LII Options History — October 2018

In October 2018, LII traded between $192.99 and $218.65. ATM implied volatility averaged 26.5%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.5% (HV 20d: 21.0%). Max pain ranged from $200.00 to $230.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 5.42.

Notable Days

  • 2018-10-11: Highest Volume — 1,490 contracts
  • 2018-10-26: Largest IV spike — 16.9% change
  • 2018-10-12: Highest IV Rank — 51.3%
  • 2018-10-12: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$205.26$192.99$218.65$216.42$211.66
Max Pain$211.74$200.00$230.00$230.00$200.00
ATM IV26.5%20.3%30.3%20.9%29.0%
Expected Move7.7%5.8%8.7%6.0%8.3%
HV 20d21.0%12.3%35.9%12.8%35.9%
HV 60d19.7%18.2%23.6%19.1%23.6%
IV Rank37.0%14.8%51.3%17.3%44.7%
IV Percentile80.4%33.3%96.0%44.4%92.9%
Term Structure-1.5%-3.2%4.3%3.5%-2.3%
VWIV29.3%24.5%34.4%26.7%34.2%
Skew 25d4.9%4.0%5.6%4.6%4.7%
Skew 10d11.3%9.4%13.2%9.9%11.2%
Call IV 25d25.3%19.1%28.4%20.3%27.2%
Put IV 25d30.1%23.5%33.5%24.9%31.9%
Bid-Ask Spread %17.5612.4124.6821.2820.06
Gamma HHI0.190.130.260.130.22
Net GEX-276.9K-480.3K-115.6K-133.0K-122.3K
Net DEX4.3M-842.3K10.4M586.3K-842.3K
Net VEX-41.1K-47.9K-32.0K-34.2K-46.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.423.418.134.875.22
Total Volume1,019.3918571,4908981,039
Total OI1,935.0871,4632,3441,4642,344

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$216.42$230.0020.9%6.0%12.8%17.3%26.7%4.6%3.5%-133.0K586.3K-34.2K4.8721.281537454001,064
2018-10-02$217.56$230.0020.8%6.0%12.6%16.7%24.8%4.0%3.8%-124.1K300.1K-33.4K4.8419.381547454001,064
2018-10-03$218.65$230.0020.3%5.8%12.3%14.8%24.5%4.4%4.3%-115.6K1.9K-32.3K5.0020.431497454001,063
2018-10-04$214.50$220.0023.6%7.5%13.7%26.8%25.8%4.6%-2.0%-136.9K1.2M-33.6K4.6316.531597364001,073
2018-10-05$214.25$220.0024.0%7.6%13.1%28.3%26.0%4.5%-2.1%-141.1K1.3M-33.1K5.1816.971427363931,074
2018-10-08$215.55$220.0021.9%7.3%13.1%20.8%26.7%5.1%-2.0%-133.4K1.0M-32.0K5.9917.221378203941,077
2018-10-09$212.05$220.0025.4%7.8%13.4%33.3%26.9%4.9%-2.7%-179.3K2.3M-35.1K5.5415.121518364001,130
2018-10-10$205.19$220.0028.0%8.0%16.6%42.9%28.0%4.9%-2.5%-240.7K4.4M-37.0K5.9115.031287564151,152
2018-10-11$199.51$220.0030.2%8.7%18.3%50.8%31.0%5.1%-3.1%-285.2K6.2M-35.9K3.4113.673381,1524101,181
2018-10-12$196.87$210.0030.3%8.7%18.4%51.3%31.3%5.4%-3.2%-419.9K8.9M-47.9K8.1318.531411,1476221,579
2018-10-15$200.50$210.0028.8%8.2%20.3%45.6%31.0%5.3%-3.1%-393.1K7.1M-45.6K8.0612.411421,1456241,604
2018-10-16$203.45$210.0028.2%8.1%21.4%43.7%30.7%5.0%-2.9%-321.1K5.7M-45.7K7.5413.871501,1316261,596
2018-10-17$200.49$210.0028.3%8.1%21.5%43.8%30.5%5.2%-3.0%-370.3K7.0M-44.4K7.5314.591501,1306341,596
2018-10-18$197.43$210.0029.9%8.6%21.8%49.6%34.4%5.6%-3.1%-480.3K8.2M-43.8K6.2415.821509366351,585
2018-10-19$192.99$210.0029.3%8.4%22.6%47.5%31.1%5.5%-3.1%-355.8K10.4M-40.9K5.8614.381599316351,591
2018-10-22$195.14$200.0026.4%7.6%23.4%37.1%28.3%4.5%-1.3%-463.9K7.7M-43.5K3.5416.652318176091,511
2018-10-23$198.45$200.0026.8%7.7%24.6%38.6%31.3%5.2%-1.4%-434.4K6.4M-46.0K5.0419.321567876231,548
2018-10-24$199.16$200.0027.8%8.0%24.4%40.8%30.2%5.4%-1.9%-356.3K5.7M-47.2K3.6618.211846746361,496
2018-10-25$205.58$200.0024.3%7.0%27.5%27.8%28.9%4.8%-0.4%-185.8K2.0M-46.3K4.7719.521507166621,514
2018-10-26$198.36$200.0028.4%8.1%29.6%43.0%29.8%4.5%-1.5%-397.1K6.0M-47.1K4.8320.591477106711,544
2018-10-29$198.35$200.0029.9%8.6%29.6%48.8%32.0%4.9%-2.4%-419.7K6.4M-47.2K4.5324.681557026761,566
2018-10-30$208.86$200.0027.3%7.8%35.6%38.3%30.6%4.4%-1.6%-159.8K536.1K-46.4K4.2619.561687166761,614
2018-10-31$211.66$200.0029.0%8.3%35.9%44.7%34.2%4.7%-2.3%-122.3K-842.3K-46.0K5.2220.061678726901,654