LII Options History — January 2020

In January 2020, LII traded between $232.64 and $247.35. ATM implied volatility averaged 24.5%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.4% (HV 20d: 21.1%). Max pain ranged from $240.00 to $250.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 6.52.

Notable Days

  • 2020-01-29: Highest Volume — 403 contracts
  • 2020-01-14: Largest IV spike — 17.0% change
  • 2020-01-31: Highest IV Rank — 88.2%
  • 2020-01-31: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$242.77$232.64$247.35$243.88$232.64
Max Pain$248.57$240.00$250.00$250.00$240.00
ATM IV24.5%19.0%32.2%22.6%32.2%
Expected Move7.2%6.5%9.2%6.5%9.2%
HV 20d21.1%13.8%28.2%28.2%17.5%
HV 60d22.1%20.4%23.8%23.6%21.3%
IV Rank42.2%8.8%88.2%30.4%88.2%
IV Percentile55.2%2.8%98.8%33.7%98.8%
Term Structure-0.9%-4.0%2.2%2.1%-2.4%
VWIV25.8%19.7%33.2%19.7%33.2%
Skew 25d3.8%2.4%4.8%4.1%3.1%
Skew 10d7.8%3.3%10.2%7.5%3.3%
Call IV 25d23.7%19.8%31.2%19.8%31.2%
Put IV 25d27.5%23.9%34.3%23.9%34.3%
Bid-Ask Spread %76.4764.2287.7183.5779.74
Gamma HHI0.260.220.390.220.22
Net GEX-1.3M-1.8M-791.2K-1.5M-1.3M
Net DEX17.0M12.5M22.8M19.3M22.8M
Net VEX-122.4K-135.1K-113.3K-134.5K-129.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.520.06103.000.641.06
Total Volume59.23844034135
Total OI3,797.193,3884,1313,8074,131

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$243.88$250.0022.6%6.5%28.2%30.4%19.7%4.1%2.1%-1.5M19.3M-134.5K0.6483.5725164483,359
2020-01-03$243.38$250.0023.2%6.6%27.0%34.0%29.8%4.8%2.2%-1.5M19.5M-135.1K0.6387.7130194623,375
2020-01-06$243.39$240.0023.9%7.3%24.5%38.1%24.8%3.7%-0.4%-1.6M18.9M-133.2K0.0067.80044923,384
2020-01-07$239.97$250.0023.5%7.2%24.4%35.6%25.8%4.0%-0.5%-1.8M21.6M-133.2K8.0068.933244923,385
2020-01-08$243.95$250.0023.1%7.2%25.3%33.4%22.9%3.7%-0.4%-1.6M18.0M-127.9K1.0464.2224254923,408
2020-01-09$247.18$250.0020.3%6.8%25.9%16.3%24.8%3.8%-0.1%-1.4M14.8M-126.8K4.0070.9310405163,412
2020-01-10$247.35$250.0019.0%6.7%25.8%8.8%0.0%3.8%-0.2%-1.4M14.7M-125.3K0.7367.9415115263,422
2020-01-13$245.91$250.0021.9%6.8%25.7%26.3%23.6%3.7%-0.4%-1.5M14.9M-122.1K1.1174.0618205333,402
2020-01-14$242.65$250.0025.6%7.1%25.2%48.7%27.0%3.7%-0.7%-1.8M17.4M-121.7K0.6975.111396453,413
2020-01-15$243.57$250.0024.7%7.1%24.7%43.3%26.4%3.7%-0.9%-1.8M16.3M-121.9K0.8376.0624206553,420
2020-01-16$246.91$250.0022.7%6.5%25.3%30.7%23.3%3.4%-0.4%-791.2K12.5M-116.3K0.6978.1029206443,434
2020-01-17$243.88$250.0023.5%6.7%17.9%35.8%24.3%3.7%-0.8%-1.6M15.0M-115.6K3.2077.4210326643,449
2020-01-21$245.25$250.0023.2%6.6%15.0%33.9%23.5%4.2%-0.4%-897.1K13.8M-113.5K0.7580.50434802,908
2020-01-22$247.35$250.0024.0%6.9%13.9%38.8%23.6%3.7%-1.3%-876.1K13.0M-113.3K0.0678.651714842,911
2020-01-23$246.47$250.0024.3%7.0%13.8%40.9%0.0%3.4%-1.2%-887.7K13.3M-115.2K103.0078.0311034902,911
2020-01-24$241.01$250.0026.4%7.6%16.0%53.4%27.4%3.7%-2.4%-985.9K16.3M-114.9K0.1879.583874902,995
2020-01-27$238.93$250.0027.3%7.8%16.3%58.9%25.8%4.5%-2.4%-1.0M17.7M-116.0K0.8978.10984992,990
2020-01-28$241.05$250.0026.4%7.6%16.6%53.2%23.4%3.9%-2.1%-985.0K16.6M-115.1K0.6779.12325032,998
2020-01-29$237.68$250.0027.2%7.8%17.3%58.3%28.3%3.9%-2.7%-1.0M18.7M-114.7K1.7281.161482555033,007
2020-01-30$235.85$240.0030.5%8.8%17.0%78.3%32.3%2.4%-4.0%-1.3M21.2M-124.5K0.4279.08119506543,355
2020-01-31$232.64$240.0032.2%9.2%17.5%88.2%33.2%3.1%-2.4%-1.3M22.8M-129.2K1.0679.7417187503,381