LII Options History — July 2019

In July 2019, LII traded between $256.10 and $292.41. ATM implied volatility averaged 22.7%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.4% (HV 20d: 21.3%). Max pain ranged from $270.00 to $290.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 17.55.

Notable Days

  • 2019-07-22: Highest Volume — 2,213 contracts
  • 2019-07-10: Largest IV spike — 20.6% change
  • 2019-07-19: Highest IV Rank — 62.1%
  • 2019-07-19: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$277.35$256.10$292.41$282.71$258.29
Max Pain$281.36$270.00$290.00$270.00$280.00
ATM IV22.7%17.9%27.8%20.1%23.8%
Expected Move6.7%5.1%8.0%5.7%6.8%
HV 20d21.3%14.4%30.4%21.5%28.4%
HV 60d24.2%22.8%26.7%23.3%26.4%
IV Rank31.8%3.4%62.1%15.9%38.3%
IV Percentile43.4%1.6%82.1%12.3%57.5%
Term Structure-0.3%-2.9%4.8%3.4%-0.8%
VWIV25.1%20.0%29.5%22.2%25.5%
Skew 25d4.2%3.0%4.8%3.8%4.6%
Skew 10d9.5%8.1%11.3%8.1%10.8%
Call IV 25d21.6%17.0%25.7%18.2%22.5%
Put IV 25d25.8%20.0%30.4%22.0%27.1%
Bid-Ask Spread %71.0962.9587.9184.3073.07
Gamma HHI0.250.170.400.170.28
Net GEX-1.5M-3.2M-258.1K-312.0K-2.5M
Net DEX12.1M-5.4M38.4M-2.5M36.0M
Net VEX-116.4K-144.2K-89.7K-98.8K-127.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.550.6770.8648.330.88
Total Volume804.273602,21329696
Total OI5,461.54,1616,4724,1616,472

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$282.71$270.0020.1%5.7%21.5%15.9%22.2%3.8%3.4%-312.0K-2.5M-98.8K48.3384.3062907483,413
2019-07-02$284.48$270.0019.8%5.7%18.2%14.4%22.4%3.8%3.7%-349.9K-3.4M-95.7K20.8086.76102087483,691
2019-07-03$288.38$270.0017.9%5.1%18.7%3.4%20.0%3.0%4.8%-269.4K-5.4M-91.5K11.5687.91182087513,727
2019-07-05$287.90$280.0018.0%6.5%18.7%3.9%29.5%4.3%-0.3%-258.1K-5.3M-89.7K11.4762.95192187553,727
2019-07-08$287.35$280.0019.7%6.8%18.8%13.8%27.0%4.4%-0.7%-306.3K-4.1M-92.7K58.0463.33261,5097543,729
2019-07-09$287.27$280.0019.6%6.8%16.6%13.0%27.2%4.5%-0.9%-828.3K-171.0K-113.8K70.8663.11211,4887784,241
2019-07-10$285.41$280.0023.6%6.8%15.5%36.8%26.9%4.5%-0.7%-916.7K926.1K-114.4K35.2565.35289877864,257
2019-07-11$284.70$280.0024.8%7.1%15.5%44.4%26.8%4.4%-1.1%-962.7K1.5M-116.9K31.8465.82319877884,259
2019-07-12$289.61$280.0023.3%6.7%15.0%35.1%26.9%4.2%-0.9%-676.7K-2.9M-105.6K7.1467.171399938014,263
2019-07-15$292.41$280.0024.2%6.9%15.1%40.5%24.5%4.1%-1.6%-272.4K-5.4M-97.0K0.9767.5569679024,263
2019-07-16$292.27$280.0024.7%7.1%14.4%43.6%26.6%4.5%-1.9%-327.9K-5.3M-97.4K26.2168.35287349284,274
2019-07-17$286.70$290.0025.3%7.3%16.1%47.3%26.2%4.7%-2.1%-1.2M4.4M-115.4K16.3965.51447219364,547
2019-07-18$284.78$290.0026.7%7.7%16.4%55.6%26.0%4.6%-2.5%-1.5M5.9M-119.4K16.2667.09426839394,645
2019-07-19$280.72$290.0027.8%8.0%17.5%62.1%29.2%4.8%-2.9%-3.1M9.9M-126.5K4.8566.011718299454,688
2019-07-22$263.47$290.0023.6%6.8%28.8%36.9%21.6%3.7%-0.3%-3.2M37.7M-138.2K9.3469.222141,9997785,151
2019-07-23$263.81$290.0022.2%6.4%28.7%28.9%23.0%4.0%0.1%-3.0M33.6M-144.2K4.0579.302741,1108645,459
2019-07-24$261.05$290.0022.8%6.5%28.8%32.1%22.9%3.7%-0.4%-2.7M35.5M-140.5K4.0871.002471,0079035,523
2019-07-25$261.04$280.0022.5%6.4%28.8%30.3%25.3%3.9%-0.1%-2.7M33.4M-139.8K2.9374.422577539205,457
2019-07-26$263.64$280.0022.4%6.4%29.0%30.0%23.4%4.0%-0.1%-2.7M29.7M-138.4K3.0372.722527649575,472
2019-07-29$256.10$280.0023.7%6.8%30.4%37.8%24.7%4.6%-1.2%-2.3M38.4M-127.9K0.6769.7536249885,469
2019-07-30$259.61$280.0023.3%6.7%28.6%35.3%23.8%4.0%-0.9%-2.6M34.1M-129.8K1.1273.2841469835,474
2019-07-31$258.29$280.0023.8%6.8%28.4%38.3%25.5%4.6%-0.8%-2.5M36.0M-127.0K0.8873.0751459845,488