LII Options History — May 2020

In May 2020, LII traded between $177.94 and $215.19. ATM implied volatility averaged 40.9%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 4.6% (HV 20d: 45.5%). Max pain ranged from $190.00 to $250.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 3.29.

Notable Days

2020-05-04: Highest Volume — 183 contracts
2020-05-11: Largest IV spike — 50.8% change
2020-05-12: Highest IV Rank — 49.5%
2020-05-15: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$193.55	$177.94	$215.19	$182.33	$212.88
Max Pain	$247.00	$190.00	$250.00	$190.00	$250.00
ATM IV	40.9%	33.7%	51.2%	40.6%	36.4%
Expected Move	11.0%	9.7%	12.6%	11.6%	10.4%
HV 20d	45.5%	38.4%	54.0%	54.0%	47.3%
HV 60d	65.2%	63.5%	67.4%	63.5%	65.5%
IV Rank	34.2%	23.5%	49.5%	33.7%	27.5%
IV Percentile	84.1%	75.0%	92.9%	86.1%	78.6%
Term Structure	-1.0%	-3.5%	1.6%	-0.2%	-0.3%
VWIV	39.9%	24.7%	55.7%	45.7%	36.6%
Skew 25d	8.0%	4.3%	12.2%	8.5%	4.3%
Skew 10d	21.3%	-4.0%	32.8%	-4.0%	25.3%
Call IV 25d	36.2%	30.7%	41.8%	37.2%	35.9%
Put IV 25d	44.2%	40.2%	47.8%	45.6%	40.2%
Bid-Ask Spread %	86.08	81.11	98.97	98.97	93.15
Gamma HHI	0.33	0.17	0.45	0.25	0.45
Net GEX	-627.2K	-1.0M	-417.5K	-434.3K	-1.0M
Net DEX	30.1M	22.0M	34.3M	32.3M	23.9M
Net VEX	-38.3K	-47.1K	-28.6K	-36.3K	-39.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.29	0.04	21.00	0.50	0.75
Total Volume	42	1	183	3	7
Total OI	2,872.6	2,791	3,036	2,797	2,796

Daily Data (20 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
2020-05-01	$182.33	$190.00	40.6%	11.6%	54.0%	33.7%	45.7%	8.5%	-0.2%	-434.3K	32.3M	-36.3K	0.50	98.97	2	1	302	2,495
2020-05-04	$186.19	$250.00	49.2%	11.6%	52.2%	46.5%	46.5%	7.7%	0.5%	-519.5K	30.8M	-43.7K	3.58	81.11	40	143	302	2,494
2020-05-05	$191.03	$250.00	42.2%	10.9%	51.0%	36.0%	55.7%	6.5%	-0.1%	-610.4K	30.6M	-47.1K	8.80	83.14	10	88	298	2,597
2020-05-06	$188.75	$250.00	46.8%	10.6%	46.9%	42.9%	41.6%	8.5%	1.6%	-535.0K	32.5M	-39.4K	0.00	83.63	0	1	295	2,589
2020-05-07	$192.41	$250.00	47.2%	11.0%	45.9%	43.5%	0.0%	8.6%	0.1%	-591.8K	31.2M	-43.5K	0.43	82.95	7	3	295	2,589
2020-05-08	$192.15	$250.00	34.0%	10.3%	41.6%	23.8%	43.5%	8.8%	1.6%	-621.1K	30.2M	-45.3K	10.00	85.00	1	10	299	2,589
2020-05-11	$188.11	$250.00	51.2%	10.9%	40.5%	49.5%	24.7%	6.8%	0.5%	-520.3K	32.3M	-35.7K	0.04	83.87	158	7	299	2,581
2020-05-12	$182.83	$250.00	51.2%	11.5%	40.8%	49.5%	0.0%	9.2%	-2.4%	-445.7K	33.3M	-32.1K	1.80	82.29	5	9	431	2,582
2020-05-13	$177.94	$250.00	42.6%	12.2%	38.4%	36.6%	43.9%	5.7%	-1.9%	-456.5K	33.0M	-34.2K	21.00	81.95	1	21	436	2,591
2020-05-14	$184.22	$250.00	38.4%	11.0%	40.1%	30.5%	31.7%	10.2%	-2.6%	-417.5K	34.3M	-28.6K	4.00	81.51	1	4	437	2,595
2020-05-15	$180.62	$250.00	44.0%	12.6%	40.3%	38.7%	39.0%	6.6%	-2.3%	-647.6K	33.2M	-32.4K	4.00	82.57	1	4	439	2,597
2020-05-18	$194.62	$250.00	36.4%	10.4%	47.9%	27.4%	37.3%	12.2%	-1.6%	-601.7K	31.2M	-37.0K	0.13	84.81	16	2	377	2,416
2020-05-19	$190.97	$250.00	38.5%	11.0%	45.5%	30.6%	39.1%	8.3%	-2.8%	-522.0K	31.4M	-36.2K	1.00	84.49	2	2	394	2,417
2020-05-20	$191.57	$250.00	38.6%	11.1%	45.2%	30.7%	43.4%	7.6%	-3.5%	-539.4K	31.4M	-34.9K	0.77	85.61	13	10	393	2,417
2020-05-21	$195.31	$250.00	37.0%	10.6%	44.3%	28.3%	38.0%	11.0%	-1.0%	-606.2K	30.9M	-36.0K	0.88	86.10	8	7	404	2,427
2020-05-22	$197.60	$250.00	35.5%	10.2%	44.1%	26.1%	43.4%	9.9%	-0.6%	-647.0K	30.6M	-36.8K	0.00	85.28	0	52	412	2,434
2020-05-26	$212.33	$250.00	37.1%	10.6%	48.2%	28.6%	35.3%	5.2%	-1.8%	-802.9K	23.6M	-42.6K	0.09	92.28	151	13	412	2,434
2020-05-27	$214.04	$250.00	38.1%	10.9%	48.2%	30.0%	37.7%	5.4%	-2.1%	-973.6K	23.1M	-41.6K	0.32	91.51	19	6	346	2,445
2020-05-28	$215.19	$250.00	33.7%	9.7%	47.9%	23.5%	35.4%	8.5%	-1.1%	-1.0M	22.0M	-43.0K	1.14	91.38	7	8	345	2,451
2020-05-29	$212.88	$250.00	36.4%	10.4%	47.3%	27.5%	36.6%	4.3%	-0.3%	-1.0M	23.9M	-39.7K	0.75	93.15	4	3	337	2,459