LII Options History — February 2020

In February 2020, LII traded between $226.73 and $248.64. ATM implied volatility averaged 24.9%, 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 5.3% (HV 20d: 19.6%). Max pain ranged from $240.00 to $250.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 4.45.

Notable Days

2020-02-04: Highest Volume — 2,333 contracts
2020-02-04: Largest IV drop — 38.3% change
2020-02-27: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$241.50	$226.73	$248.64	$234.33	$226.73
Max Pain	$240.53	$240.00	$250.00	$240.00	$240.00
ATM IV	24.9%	20.3%	41.6%	33.0%	41.6%
Expected Move	7.2%	5.8%	11.9%	9.5%	11.9%
HV 20d	19.6%	17.5%	30.0%	17.9%	30.0%
HV 60d	22.0%	21.4%	25.3%	21.4%	25.3%
IV Rank	42.2%	16.8%	100.0%	93.4%	100.0%
IV Percentile	44.8%	11.1%	100.0%	99.2%	100.0%
Term Structure	-0.6%	-7.9%	1.8%	-4.5%	-7.9%
VWIV	26.3%	19.8%	42.5%	33.1%	42.5%
Skew 25d	4.0%	2.5%	8.2%	3.0%	8.2%
Skew 10d	8.6%	3.7%	22.3%	3.7%	13.7%
Call IV 25d	23.6%	19.8%	38.9%	31.7%	38.9%
Put IV 25d	27.5%	22.3%	47.1%	34.7%	47.1%
Bid-Ask Spread %	84.41	74.71	89.01	74.71	84.47
Gamma HHI	0.22	0.19	0.27	0.22	0.19
Net GEX	-1.1M	-1.7M	-569.4K	-1.3M	-1.2M
Net DEX	14.6M	5.5M	25.4M	21.4M	25.4M
Net VEX	-106.3K	-123.7K	-93.5K	-123.7K	-103.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.45	0.01	19.65	2.01	3.35
Total Volume	181.053	4	2,333	322	100
Total OI	4,296.053	3,602	4,614	4,156	3,620

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-02-03	$234.33	$240.00	33.0%	9.5%	17.9%	93.4%	33.1%	3.0%	-4.5%	-1.3M	21.4M	-123.7K	2.01	74.71	107	215	763	3,393
2020-02-04	$238.94	$240.00	20.4%	5.8%	19.4%	17.1%	22.4%	2.5%	0.5%	-1.2M	17.3M	-115.5K	19.65	89.01	113	2,220	850	3,529
2020-02-05	$242.07	$240.00	21.2%	6.1%	19.4%	22.4%	20.4%	2.7%	0.3%	-1.2M	14.6M	-118.1K	0.10	85.81	42	4	903	3,640
2020-02-06	$239.14	$250.00	20.3%	6.1%	18.9%	16.8%	22.5%	2.9%	0.9%	-1.4M	18.0M	-116.1K	1.13	78.00	46	52	911	3,644
2020-02-07	$234.93	$240.00	22.9%	6.5%	19.0%	32.7%	23.3%	3.2%	1.5%	-1.7M	22.3M	-119.2K	7.25	83.82	8	58	916	3,672
2020-02-10	$236.12	$240.00	20.9%	6.3%	19.1%	20.7%	23.2%	2.5%	0.3%	-1.7M	19.9M	-114.5K	1.14	82.99	7	8	914	3,664
2020-02-11	$237.28	$240.00	21.9%	6.1%	19.3%	26.4%	21.8%	3.0%	1.3%	-1.6M	18.5M	-113.3K	0.40	85.00	5	2	915	3,668
2020-02-12	$241.32	$240.00	21.3%	6.1%	19.8%	23.1%	0.0%	2.9%	1.3%	-1.2M	14.0M	-108.8K	8.00	83.31	1	8	915	3,671
2020-02-13	$241.03	$240.00	22.1%	6.3%	19.8%	27.7%	22.7%	4.4%	1.7%	-1.1M	13.9M	-109.8K	2.88	84.88	8	23	916	3,665
2020-02-14	$245.21	$240.00	20.4%	5.9%	20.2%	17.5%	19.8%	3.0%	1.5%	-667.5K	9.2M	-100.8K	0.01	85.24	74	1	914	3,673
2020-02-18	$245.64	$240.00	21.7%	6.2%	19.7%	25.4%	22.7%	3.3%	0.7%	-715.4K	8.7M	-98.3K	1.25	87.17	4	5	943	3,671
2020-02-19	$247.27	$240.00	21.0%	6.0%	19.7%	20.9%	21.7%	3.4%	1.8%	-569.4K	7.3M	-97.1K	0.33	86.17	3	1	941	3,671
2020-02-20	$248.64	$240.00	21.2%	6.1%	19.6%	22.5%	24.0%	3.7%	1.6%	-808.0K	5.5M	-93.5K	0.05	85.95	80	4	943	3,671
2020-02-21	$246.87	$240.00	22.3%	6.4%	19.7%	28.6%	24.0%	3.9%	0.2%	-945.0K	8.4M	-95.6K	8.67	86.05	3	26	912	3,671
2020-02-24	$248.04	$240.00	25.9%	7.4%	17.9%	51.0%	28.7%	5.5%	-2.0%	-886.2K	10.9M	-94.8K	4.00	87.86	3	12	560	3,060
2020-02-25	$248.19	$240.00	29.8%	8.5%	17.5%	74.4%	28.8%	4.9%	-3.0%	-868.3K	11.5M	-98.9K	0.28	87.40	71	20	558	3,054
2020-02-26	$244.31	$240.00	30.7%	8.8%	18.3%	80.3%	33.0%	4.7%	-2.5%	-988.5K	14.2M	-98.3K	13.00	82.97	5	65	543	3,059
2020-02-27	$242.46	$240.00	35.1%	10.1%	17.8%	100.0%	39.1%	7.5%	-6.3%	-1.0M	15.7M	-101.1K	11.00	82.93	3	33	528	3,084
2020-02-28	$226.73	$240.00	41.6%	11.9%	30.0%	100.0%	42.5%	8.2%	-7.9%	-1.2M	25.4M	-103.0K	3.35	84.47	23	77	530	3,090