	0.8%	420.5K	-5.6M	-25.1K	2.11	18.23	220	464	664	1,047
2018-09-06	$225.71	$220.00	17.6%	5.5%	15.4%	5.1%	22.1%	4.6%	2.8%	436.7K	-5.7M	-24.9K	1.87	19.10	245	457	678	1,046
2018-09-07	$227.72	$230.00	17.4%	5.5%	15.5%	4.3%	21.7%	4.5%	2.6%	543.8K	-6.8M	-26.3K	2.21	21.21	227	501	718	1,056
2018-09-10	$225.25	$230.00	18.6%	5.5%	15.6%	8.6%	21.8%	4.6%	2.7%	439.4K	-5.3M	-28.1K	2.32	19.20	229	531	718	1,103
2018-09-11	$227.16	$230.00	18.1%	5.5%	15.2%	6.7%	22.4%	4.5%	2.9%	529.2K	-5.5M	-29.3K	2.27	17.82	230	522	720	1,145
2018-09-12	$228.31	$230.00	18.9%	5.4%	13.7%	9.9%	22.8%	4.4%	3.1%	515.0K	-6.2M	-28.9K	2.30	18.94	235	541	722	1,148
2018-09-13	$228.25	$230.00	19.1%	5.5%	12.5%	10.5%	22.4%	4.4%	3.2%	653.1K	-6.1M	-28.9K	2.67	18.17	206	551	733	1,179
2018-09-14	$226.04	$230.00	19.3%	5.5%	12.9%	11.2%	22.8%	4.5%	3.0%	505.5K	-4.7M	-29.6K	2.78	17.66	198	551	738	1,193
2018-09-17	$223.03	$230.00	22.1%	6.3%	13.7%	21.3%	24.8%	4.9%	1.9%	221.5K	-3.2M	-30.0K	2.82	20.73	202	570	738	1,221
2018-09-18	$223.38	$230.00	22.0%	6.3%	13.1%	21.0%	25.4%	4.9%	1.9%	231.8K	-3.2M	-29.8K	3.15	22.70	173	545	735	1,225
2018-09-19	$220.65	$230.00	21.8%	6.2%	12.8%	20.3%	27.3%	4.0%	2.0%	-39.3K	-2.3M	-28.7K	3.36	22.13	183	614	733	1,223
2018-09-20	$219.89	$230.00	21.6%	6.2%	12.5%	19.5%	27.5%	4.1%	2.1%	-345.4K	-1.6M	-29.7K	3.90	20.52	183	713	732	1,316
2018-09-21	$217.56	$230.00	20.6%	5.9%	12.6%	15.9%	25.2%	4.0%	2.4%	-84.5K	-283.0K	-33.4K	2.13	22.96	432	918	722	1,535
2018-09-24	$216.02	$230.00	20.8%	6.0%	12.8%	16.8%	27.7%	4.5%	3.1%	-127.8K	888.2K	-36.4K	4.66	19.83	149	694	384	1,060
2018-09-25	$216.20	$230.00	20.5%	5.9%	12.2%	15.5%	26.0%	4.6%	3.6%	-126.5K	855.5K	-36.7K	4.86	23.51	147	714	394	1,063
2018-09-26	$217.90	$230.00	20.1%	5.8%	12.1%	14.3%	25.9%	4.4%	3.7%	-135.7K	530.7K	-35.3K	4.67	20.56	153	714	394	1,083
2018-09-27	$216.84	$230.00	20.2%	5.8%	12.0%	14.4%	26.2%	4.4%	3.9%	-133.4K	665.4K	-36.1K	4.86	24.57	153	744	400	1,083
2018-09-28	$218.51	$230.00	20.1%	5.8%	12.4%	14.0%	25.6%	3.7%	4.0%	-121.3K	91.8K	-33.8K	4.87	19.02	153	745	400	1,063