LII Options History — March 2019

In March 2019, LII traded between $243.74 and $264.85. ATM implied volatility averaged 21.3%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 8.3% (HV 20d: 13.0%). Max pain ranged from $220.00 to $260.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.31.

Notable Days

  • 2019-03-14: Highest Volume — 2,084 contracts
  • 2019-03-07: Largest IV spike — 16.8% change
  • 2019-03-08: Highest IV Rank — 38.0%
  • 2019-03-26: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$252.66$243.74$264.85$246.73$264.85
Max Pain$235.56$220.00$260.00$220.00$260.00
ATM IV21.3%19.0%23.8%19.6%21.6%
Expected Move6.5%5.6%7.1%5.6%6.9%
HV 20d13.0%8.9%15.4%15.0%13.7%
HV 60d19.1%16.4%23.8%23.8%16.4%
IV Rank23.2%9.7%38.0%13.3%25.0%
IV Percentile29.8%6.3%54.4%9.5%35.7%
Term Structure2.0%1.1%2.7%1.8%2.5%
VWIV24.2%19.6%28.5%19.6%25.8%
Skew 25d4.1%2.2%4.6%3.7%4.6%
Skew 10d9.7%8.0%11.9%8.7%10.7%
Call IV 25d19.8%18.0%21.3%18.9%19.0%
Put IV 25d23.9%21.0%25.7%22.6%23.6%
Bid-Ask Spread %61.4336.6787.7187.7154.88
Gamma HHI0.300.230.540.340.25
Net GEX1.1M477.3K4.5M836.5K1.2M
Net DEX-13.5M-20.7M-8.9M-12.8M-20.7M
Net VEX-102.0K-152.7K-67.4K-69.5K-148.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.310.0010.850.222.46
Total Volume465.33372,084218460
Total OI4,590.3813,6126,2623,6786,262

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$246.73$220.0019.6%5.6%15.0%13.3%19.6%3.7%1.8%836.5K-12.8M-69.5K0.2287.71178401,2742,404
2019-03-04$245.52$220.0020.9%6.0%15.2%20.9%20.9%4.2%1.5%635.1K-11.2M-68.7K0.0086.18701,2072,414
2019-03-05$247.62$220.0020.5%5.9%15.0%18.4%20.9%4.1%1.8%731.7K-12.2M-67.4K0.0582.0610851,1982,414
2019-03-06$246.27$220.0020.3%5.8%14.8%17.2%22.3%4.1%1.7%725.3K-12.1M-73.3K0.3381.81110361,2892,409
2019-03-07$243.74$220.0023.7%6.8%15.4%37.4%21.6%4.2%1.1%539.2K-10.0M-75.0K0.3085.16110331,2902,440
2019-03-08$244.28$220.0023.8%6.8%14.8%38.0%22.6%4.1%1.1%577.8K-10.3M-74.1K0.3781.33114421,2902,441
2019-03-11$245.33$220.0022.6%6.8%14.8%30.9%23.8%4.5%1.6%680.1K-10.9M-72.0K0.2936.6735101,2882,442
2019-03-12$247.61$220.0021.5%6.7%13.2%24.3%22.6%4.6%1.8%967.2K-12.8M-67.7K0.5540.3944241,3032,452
2019-03-13$248.65$220.0021.4%6.6%8.9%23.9%24.3%4.2%1.8%1.2M-14.0M-69.3K0.6139.3756341,3532,466
2019-03-14$248.31$220.0020.6%6.6%9.0%19.2%24.0%4.4%2.3%1.5M-12.9M-70.2K0.9742.611,0581,0261,3362,467
2019-03-15$249.38$220.0020.1%6.5%9.0%16.0%24.2%2.2%2.6%4.5M-15.2M-96.5K9.1968.101131,0382,3413,454
2019-03-18$252.53$0.0020.4%6.6%9.8%18.1%0.0%4.4%2.5%1.1M-12.3M-96.3K0.8377.1171591,8392,205
2019-03-19$252.14$0.0020.5%6.3%9.7%18.8%0.0%3.5%2.0%1.1M-11.5M-102.5K2.1157.54721521,9012,261
2019-03-20$256.18$0.0019.0%6.2%11.1%9.7%24.3%3.9%2.7%1.6M-16.7M-99.5K10.8555.271101,1941,9012,340
2019-03-21$260.96$260.0021.0%6.6%12.6%21.7%27.1%3.9%2.1%1.1M-15.9M-135.8K1.1956.084885821,9363,376
2019-03-22$256.88$260.0021.0%6.6%14.1%21.5%27.1%4.4%2.1%477.3K-8.9M-152.7K1.1651.275175991,9623,760
2019-03-25$260.51$260.0022.3%6.9%14.6%29.4%0.0%4.2%1.8%823.2K-13.7M-150.5K0.2955.593191,9973,775
2019-03-26$260.99$260.0022.8%7.1%14.2%32.3%28.5%4.1%2.0%846.5K-14.9M-150.6K5.3745.29271452,0133,782
2019-03-27$263.16$260.0021.6%6.9%14.3%25.3%28.2%4.3%2.5%1.1M-16.1M-151.6K7.3550.86574192,0093,917
2019-03-28$264.16$260.0021.7%6.9%13.8%25.5%28.3%4.3%2.4%1.2M-17.9M-150.9K3.9554.721134461,9994,191
2019-03-29$264.85$260.0021.6%6.9%13.7%25.0%25.8%4.6%2.5%1.2M-20.7M-148.6K2.4654.881333272,0454,217