LII Options History — December 2019

In December 2019, LII traded between $238.74 and $263.89. ATM implied volatility averaged 23.1%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.0% (HV 20d: 24.0%). Max pain ranged from $250.00 to $260.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 4.63.

Notable Days

  • 2019-12-12: Highest Volume — 1,587 contracts
  • 2019-12-11: Largest IV drop — 11.1% change
  • 2019-12-09: Highest IV Rank — 52.5%
  • 2019-12-03: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$251.46$238.74$263.89$251.93$244.75
Max Pain$254.76$250.00$260.00$250.00$250.00
ATM IV23.1%20.3%26.3%25.5%22.8%
Expected Move6.5%5.8%7.4%7.3%6.5%
HV 20d24.0%16.8%30.1%16.8%28.4%
HV 60d22.7%21.0%25.1%21.4%23.7%
IV Rank33.1%16.4%52.5%47.7%31.3%
IV Percentile36.3%9.5%69.4%63.1%34.9%
Term Structure1.8%-1.8%3.4%-1.2%2.3%
VWIV23.7%19.4%32.4%25.8%27.0%
Skew 25d3.2%1.9%3.8%2.5%3.7%
Skew 10d7.0%5.7%7.9%5.7%7.6%
Call IV 25d21.3%19.1%25.1%24.6%20.4%
Put IV 25d24.5%22.1%28.4%27.1%24.1%
Bid-Ask Spread %79.7870.6386.9081.0586.90
Gamma HHI0.300.190.720.330.22
Net GEX-1.4M-6.2M-55.2K-964.4K-1.4M
Net DEX12.4M-3.1M38.9M6.9M18.6M
Net VEX-108.2K-146.0K-56.4K-75.2K-136.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.630.0023.339.2023.33
Total Volume157.33301,5875173
Total OI5,510.6193,6207,5565,3953,744

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$251.93$250.0025.5%7.3%16.8%47.7%25.8%2.5%-1.2%-964.4K6.9M-75.2K9.2081.055468924,503
2019-12-03$249.26$250.0026.0%7.4%17.3%50.6%27.5%3.4%-1.3%-1.2M10.1M-78.3K0.9681.1527268954,548
2019-12-04$254.52$250.0025.8%7.4%18.7%49.8%32.4%3.4%-1.8%-798.9K5.3M-72.3K0.4083.25529094,563
2019-12-05$261.81$260.0024.1%6.6%21.0%39.2%21.5%3.4%1.6%-211.3K-826.4K-67.5K0.0972.713439144,563
2019-12-06$263.89$260.0024.8%6.5%20.1%43.3%22.5%1.9%2.0%-55.2K-3.1M-64.7K1.8172.1932589374,562
2019-12-09$260.95$260.0026.3%6.6%20.5%52.5%23.1%3.6%1.7%-294.6K-576.3K-65.4K5.3870.638439474,592
2019-12-10$258.28$260.0026.1%6.7%20.9%51.5%0.0%3.8%1.7%-482.5K1.5M-62.9K1.6473.9742699524,596
2019-12-11$258.56$260.0023.2%6.7%20.5%34.2%24.7%3.8%1.6%-512.2K1.6M-62.6K1.0074.50119634,647
2019-12-12$259.88$260.0023.1%6.6%20.4%33.6%0.0%3.6%1.4%-368.0K156.9K-56.4K20.7474.49731,5149644,647
2019-12-13$254.64$260.0022.7%6.5%21.6%30.7%22.6%3.0%2.0%-1.4M15.1M-145.0K0.0079.084901,0276,135
2019-12-16$257.89$260.0021.5%6.2%22.1%23.5%25.4%3.6%2.4%-866.4K11.0M-138.2K0.0576.499151,0626,135
2019-12-17$258.25$260.0021.1%6.1%21.8%21.6%21.5%2.8%2.9%-674.3K10.2M-134.2K3.0678.6616491,1256,140
2019-12-18$245.21$260.0020.3%5.8%28.5%16.4%21.8%3.6%3.4%-2.8M25.5M-134.2K5.8179.92754361,1246,172
2019-12-19$238.74$250.0021.2%6.1%29.8%22.0%21.9%3.0%2.9%-6.2M38.9M-146.0K1.3981.7651711,1366,420
2019-12-20$243.10$250.0020.6%5.9%30.1%18.6%21.6%3.0%3.2%-3.6M22.7M-140.9K0.5783.2368391,1556,329
2019-12-23$244.59$250.0020.9%6.0%30.1%20.3%19.4%3.0%3.3%-1.3M18.8M-137.8K1.2683.5947594283,192
2019-12-24$244.29$250.0021.3%6.1%29.3%22.5%21.6%3.0%3.0%-1.4M19.4M-141.1K0.2084.62514523,208
2019-12-26$244.40$250.0021.9%6.3%28.9%26.2%25.5%3.4%2.6%-1.4M19.4M-139.3K1.7385.2555954523,209
2019-12-27$243.12$250.0021.9%6.3%28.9%26.4%0.0%3.1%2.7%-1.5M20.4M-138.4K0.0085.18004523,294
2019-12-30$242.68$250.0022.9%6.6%28.8%32.5%21.4%3.4%1.9%-1.5M20.0M-136.0K14.0086.792284443,294
2019-12-31$244.75$250.0022.8%6.5%28.4%31.3%27.0%3.7%2.3%-1.4M18.6M-136.6K23.3386.903704453,299