LII Options History — April 2019

In April 2019, LII traded between $264.80 and $276.22. ATM implied volatility averaged 21.5%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 7.0% (HV 20d: 14.5%). Max pain ranged from $260.00 to $270.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 7.67.

Notable Days

  • 2019-04-03: Highest Volume — 2,646 contracts
  • 2019-04-22: Largest IV drop — 24.9% change
  • 2019-04-18: Highest IV Rank — 57.7%
  • 2019-04-18: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$270.70$264.80$276.22$267.82$270.74
Max Pain$264.76$260.00$270.00$260.00$260.00
ATM IV21.5%17.6%27.1%19.3%19.5%
Expected Move6.5%5.6%7.8%6.3%5.6%
HV 20d14.5%12.1%16.6%13.6%16.6%
HV 60d15.1%14.7%16.1%16.1%15.2%
IV Rank24.4%1.1%57.7%11.6%12.8%
IV Percentile32.9%0.4%77.8%8.7%11.1%
Term Structure-0.7%-3.6%2.7%2.7%0.4%
VWIV24.4%20.5%28.1%27.7%21.9%
Skew 25d4.0%3.1%4.9%3.1%3.4%
Skew 10d8.8%6.7%10.7%8.7%7.1%
Call IV 25d20.9%18.0%25.3%18.8%18.1%
Put IV 25d24.9%21.5%30.2%21.9%21.5%
Bid-Ask Spread %54.2119.0369.4465.7943.78
Gamma HHI0.390.270.620.270.40
Net GEX967.2K-1.6M4.5M1.6M-1.1M
Net DEX-27.8M-44.0M-2.1M-26.8M-17.7M
Net VEX-125.7K-160.6K-106.7K-128.4K-133.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.670.4577.9077.904.30
Total Volume782.714672,6461,578975
Total OI6,407.195,3827,1266,2677,077

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-04-01$267.82$260.0019.3%6.3%13.6%11.6%27.7%3.1%2.7%1.6M-26.8M-128.4K77.9065.79201,5582,0454,222
2019-04-02$267.51$260.0019.5%6.4%13.6%12.6%27.3%4.5%2.6%2.1M-29.4M-110.0K29.2665.61541,5802,0403,342
2019-04-03$269.69$260.0019.4%6.4%13.3%12.2%24.9%3.8%-1.1%2.2M-32.6M-108.8K1.5367.061,0451,6012,0673,346
2019-04-04$270.41$260.0018.4%6.4%12.1%6.1%25.1%3.8%-1.1%2.3M-36.9M-118.3K2.3766.336731,5942,3273,360
2019-04-05$273.46$260.0018.4%6.4%12.2%6.3%26.4%3.9%-1.2%2.1M-41.7M-111.0K3.5368.781786292,3453,359
2019-04-08$276.03$260.0017.6%6.3%12.3%1.1%22.4%3.9%-1.3%1.5M-43.1M-110.7K0.8667.6736312,3493,971
2019-04-09$272.84$270.0021.1%7.1%13.7%21.9%26.0%4.1%-1.9%1.8M-37.4M-124.6K5.9265.30523082,3773,999
2019-04-10$269.90$270.0024.4%7.0%14.8%42.0%25.9%4.5%-1.7%1.8M-31.5M-135.5K5.8565.70533102,3954,250
2019-04-11$271.35$270.0024.3%7.0%14.6%41.2%24.0%4.3%-1.7%1.8M-34.4M-130.5K0.8766.4654472,3964,243
2019-04-12$273.47$270.0024.4%7.0%14.7%41.5%24.4%4.3%-1.5%1.5M-38.6M-120.8K0.8867.4851452,3964,261
2019-04-15$276.22$270.0024.0%6.9%14.5%39.3%26.4%4.2%-2.1%1.1M-44.0M-106.7K4.2669.0919812,3964,254
2019-04-16$271.32$270.0025.0%7.2%16.4%45.5%26.8%4.3%-2.3%1.9M-35.0M-120.6K9.8568.52201972,3934,307
2019-04-17$269.01$270.0024.9%7.1%16.3%44.8%25.6%4.8%-2.1%2.2M-29.4M-126.5K3.9669.44281112,3934,457
2019-04-18$270.88$270.0027.1%7.8%15.3%57.7%28.1%4.9%-3.6%4.5M-33.8M-126.4K0.4569.321,1065012,3914,674
2019-04-22$268.31$270.0020.3%5.8%14.5%17.6%21.6%3.8%0.4%-833.4K-9.9M-119.4K1.6620.101692801,6113,900
2019-04-23$264.80$270.0023.6%6.8%14.7%37.2%23.4%4.1%-1.4%-1.4M-2.1M-132.1K1.0619.036576991,6304,090
2019-04-24$265.40$260.0020.2%5.8%14.8%16.5%21.7%3.8%0.3%-1.6M-6.4M-142.7K2.8724.981945562,0154,586
2019-04-25$268.61$260.0019.8%5.7%15.1%14.4%21.3%3.5%0.4%-1.5M-10.9M-160.6K2.5625.351353452,0455,038
2019-04-26$272.03$260.0019.7%5.6%15.6%13.6%20.5%3.6%0.4%-964.5K-19.4M-141.3K0.6429.372111342,0685,058
2019-04-29$274.93$260.0020.3%5.8%15.9%17.4%21.2%4.0%0.2%-711.0K-23.5M-131.3K0.4733.1868322,0335,045
2019-04-30$270.74$260.0019.5%5.6%16.6%12.8%21.9%3.4%0.4%-1.1M-17.7M-133.6K4.3043.781847912,0155,062