LII Options History — April 2020

In April 2020, LII traded between $170.28 and $204.67. ATM implied volatility averaged 43.9%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 31.6% (HV 20d: 75.6%). Max pain ranged from $190.00 to $240.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 5.46.

Notable Days

  • 2020-04-20: Highest Volume — 220 contracts
  • 2020-04-24: Largest IV drop — 14.7% change
  • 2020-04-01: Highest IV Rank — 60.6%
  • 2020-04-01: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$184.89$170.28$204.67$174.53$187.16
Max Pain$204.05$190.00$240.00$240.00$190.00
ATM IV43.9%33.9%58.5%58.5%38.3%
Expected Move12.6%9.7%16.8%16.8%11.0%
HV 20d75.6%53.1%92.0%84.9%53.1%
HV 60d60.8%56.5%63.5%56.5%63.4%
IV Rank38.8%23.7%60.6%60.6%30.3%
IV Percentile89.6%83.7%96.8%96.8%85.3%
Term Structure-1.9%-6.9%3.1%-1.7%0.7%
VWIV41.1%30.6%49.3%40.3%44.4%
Skew 25d8.0%2.6%18.8%16.3%3.5%
Skew 10d14.2%-5.1%33.6%33.0%-5.1%
Call IV 25d39.5%26.9%49.9%49.9%38.0%
Put IV 25d47.5%36.8%66.2%66.2%41.5%
Bid-Ask Spread %89.9375.50104.2096.8698.39
Gamma HHI0.310.210.370.280.30
Net GEX-481.1K-722.5K-327.5K-385.5K-482.2K
Net DEX30.4M27.0M33.2M29.5M31.6M
Net VEX-44.1K-60.9K-28.5K-48.3K-40.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.460.0038.000.721.00
Total Volume33.524022042
Total OI2,487.7622,3472,7982,3742,797

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$174.53$240.0058.5%16.8%84.9%60.6%40.3%16.3%-1.7%-385.5K29.5M-48.3K0.0096.86041362,238
2020-04-02$177.02$210.0051.5%15.5%85.6%50.3%0.0%9.6%-6.9%-381.0K30.6M-43.3K0.0076.81021362,239
2020-04-03$170.28$210.0048.9%14.0%85.3%46.3%0.0%8.2%-0.8%-327.5K30.7M-36.3K0.0077.19001362,240
2020-04-06$177.56$210.0042.6%12.3%88.1%37.1%0.0%8.6%-2.4%-413.5K30.1M-42.2K0.0089.74021362,215
2020-04-07$188.23$210.0048.1%12.8%92.0%45.2%0.0%9.3%-3.2%-519.7K29.1M-53.7K0.0084.82011362,213
2020-04-08$194.40$210.0045.0%12.9%91.6%40.2%0.0%5.1%-1.9%-583.0K29.2M-53.4K0.0083.15001362,213
2020-04-09$204.67$210.0045.2%12.9%88.8%40.5%0.0%6.4%-3.6%-690.9K27.0M-60.8K0.0075.50001362,213
2020-04-13$197.65$210.0044.4%12.7%89.3%39.4%32.5%6.7%-5.3%-642.3K28.3M-55.6K0.0086.59061362,211
2020-04-14$201.11$210.0041.7%12.0%89.2%35.3%0.0%7.1%-2.7%-722.5K27.4M-60.9K0.0082.45091422,214
2020-04-15$191.55$210.0046.9%13.4%89.6%43.0%40.0%6.1%-4.7%-561.7K29.5M-49.8K0.0090.380141422,223
2020-04-16$187.71$210.0044.7%12.8%85.3%39.8%42.3%6.2%-6.0%-516.4K30.6M-44.2K0.0088.85041422,234
2020-04-17$184.58$210.0046.0%13.2%78.3%41.8%44.6%3.0%-4.6%-480.5K30.9M-40.5K0.7282.5739281422,235
2020-04-20$181.59$195.0044.8%12.8%75.5%39.9%47.8%10.9%1.8%-426.2K30.3M-41.6K9.4891.05211991712,202
2020-04-21$173.86$195.0044.9%12.9%65.0%40.0%49.3%9.2%-0.5%-386.0K32.1M-34.3K2.1487.2714301852,360
2020-04-22$172.48$195.0044.9%12.9%64.7%40.1%39.1%18.8%-2.5%-332.3K33.2M-28.5K0.8695.85761962,363
2020-04-23$178.49$195.0044.2%12.7%59.5%39.1%44.1%7.0%-0.2%-439.3K32.0M-37.8K0.1094.44109111992,366
2020-04-24$176.94$195.0037.7%10.8%54.8%29.4%46.0%2.6%2.3%-336.7K32.3M-32.6K38.0098.6641523032,367
2020-04-27$184.82$190.0033.9%9.7%55.4%23.7%35.9%8.3%3.1%-478.8K31.4M-42.0K1.83104.206113072,488
2020-04-28$187.07$190.0034.9%10.0%55.6%25.3%30.6%11.3%-1.0%-487.8K31.5M-41.5K0.00102.62403092,488
2020-04-29$191.04$190.0035.8%10.2%55.6%26.5%38.8%4.7%0.6%-509.9K31.9M-39.3K0.46101.111363102,488
2020-04-30$187.16$190.0038.3%11.0%53.1%30.3%44.4%3.5%0.7%-482.2K31.6M-40.2K1.0098.39113032,494