LII Options History — August 2019

In August 2019, LII traded between $248.28 and $260.87. ATM implied volatility averaged 25.8%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.7% (HV 20d: 25.1%). Max pain ranged from $270.00 to $280.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 8.76.

Notable Days

  • 2019-08-14: Highest Volume — 568 contracts
  • 2019-08-12: Largest IV spike — 37.6% change
  • 2019-08-05: Highest IV Rank — 98.5%
  • 2019-08-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$253.94$248.28$260.87$254.18$253.44
Max Pain$270.91$270.00$280.00$280.00$270.00
ATM IV25.8%21.9%33.9%29.1%22.8%
Expected Move7.1%6.3%8.3%8.3%6.5%
HV 20d25.1%19.6%30.4%27.8%19.9%
HV 60d25.1%22.5%26.2%26.2%22.8%
IV Rank50.4%26.7%98.5%69.5%32.2%
IV Percentile63.6%32.1%99.2%88.5%40.5%
Term Structure0.4%-3.6%2.1%-3.6%0.7%
VWIV24.6%19.3%32.7%28.4%24.5%
Skew 25d4.6%3.8%5.7%5.6%4.1%
Skew 10d10.2%8.6%12.8%12.8%8.9%
Call IV 25d22.8%20.1%25.9%25.9%20.6%
Put IV 25d27.4%23.9%31.5%31.5%24.7%
Bid-Ask Spread %76.2862.3486.3376.4986.33
Gamma HHI0.220.160.280.210.27
Net GEX-1.8M-2.4M-1.4M-2.3M-1.5M
Net DEX30.1M14.8M44.0M39.9M21.0M
Net VEX-105.8K-130.0K-83.1K-129.5K-83.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.760.13112.601.0011.00
Total Volume95.682456817412
Total OI5,970.8645,0776,7876,4315,366

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$254.18$280.0029.1%8.3%27.8%69.5%28.4%5.6%-3.6%-2.3M39.9M-129.5K1.0076.4987879985,433
2019-08-02$253.96$280.0027.9%8.0%27.8%62.6%27.6%5.7%-2.5%-2.2M39.1M-127.4K8.0073.86141121,0335,454
2019-08-05$250.58$270.0033.9%8.0%27.8%98.5%32.7%5.3%-0.3%-2.2M44.0M-130.0K0.1362.34136171,0465,529
2019-08-06$253.61$270.0029.5%7.4%28.6%72.0%26.7%4.4%0.9%-2.0M39.9M-120.9K0.1467.024461,1125,513
2019-08-07$255.26$270.0026.6%7.1%28.9%55.0%26.3%4.6%1.3%-2.1M38.4M-124.0K12.2568.10121471,1505,513
2019-08-08$258.71$270.0023.9%6.7%29.7%38.9%24.2%4.6%2.1%-2.4M34.3M-126.6K2.0071.5915301,1505,637
2019-08-09$259.13$270.0023.8%6.8%28.6%38.4%24.4%4.4%2.0%-2.4M34.5M-126.8K0.0073.530481,1445,632
2019-08-12$253.31$270.0032.8%7.5%28.7%91.6%24.6%4.7%1.0%-1.9M41.5M-115.5K3.4372.307241,1435,590
2019-08-13$254.36$270.0030.6%7.2%28.9%78.8%22.4%4.4%1.5%-1.8M40.6M-112.1K0.1372.6287111,1505,597
2019-08-14$249.42$270.0027.0%7.7%28.9%57.1%24.0%5.0%0.5%-1.8M39.8M-112.2K112.6070.2755631,1525,364
2019-08-15$251.26$270.0026.5%7.6%29.3%54.4%24.9%4.9%1.2%-1.7M36.0M-103.8K1.2970.1514181,1555,252
2019-08-16$255.92$270.0023.7%6.8%30.4%37.5%21.9%4.5%2.1%-1.4M26.4M-103.2K1.2473.2417211,1525,043
2019-08-19$257.45$270.0022.8%6.5%21.2%32.5%25.2%4.5%1.1%-1.5M17.7M-96.5K0.4778.411998154,265
2019-08-20$258.78$270.0022.5%6.4%21.3%30.3%26.3%4.2%0.7%-1.5M16.4M-93.0K0.0078.530838234,254
2019-08-21$260.87$270.0021.9%6.3%21.2%26.7%22.2%3.8%0.8%-1.5M14.8M-93.3K0.4481.4425118234,316
2019-08-22$256.67$270.0021.9%6.3%22.0%26.8%22.9%4.2%0.7%-1.5M18.2M-90.1K5.3181.80422238344,318
2019-08-23$251.64$270.0024.6%7.1%22.6%43.2%23.1%4.0%-0.2%-1.5M22.8M-95.1K0.4884.4725128534,461
2019-08-26$249.64$270.0025.1%7.2%20.4%45.6%23.6%4.2%-0.6%-1.4M24.1M-89.4K0.0083.08048744,441
2019-08-27$248.42$270.0024.5%7.0%19.7%42.4%23.6%4.6%-0.3%-1.4M25.2M-86.8K1.3882.918118744,437
2019-08-28$248.28$270.0024.2%6.9%19.6%40.6%22.7%4.5%0.1%-1.4M25.1M-84.7K0.1384.737298734,424
2019-08-29$251.88$270.0023.0%6.6%19.7%33.5%19.3%4.0%0.3%-1.4M22.2M-83.7K5.0084.903159454,421
2019-08-30$253.44$270.0022.8%6.5%19.9%32.2%24.5%4.1%0.7%-1.5M21.0M-83.1K11.0086.331119444,422