LII Options History — January 2019

In January 2019, LII traded between $212.62 and $229.63. ATM implied volatility averaged 29.4%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.5% (HV 20d: 25.0%). Max pain ranged from $210.00 to $220.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 23.64.

Notable Days

  • 2019-01-31: Highest Volume — 675 contracts
  • 2019-01-04: Largest IV drop — 14.8% change
  • 2019-01-30: Highest IV Rank — 58.9%
  • 2019-01-30: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$222.88$212.62$229.63$215.25$229.63
Max Pain$219.52$210.00$220.00$210.00$220.00
ATM IV29.4%26.3%32.9%27.4%30.8%
Expected Move8.5%7.5%9.4%7.9%7.5%
HV 20d25.0%19.3%32.5%32.5%20.4%
HV 60d28.0%24.7%30.6%30.0%25.2%
IV Rank45.6%33.9%58.9%38.0%50.7%
IV Percentile88.6%68.7%98.0%79.8%94.8%
Term Structure-2.1%-5.1%1.8%1.8%-0.9%
VWIV33.5%25.9%57.7%26.5%25.9%
Skew 25d5.4%3.6%6.5%6.4%5.0%
Skew 10d13.8%9.0%22.9%13.2%11.3%
Call IV 25d27.7%24.1%29.3%26.8%24.1%
Put IV 25d33.1%29.1%35.7%33.2%29.1%
Bid-Ask Spread %60.9847.4072.8872.4766.50
Gamma HHI0.250.110.530.190.11
Net GEX-33.4K-332.5K427.9K-71.0K-228.7K
Net DEX703.6K-1.8M3.3M1.3M919.4K
Net VEX-41.0K-66.0K-28.0K-35.9K-66.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio23.640.63201.000.634.36
Total Volume206.5241367513675
Total OI1,737.9521,3542,6341,5702,634

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$215.25$210.0027.4%7.9%32.5%38.0%26.5%6.4%1.8%-71.0K1.3M-35.9K0.6372.47855341,036
2019-01-03$212.62$220.0030.9%9.2%28.0%51.2%29.7%6.4%-2.4%-154.1K2.1M-35.6K0.8851.10875371,038
2019-01-04$219.69$220.0026.3%8.5%30.4%33.9%28.6%4.8%-1.7%75.6K9.7K-33.7K0.8855.02875371,039
2019-01-07$219.35$220.0028.2%8.6%30.4%40.9%53.8%5.5%-1.9%73.4K-26.9K-32.6K0.0053.790775371,039
2019-01-08$221.34$220.0027.6%8.4%30.5%38.6%57.7%3.6%-1.3%140.3K-207.6K-32.5K0.0054.810885371,087
2019-01-09$224.39$220.0029.2%8.4%28.0%44.9%28.4%4.4%-1.0%317.3K-1.7M-33.2K90.0062.201905371,087
2019-01-10$224.85$220.0029.3%8.4%28.0%45.4%28.2%4.2%-1.2%376.0K-1.8M-32.3K7.5570.5711835381,087
2019-01-11$224.66$220.0029.4%8.4%26.0%45.6%29.1%5.4%-1.5%387.8K-1.7M-31.8K7.2764.5511805381,088
2019-01-14$224.13$220.0028.8%8.2%25.7%43.1%32.3%5.5%-1.0%387.1K-1.7M-28.0K0.0067.950155381,076
2019-01-15$224.55$220.0030.6%8.8%24.2%50.1%33.8%5.5%-2.2%427.9K-1.4M-28.8K0.0047.400405381,076
2019-01-16$220.09$220.0029.3%8.4%24.7%45.4%30.5%5.3%-1.7%-110.1K1.5M-36.6K201.0052.8112015381,218
2019-01-17$220.71$220.0029.2%8.4%23.3%44.9%28.9%5.3%-2.0%-178.8K1.1M-34.1K2.6354.21762005391,227
2019-01-18$225.31$220.0026.8%7.7%23.5%35.8%31.6%5.0%-1.5%-179.0K-560.0K-35.1K2.9757.89772296031,236
2019-01-22$223.06$220.0030.6%8.8%23.5%50.0%0.0%5.6%-3.2%-206.6K1.3M-35.3K2.0959.7911232881,066
2019-01-23$224.64$220.0030.8%8.8%23.0%50.8%52.8%5.8%-3.4%-213.3K1.3M-37.0K36.5860.61124392991,088
2019-01-24$225.70$220.0028.6%8.2%22.8%42.5%29.5%5.8%-2.7%-292.5K2.5M-54.6K20.2862.80255073051,504
2019-01-25$225.09$220.0028.4%8.1%19.8%41.8%29.3%6.2%-2.8%-307.3K2.9M-58.4K10.1365.22303043191,572
2019-01-28$223.77$220.0032.4%9.3%19.3%56.9%32.7%5.9%-4.6%-326.8K3.3M-60.0K2.4459.599223221,584
2019-01-29$226.96$220.0030.3%8.7%19.8%49.0%30.3%6.5%-4.3%-286.2K2.5M-58.4K8.3868.43322683301,606
2019-01-30$224.65$220.0032.9%9.4%20.2%58.9%30.6%5.9%-5.1%-332.5K3.2M-61.9K3.8772.881355223521,843
2019-01-31$229.63$220.0030.8%7.5%20.4%50.7%25.9%5.0%-0.9%-228.7K919.4K-66.0K4.3666.501265494422,192