LII Options History — November 2019

In November 2019, LII traded between $245.07 and $259.43. ATM implied volatility averaged 23.7%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.8% (HV 20d: 19.9%). Max pain ranged from $250.00 to $250.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 40.91.

Notable Days

  • 2019-11-13: Highest Volume — 2,818 contracts
  • 2019-11-11: Largest IV spike — 12.0% change
  • 2019-11-04: Highest IV Rank — 49.9%
  • 2019-11-04: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$252.11$245.07$259.43$247.57$256.74
Max Pain$250.00$250.00$250.00$250.00$250.00
ATM IV23.7%21.4%25.9%24.6%22.8%
Expected Move6.9%6.3%7.6%7.0%6.5%
HV 20d19.9%13.6%25.4%25.3%15.1%
HV 60d22.5%21.4%23.4%23.4%21.5%
IV Rank37.0%23.2%49.9%42.1%31.7%
IV Percentile40.7%17.1%62.7%49.6%32.5%
Term Structure0.7%-0.5%1.7%1.7%-0.4%
VWIV24.8%21.3%27.8%25.5%22.4%
Skew 25d3.5%2.5%4.5%3.4%2.9%
Skew 10d7.7%5.1%10.0%8.3%5.6%
Call IV 25d22.8%21.2%25.0%24.1%22.4%
Put IV 25d26.3%23.7%29.5%27.5%25.2%
Bid-Ask Spread %70.5857.4282.1282.1278.11
Gamma HHI0.340.260.480.270.28
Net GEX-1.4M-4.6M645.8K-1.7M-567.7K
Net DEX9.3M573.9K22.1M16.4M2.7M
Net VEX-104.5K-140.7K-73.6K-140.7K-75.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio40.910.01363.002.501.17
Total Volume329.3512,81871
Total OI8,143.555,22911,1269,6245,395

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$247.57$250.0024.6%7.0%25.3%42.1%0.0%3.4%1.7%-1.7M16.4M-140.7K2.5082.12252,2187,406
2019-11-04$248.10$250.0025.9%7.6%24.9%49.9%25.5%4.5%0.7%-1.6M14.3M-132.9K0.0157.4236842,2177,411
2019-11-05$248.25$250.0025.2%7.4%24.7%45.8%25.8%4.0%0.6%-1.5M12.8M-126.5K0.0958.42111102,3657,412
2019-11-06$249.98$250.0023.9%7.3%24.6%38.2%26.4%4.4%1.0%-1.1M10.3M-122.2K363.0066.5113632,3867,412
2019-11-07$246.39$250.0024.2%7.3%25.4%39.7%26.4%4.2%0.8%-3.5M20.0M-130.2K12.0061.554482,3877,966
2019-11-08$245.07$250.0021.4%7.0%23.8%23.2%27.1%3.6%1.5%-4.6M22.1M-122.4K2.5362.622035142,3887,992
2019-11-11$247.61$250.0024.0%7.0%24.0%38.7%25.2%4.4%1.4%-3.0M15.5M-117.6K8.0069.3911882,4958,174
2019-11-12$250.89$250.0023.8%7.0%24.3%37.7%24.6%4.3%1.5%-1.1M7.2M-105.1K1.0064.90112,4978,224
2019-11-13$252.67$250.0024.8%7.1%24.3%43.3%27.8%3.9%1.5%58.1K3.2M-98.7K127.0969.74222,7962,4978,224
2019-11-14$254.81$250.0024.9%7.1%20.0%44.0%25.8%3.8%1.3%645.8K3.9M-108.3K0.7369.6133242,4968,603
2019-11-15$254.64$250.0024.3%7.0%19.9%40.2%26.2%3.9%1.5%-1.4M4.4M-105.8K35.3867.2082832,5048,622
2019-11-18$252.25$250.0025.0%7.2%19.1%44.7%26.0%4.3%-0.5%-1.6M12.6M-110.2K2.0771.0528587265,072
2019-11-19$254.86$250.0023.5%6.8%19.2%36.0%24.7%2.6%-0.0%-1.5M9.1M-101.8K148.6774.5034467395,110
2019-11-20$254.84$250.0023.5%6.7%13.7%35.6%25.0%2.6%0.1%-1.2M7.7M-94.2K43.9574.27198357404,815
2019-11-21$250.26$250.0023.2%6.6%13.6%33.6%24.5%2.9%0.2%-1.2M9.7M-88.7K25.5075.532517354,518
2019-11-22$252.21$250.0022.9%6.6%13.7%32.2%21.8%2.6%0.2%-1.1M7.7M-84.4K0.5074.48217344,519
2019-11-25$256.46$250.0022.1%6.3%14.2%27.6%22.5%2.6%-0.0%-769.4K3.6M-76.6K3.0077.2010307364,520
2019-11-26$259.21$250.0022.1%6.4%14.5%27.6%21.3%2.7%-0.1%-623.7K1.9M-73.6K0.0378.5018357324,497
2019-11-27$259.43$250.0022.1%6.3%14.4%27.5%22.7%2.5%0.1%-371.3K573.9K-73.8K1.1778.47678894,498
2019-11-29$256.74$250.0022.8%6.5%15.1%31.7%22.4%2.9%-0.4%-567.7K2.7M-75.2K0.0078.11018924,503