LII Options History — March 2020

In March 2020, LII traded between $165.35 and $257.74. ATM implied volatility averaged 56.1%, placing in the 78.2% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 5.3% (HV 20d: 61.4%). Max pain ranged from $230.00 to $250.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 28.77.

Notable Days

  • 2020-03-13: Highest Volume — 255 contracts
  • 2020-03-16: Largest IV spike — 32.0% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$210.20$165.35$257.74$237.25$183.10
Max Pain$238.64$230.00$250.00$240.00$240.00
ATM IV56.1%32.0%85.2%36.2%51.8%
Expected Move15.7%9.2%24.4%10.4%14.9%
HV 20d61.4%34.0%92.8%34.0%87.4%
HV 60d40.1%27.0%55.8%27.0%55.8%
IV Rank78.2%50.7%100.0%77.4%50.7%
IV Percentile98.5%94.0%100.0%99.6%94.0%
Term Structure-8.0%-19.1%0.3%-5.8%0.3%
VWIV56.7%33.0%77.2%38.4%49.5%
Skew 25d11.5%6.8%18.5%14.5%6.8%
Skew 10d26.6%13.1%68.5%13.1%24.9%
Call IV 25d49.3%29.0%75.9%30.0%45.6%
Put IV 25d60.8%36.5%94.4%44.5%52.4%
Bid-Ask Spread %77.3258.0498.5787.3798.57
Gamma HHI0.240.150.700.200.31
Net GEX-821.7K-2.7M-253.9K-1.2M-455.8K
Net DEX26.5M6.7M45.0M19.5M29.5M
Net VEX-80.1K-108.1K-34.2K-100.2K-53.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio28.770.00254.008.670.50
Total Volume54.3180255293
Total OI3,330.7272,2143,8913,6742,371

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$237.25$240.0036.2%10.4%34.0%77.4%38.4%14.5%-5.8%-1.2M19.5M-100.2K8.6787.373265463,128
2020-03-03$245.48$240.0038.4%11.0%35.9%86.4%57.8%8.9%-5.4%-980.2K14.9M-103.0K22.6083.9251135493,147
2020-03-04$257.58$240.0032.0%9.2%39.0%59.9%33.0%7.4%-3.2%-652.1K6.7M-95.1K0.2086.441535543,213
2020-03-05$255.25$230.0040.1%10.0%39.1%93.7%0.0%9.2%-3.7%-736.5K8.0M-96.3K0.1375.02815613,215
2020-03-06$257.74$230.0047.2%12.1%38.8%100.0%42.1%10.3%-7.7%-663.8K8.3M-100.1K2.5072.41255693,216
2020-03-09$251.39$230.0056.0%13.4%39.4%100.0%55.4%10.0%-7.1%-745.0K12.1M-103.2K42.0083.071425693,216
2020-03-10$245.79$230.0052.4%12.8%40.4%90.5%44.3%9.6%-7.5%-858.0K15.5M-106.6K33.0072.742665713,252
2020-03-11$231.25$250.0047.8%13.7%46.2%78.6%45.2%8.3%-5.5%-1.1M24.1M-108.1K3.0058.046185723,312
2020-03-12$211.59$250.0062.1%17.8%55.0%100.0%50.2%10.5%-12.9%-1.0M33.0M-101.6K11.6763.706705733,311
2020-03-13$206.94$250.0057.6%16.5%55.3%89.9%67.3%11.2%-12.1%-1.1M36.3M-95.3K254.0064.4212545703,315
2020-03-16$202.06$240.0076.0%21.8%54.8%100.0%73.7%16.4%-18.4%-886.5K36.0M-94.1K14.6766.673445703,321
2020-03-17$193.58$230.0073.0%20.9%55.8%94.7%59.8%17.7%-14.5%-849.6K39.3M-82.1K14.4663.64131885723,269
2020-03-18$179.23$230.0085.2%24.4%59.9%100.0%66.6%18.5%-19.1%-670.1K41.3M-69.1K4.2966.737305843,219
2020-03-19$196.85$240.0072.2%20.7%71.2%80.8%70.2%16.5%-12.4%-966.0K37.8M-80.5K7.5071.162155873,216
2020-03-20$185.23$240.0055.3%15.8%73.3%55.8%56.6%14.3%-6.7%-2.7M45.0M-59.7K11.0085.891115893,087
2020-03-23$165.35$240.0062.4%17.9%80.8%66.3%58.3%13.7%-9.5%-253.9K29.5M-34.2K138.0065.4911381242,090
2020-03-24$169.21$240.0057.1%16.4%82.0%58.6%77.2%9.4%-6.6%-304.9K30.5M-38.9K0.0069.230201252,185
2020-03-25$182.83$240.0059.2%17.0%88.9%61.6%0.0%11.4%-5.0%-447.5K29.1M-55.6K0.0088.51301252,203
2020-03-26$194.32$240.0055.9%16.0%92.8%56.7%74.2%11.5%-3.0%-552.3K27.9M-67.1K4.6791.669421282,203
2020-03-27$186.09$240.0059.1%17.0%91.3%61.5%0.0%10.2%-5.9%-486.5K28.8M-59.7K2.6092.495131332,245
2020-03-30$186.38$240.0056.4%16.2%89.1%57.5%0.0%7.7%-4.6%-480.9K29.0M-57.9K0.0093.95001342,237
2020-03-31$183.10$240.0051.8%14.9%87.4%50.7%49.5%6.8%0.3%-455.8K29.5M-53.1K0.5098.57211342,237