LII Options History — December 2018

In December 2018, LII traded between $206.51 and $225.97. ATM implied volatility averaged 28.1%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.7% (HV 20d: 29.8%). Max pain ranged from $190.00 to $210.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.40.

Notable Days

2018-12-13: Highest Volume — 959 contracts
2018-12-10: Largest IV spike — 22.8% change
2018-12-10: Highest IV Rank — 64.1%
2018-12-24: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$213.85	$206.51	$225.97	$225.97	$218.67
Max Pain	$209.00	$190.00	$210.00	$210.00	$210.00
ATM IV	28.1%	24.6%	34.2%	24.6%	27.0%
Expected Move	7.8%	7.0%	8.6%	7.0%	7.7%
HV 20d	29.8%	21.1%	33.6%	21.1%	32.2%
HV 60d	28.2%	24.8%	30.1%	24.8%	29.8%
IV Rank	41.3%	27.8%	64.1%	27.8%	36.9%
IV Percentile	83.7%	65.1%	98.4%	65.1%	77.4%
Term Structure	0.8%	-3.0%	5.1%	-1.7%	3.3%
VWIV	26.3%	21.1%	32.1%	25.6%	26.0%
Skew 25d	5.2%	4.6%	6.3%	4.6%	5.4%
Skew 10d	11.9%	9.1%	13.6%	9.1%	12.8%
Call IV 25d	25.7%	23.7%	28.6%	23.7%	25.5%
Put IV 25d	30.9%	28.3%	34.9%	28.3%	30.9%
Bid-Ask Spread %	58.24	46.87	72.28	72.28	70.52
Gamma HHI	0.30	0.14	0.55	0.38	0.28
Net GEX	199.3K	-874.2K	1.2M	1.2M	52.5K
Net DEX	-901.6K	-14.7M	5.5M	-14.7M	-19.8K
Net VEX	-36.1K	-45.7K	-26.5K	-44.4K	-36.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.40	0.00	7.56	0.78	0.17
Total Volume	213	4	959	32	7
Total OI	2,228.4	1,222	2,750	2,647	1,563

Daily Data (20 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
2018-12-03	$225.97	$210.00	24.6%	7.0%	21.1%	27.8%	25.6%	4.6%	-1.7%	1.2M	-14.7M	-44.4K	0.78	72.28	18	14	1,388	1,259
2018-12-04	$215.35	$210.00	27.1%	7.8%	27.8%	37.5%	21.1%	5.2%	-2.4%	782.7K	-4.6M	-45.7K	3.18	69.89	17	54	1,394	1,268
2018-12-05	$215.33	$210.00	28.0%	8.0%	27.6%	40.8%	21.7%	5.9%	-3.0%	753.6K	-4.0M	-43.9K	3.18	71.42	17	54	1,394	1,268
2018-12-06	$216.25	$210.00	28.1%	7.3%	26.7%	41.3%	23.9%	5.1%	0.9%	832.3K	-5.0M	-44.5K	0.00	47.68	7	0	1,394	1,292
2018-12-07	$215.16	$210.00	27.9%	7.2%	26.6%	40.2%	23.8%	5.1%	1.1%	758.4K	-3.6M	-42.2K	2.84	50.40	19	54	1,395	1,292
2018-12-10	$208.36	$210.00	34.2%	8.1%	28.6%	64.1%	25.9%	5.0%	-0.2%	196.2K	1.8M	-38.1K	7.56	46.97	9	68	1,395	1,302
2018-12-11	$208.17	$210.00	33.6%	8.0%	28.5%	61.8%	26.3%	4.7%	0.1%	115.3K	2.0M	-33.5K	4.00	46.87	22	88	1,390	1,289
2018-12-12	$214.89	$210.00	27.6%	7.9%	29.4%	39.4%	25.4%	5.1%	0.5%	782.3K	-3.3M	-37.1K	4.70	50.20	30	141	1,393	1,323
2018-12-13	$217.65	$210.00	24.9%	7.1%	29.2%	29.0%	23.6%	5.0%	1.6%	1.1M	-5.0M	-34.9K	0.14	55.49	843	116	1,397	1,353
2018-12-14	$212.99	$210.00	27.0%	7.7%	30.2%	36.9%	25.9%	5.0%	0.7%	-103.4K	886.2K	-30.2K	0.10	55.25	857	87	836	1,364
2018-12-17	$209.58	$210.00	27.8%	8.0%	30.7%	39.9%	26.1%	4.8%	0.5%	-326.1K	2.5M	-29.3K	0.33	53.12	3	1	859	1,369
2018-12-18	$214.71	$210.00	27.7%	7.9%	32.0%	39.8%	26.4%	4.9%	0.4%	64.8K	-1.6M	-26.5K	2.85	54.39	20	57	859	1,339
2018-12-19	$211.62	$190.00	27.5%	7.9%	32.0%	39.0%	26.6%	5.0%	0.4%	-420.8K	864.9K	-29.9K	2.65	58.75	31	82	869	1,395
2018-12-20	$209.64	$210.00	27.5%	7.9%	32.1%	38.9%	27.8%	5.4%	0.6%	-874.2K	2.6M	-29.9K	1.61	56.81	54	87	881	1,420
2018-12-21	$207.38	$210.00	28.5%	8.2%	32.2%	42.7%	30.3%	5.4%	0.5%	-167.1K	5.5M	-30.1K	4.19	57.34	63	264	904	1,438
2018-12-24	$206.51	$210.00	29.9%	8.6%	31.1%	47.6%	32.1%	6.3%	3.0%	-266.0K	3.6M	-36.1K	4.43	55.14	74	328	281	941
2018-12-26	$213.82	$210.00	29.8%	8.5%	33.6%	47.3%	30.9%	5.4%	2.9%	-231.6K	2.1M	-35.3K	2.61	59.08	41	107	289	992
2018-12-27	$217.51	$210.00	27.0%	7.7%	32.8%	36.9%	27.9%	5.9%	5.1%	-191.0K	1.3M	-35.8K	1.26	65.02	114	144	306	1,000
2018-12-28	$217.36	$210.00	27.2%	7.8%	32.4%	37.5%	28.0%	5.2%	2.4%	-76.8K	796.9K	-37.8K	1.33	68.22	115	153	445	1,032
2018-12-31	$218.67	$210.00	27.0%	7.7%	32.2%	36.9%	26.0%	5.4%	3.3%	52.5K	-19.8K	-36.5K	0.17	70.52	6	1	528	1,035