LII Options History — November 2018

In November 2018, LII traded between $211.88 and $225.96. ATM implied volatility averaged 25.9%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.9% (HV 20d: 29.8%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.99.

Notable Days

  • 2018-11-12: Highest Volume — 1,515 contracts
  • 2018-11-07: Largest IV drop — 25.2% change
  • 2018-11-12: Highest IV Rank — 47.6%
  • 2018-11-01: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$215.72$211.88$225.96$212.08$225.96
Max Pain$209.05$200.00$210.00$200.00$210.00
ATM IV25.9%22.0%29.8%28.0%24.9%
Expected Move7.3%6.7%8.0%8.0%7.1%
HV 20d29.8%20.9%35.4%35.3%21.1%
HV 60d23.7%23.1%24.9%23.4%24.9%
IV Rank33.0%18.3%47.6%40.6%29.2%
IV Percentile75.3%51.2%93.3%87.7%69.0%
Term Structure-0.6%-2.2%1.1%-2.0%-1.7%
VWIV27.6%23.1%30.5%30.5%30.4%
Skew 25d4.7%4.3%5.2%5.0%5.2%
Skew 10d10.8%9.1%12.4%10.7%12.2%
Call IV 25d23.5%21.9%25.7%25.7%24.0%
Put IV 25d28.2%26.3%30.7%30.7%29.2%
Bid-Ask Spread %26.7117.7470.0920.1570.06
Gamma HHI0.310.200.380.200.37
Net GEX568.6K-183.0K1.2M-183.0K1.1M
Net DEX-6.2M-13.9M-973.8K-973.8K-13.9M
Net VEX-46.7K-55.7K-34.5K-45.7K-50.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.990.575.654.164.75
Total Volume7335711,515826661
Total OI2,7282,4583,6212,5242,652

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$212.08$200.0028.0%8.0%35.3%40.6%30.5%5.0%-2.0%-183.0K-973.8K-45.7K4.1620.151606666941,830
2018-11-02$212.82$200.0027.6%7.9%35.4%39.1%29.3%5.1%-1.8%-156.5K-1.4M-44.6K4.1720.071606676891,830
2018-11-05$214.05$210.0029.7%7.5%35.4%47.2%28.2%4.6%-0.2%-102.8K-2.3M-41.7K4.5821.771496836891,832
2018-11-06$212.29$210.0029.4%7.5%35.0%46.0%27.2%4.3%-0.2%-92.5K-1.8M-39.9K4.4219.871496596821,860
2018-11-07$216.57$210.0022.0%6.7%33.4%18.3%24.2%4.3%1.0%77.4K-4.8M-34.5K4.7820.811406696821,864
2018-11-08$214.81$210.0025.0%7.0%31.6%29.6%27.0%4.6%0.7%87.8K-3.7M-35.2K5.6533.831216846821,874
2018-11-09$211.95$210.0024.1%7.0%31.6%26.1%26.4%4.6%0.6%60.6K-1.9M-38.6K4.4819.161235516821,905
2018-11-12$213.50$210.0029.8%7.1%31.2%47.6%23.1%4.3%0.5%139.9K-3.1M-35.4K0.5720.759645516851,934
2018-11-13$218.95$210.0025.0%6.8%31.9%29.4%24.2%4.6%1.1%1.0M-12.7M-54.2K1.8920.692785251,5001,935
2018-11-14$215.52$210.0024.0%6.9%32.0%25.8%26.6%4.6%1.0%1.2M-10.9M-55.4K3.6119.381465271,6371,936
2018-11-15$215.24$210.0024.5%7.0%31.3%27.5%28.1%5.0%0.7%1.1M-10.8M-55.7K3.7825.131455481,6371,956
2018-11-16$216.01$210.0023.7%6.8%29.6%24.6%27.4%4.5%1.0%798.1K-12.0M-53.4K3.7120.031435301,6491,972
2018-11-19$216.51$210.0023.5%6.7%29.6%24.0%27.2%4.8%-0.9%869.1K-6.5M-52.4K3.9218.661174591,3661,093
2018-11-20$213.30$210.0026.2%7.5%30.1%34.2%27.2%5.2%-1.8%714.2K-4.9M-50.5K4.1917.741104611,3661,092
2018-11-21$213.59$210.0025.7%7.4%30.1%32.3%26.1%4.6%-1.2%723.5K-4.4M-51.6K4.1923.081104611,3681,111
2018-11-23$211.88$210.0026.3%7.5%28.4%34.5%30.1%4.8%-1.7%630.8K-2.8M-47.5K4.2030.801104621,3681,111
2018-11-26$216.58$210.0024.6%7.0%25.6%28.0%26.8%4.7%-1.5%905.6K-6.6M-47.6K4.2820.681104711,3681,115
2018-11-27$214.75$210.0026.8%7.7%26.0%36.4%29.1%5.2%-1.8%800.3K-4.3M-47.5K3.9120.781204691,3681,127
2018-11-28$220.53$210.0026.8%7.7%20.9%36.1%30.1%4.8%-1.9%1.1M-9.5M-48.5K3.9927.301345341,3801,127
2018-11-29$223.30$210.0026.9%7.7%20.9%36.8%30.1%4.8%-2.2%1.1M-11.7M-50.6K4.5070.091215451,3971,243
2018-11-30$225.96$210.0024.9%7.1%21.1%29.2%30.4%5.2%-1.7%1.1M-13.9M-50.7K4.7570.061155461,3941,258