LII Options History — October 2019

In October 2019, LII traded between $231.38 and $253.15. ATM implied volatility averaged 27.9%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.4% (HV 20d: 23.4%). Max pain ranged from $240.00 to $250.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 18.02.

Notable Days

  • 2019-10-18: Highest Volume — 2,291 contracts
  • 2019-10-21: Largest IV drop — 17.6% change
  • 2019-10-18: Highest IV Rank — 80.7%
  • 2019-10-08: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$241.26$231.38$253.15$239.35$247.31
Max Pain$245.22$240.00$250.00$240.00$250.00
ATM IV27.9%24.5%31.0%26.2%24.9%
Expected Move8.1%7.0%9.0%7.5%7.1%
HV 20d23.4%17.9%29.3%20.9%25.5%
HV 60d23.8%21.6%25.0%23.7%23.6%
IV Rank62.1%41.9%80.7%52.0%44.2%
IV Percentile76.2%49.2%97.2%63.9%52.8%
Term Structure-0.6%-2.3%2.4%2.4%1.4%
VWIV28.7%22.3%34.3%25.7%24.9%
Skew 25d4.5%3.2%6.0%4.8%3.4%
Skew 10d9.7%7.0%12.2%10.1%7.1%
Call IV 25d26.5%23.3%29.4%24.6%24.4%
Put IV 25d31.0%27.7%33.9%29.4%27.7%
Bid-Ask Spread %63.0644.0380.8480.8475.66
Gamma HHI0.270.190.400.230.27
Net GEX-339.0K-1.6M1.9M-685.3K-1.6M
Net DEX8.4M-7.6M20.5M9.3M14.5M
Net VEX-107.5K-147.6K-72.8K-84.1K-139.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.020.05238.000.6020.13
Total Volume673132,29116169
Total OI6,880.6094,0469,7204,3259,467

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$239.35$240.0026.2%7.5%20.9%52.0%25.7%4.8%2.4%-685.3K9.3M-84.1K0.6080.841067353,590
2019-10-02$231.38$240.0029.2%8.4%21.7%70.1%31.8%4.9%1.3%-1.2M14.9M-88.6K6.0778.84442677373,591
2019-10-03$232.97$250.0028.9%8.8%22.0%68.1%29.0%5.5%-1.4%-885.9K13.0M-83.9K7.9344.03604767473,365
2019-10-04$236.04$250.0025.3%8.3%21.8%46.3%30.5%4.4%-1.5%-537.8K9.1M-72.8K0.9747.551,0551,0237863,260
2019-10-07$233.81$240.0029.1%8.8%20.7%69.3%29.9%4.3%-1.8%-453.7K9.8M-107.2K1.3251.2825331,8074,231
2019-10-08$232.51$240.0030.4%9.0%20.7%77.3%34.3%4.5%-2.2%-562.2K10.7M-108.1K0.8648.55761,8064,248
2019-10-09$231.51$240.0030.7%8.8%20.7%79.0%22.3%4.6%-1.8%-706.5K11.6M-101.9K0.5551.231161,8124,251
2019-10-10$232.75$240.0030.8%8.8%17.9%79.3%0.0%4.4%-2.1%-590.3K10.5M-99.2K238.0053.4412381,8064,251
2019-10-11$239.15$240.0029.8%8.5%20.4%73.2%32.0%4.2%-1.8%139.1K4.2M-101.9K9.4255.15312921,8154,466
2019-10-14$240.07$240.0029.3%8.4%20.4%70.6%32.7%4.7%-1.3%373.0K4.0M-89.0K1.1371.404074581,8044,376
2019-10-15$242.15$240.0029.0%8.3%20.2%68.8%29.3%5.1%-0.9%514.1K3.5M-88.3K0.7359.594233091,6654,305
2019-10-16$241.36$240.0028.3%8.1%20.2%64.7%27.0%5.1%-0.8%317.3K4.7M-82.8K0.1561.02287431,6494,320
2019-10-17$251.13$240.0029.3%8.4%23.8%70.5%29.2%6.0%-2.1%1.9M-7.2M-86.3K1.0166.546566611,6234,287
2019-10-18$253.15$250.0031.0%8.9%23.6%80.7%30.1%5.1%-2.3%507.3K-7.6M-103.8K0.6458.311,3958961,6824,899
2019-10-21$248.79$250.0025.5%7.3%24.6%47.9%26.5%4.6%0.4%628.5K1.3M-113.4K1.4562.317591,1032,4105,237
2019-10-22$247.42$250.0024.5%7.0%24.7%41.9%27.6%4.7%0.8%381.2K5.5M-132.6K1.4164.571752462,9205,957
2019-10-23$238.93$250.0027.7%7.9%27.9%61.1%26.9%4.0%-0.8%-1.1M20.5M-129.2K0.0562.71998532,8986,002
2019-10-24$244.43$250.0027.5%7.9%29.1%59.7%28.9%4.0%-0.5%-688.0K11.8M-128.9K1.9767.2034672,6046,024
2019-10-25$243.36$250.0027.1%7.8%29.1%57.4%29.1%3.6%-0.7%-867.1K14.0M-124.1K6.2670.66432692,6216,053
2019-10-28$246.32$250.0025.8%7.4%29.3%49.3%29.3%3.6%0.5%-725.7K10.2M-122.5K92.3371.9498312,6586,488
2019-10-29$247.89$250.0025.7%7.4%28.7%48.8%26.9%3.2%0.8%-627.5K9.8M-147.6K1.9575.774729202,6647,056
2019-10-30$247.26$250.0025.6%7.3%25.6%48.3%27.2%3.8%0.7%-1.4M14.2M-138.2K19.5071.74101952,2147,067
2019-10-31$247.31$250.0024.9%7.1%25.5%44.2%24.9%3.4%1.4%-1.6M14.5M-139.0K20.1375.6681612,2147,253