LII Options History — September 2019

In September 2019, LII traded between $233.99 and $252.26. ATM implied volatility averaged 26.1%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.7% (HV 20d: 23.4%). Max pain ranged from $230.00 to $270.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 3.87.

Notable Days

  • 2019-09-19: Highest Volume — 931 contracts
  • 2019-09-09: Largest IV spike — 17.1% change
  • 2019-09-16: Highest IV Rank — 63.7%
  • 2019-09-16: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$241.44$233.99$252.26$246.28$243.14
Max Pain$244.00$230.00$270.00$270.00$240.00
ATM IV26.1%23.4%28.2%24.4%26.2%
Expected Move7.4%6.9%8.1%7.0%7.5%
HV 20d23.4%21.9%24.6%21.9%22.5%
HV 60d24.0%23.2%24.7%23.4%23.6%
IV Rank51.2%35.7%63.7%41.5%51.8%
IV Percentile66.2%42.5%82.5%57.1%63.9%
Term Structure1.3%-0.5%2.6%-0.5%2.2%
VWIV26.3%20.0%31.1%24.4%26.4%
Skew 25d4.2%3.6%4.8%4.5%4.8%
Skew 10d8.8%7.7%10.1%8.4%10.0%
Call IV 25d24.3%22.7%25.9%23.5%23.7%
Put IV 25d28.5%26.8%30.0%28.1%28.4%
Bid-Ask Spread %72.0964.4786.3585.0783.26
Gamma HHI0.230.120.590.180.23
Net GEX-1.1M-3.8M-434.0K-1.2M-434.0K
Net DEX17.6M6.5M30.0M26.5M6.5M
Net VEX-74.6K-84.5K-65.4K-74.3K-79.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.870.0027.330.8027.33
Total Volume148.2193145170
Total OI4,955.753,7905,8905,3654,178

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$246.28$270.0024.4%7.0%21.9%41.5%24.4%4.5%-0.5%-1.2M26.5M-74.3K0.8085.0725209434,422
2019-09-04$252.24$270.0025.1%7.2%23.2%46.2%24.0%4.3%-0.3%-1.4M21.5M-77.7K0.6486.3555359664,423
2019-09-05$252.26$250.0024.7%7.1%23.0%43.7%26.4%4.1%1.8%-1.4M21.9M-77.3K27.0067.121279994,439
2019-09-06$247.09$250.0023.4%6.9%23.4%35.7%23.5%4.0%1.9%-1.2M26.3M-71.2K0.7466.9539291,0004,450
2019-09-09$241.53$250.0027.4%7.4%24.5%59.4%20.0%3.9%1.4%-1.1M30.0M-68.4K0.7265.5418131,0154,473
2019-09-10$241.67$250.0027.2%7.5%23.4%58.2%26.8%3.9%1.1%-1.0M26.4M-66.5K0.9666.1848461,0314,313
2019-09-11$241.19$240.0025.9%7.4%23.3%49.9%24.4%4.0%1.4%-950.8K26.6M-65.4K1.0566.841171231,0434,305
2019-09-12$233.99$240.0027.5%7.9%24.6%60.0%25.5%4.1%1.5%-900.9K29.4M-73.1K0.4265.77108451,1194,411
2019-09-13$235.05$230.0026.0%7.5%24.5%50.8%28.1%3.6%1.8%-764.6K19.9M-67.5K2.5064.4730751,1854,083
2019-09-16$234.65$240.0028.2%8.1%23.1%63.7%27.4%4.0%1.0%-827.4K15.7M-72.1K0.2067.4195191,1613,880
2019-09-17$237.51$230.0026.6%7.6%23.6%54.2%26.7%4.2%1.5%-760.2K13.8M-71.2K0.1768.2766111,2313,885
2019-09-18$238.00$240.0026.0%7.5%23.4%50.9%28.7%4.3%1.6%-873.0K13.9M-69.9K0.4669.8939181,2023,896
2019-09-19$242.24$240.0026.6%7.6%24.3%54.2%31.1%4.5%1.3%-832.3K10.8M-69.7K9.8371.03868451,1903,881
2019-09-20$240.04$240.0025.4%7.3%24.0%46.9%29.6%4.5%2.6%-3.8M15.3M-82.7K2.6073.21501301,2124,678
2019-09-23$239.35$240.0025.4%7.3%23.2%47.0%28.7%4.0%2.0%-909.5K10.9M-78.3K0.3373.6260204703,320
2019-09-24$239.57$240.0026.3%7.5%23.1%52.6%25.1%4.4%0.2%-903.6K11.0M-84.5K0.0073.981505563,427
2019-09-25$240.38$240.0025.9%7.4%23.2%49.9%27.4%4.1%1.7%-843.5K9.8M-81.0K1.3874.311952705493,427
2019-09-26$241.09$240.0026.2%7.5%23.2%52.2%0.0%3.9%1.3%-611.6K7.9M-78.8K0.0076.61107343,442
2019-09-27$241.51$240.0026.8%7.7%22.5%55.6%25.0%4.3%1.5%-646.4K8.3M-83.8K0.1875.981737343,442
2019-09-30$243.14$240.0026.2%7.5%22.5%51.8%26.4%4.8%2.2%-434.0K6.5M-79.3K27.3383.2661647353,443