LII Options History — June 2020

In June 2020, LII traded between $216.17 and $237.38. ATM implied volatility averaged 37.4%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 5.3% (HV 20d: 42.7%). Max pain ranged from $220.00 to $250.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.92.

Notable Days

  • 2020-06-04: Highest Volume — 620 contracts
  • 2020-06-08: Largest IV spike — 22.8% change
  • 2020-06-15: Highest IV Rank — 41.9%
  • 2020-06-15: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$225.86$216.17$237.38$217.00$233.61
Max Pain$224.09$220.00$250.00$250.00$220.00
ATM IV37.4%30.3%46.1%35.6%33.0%
Expected Move10.7%9.5%13.2%10.2%9.5%
HV 20d42.7%34.9%49.2%45.9%35.9%
HV 60d55.7%44.5%65.9%65.7%44.5%
IV Rank29.0%18.3%41.9%26.2%22.4%
IV Percentile76.7%65.9%88.9%77.0%65.9%
Term Structure0.6%-4.6%6.9%-2.1%5.2%
VWIV37.3%32.7%45.1%34.7%32.9%
Skew 25d7.7%0.2%15.6%8.1%2.1%
Skew 10d13.3%-0.6%27.9%14.8%13.8%
Call IV 25d33.4%24.6%37.9%33.1%33.8%
Put IV 25d41.1%35.9%47.8%41.2%35.9%
Bid-Ask Spread %91.3481.1097.3395.1790.25
Gamma HHI0.340.220.530.430.24
Net GEX-636.4K-1.2M5.7K-1.0M5.7K
Net DEX12.5M-28.9K22.7M22.3M-28.9K
Net VEX-29.2K-37.1K-21.0K-35.5K-21.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.003.670.610.00
Total Volume67.2730620295
Total OI2,291.7738343,0762,789839

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$217.00$250.0035.6%10.2%45.9%26.2%34.7%8.1%-2.1%-1.0M22.3M-35.5K0.6195.1718113302,459
2020-06-02$216.17$250.0035.1%10.1%45.9%25.5%0.0%6.5%-1.5%-1.0M22.7M-34.8K0.0093.630503402,464
2020-06-03$224.04$250.0038.1%10.9%46.5%30.1%35.4%0.2%-1.7%-1.0M19.1M-36.2K0.1097.332123402,509
2020-06-04$223.59$220.0035.3%9.9%46.1%25.9%36.0%6.5%1.2%-1.0M19.3M-34.6K3.4681.101394813552,510
2020-06-05$234.62$220.0030.3%9.5%48.1%18.3%32.7%8.5%-0.7%-1.2M13.7M-37.0K0.1091.355253572,560
2020-06-08$237.38$220.0037.2%10.0%47.9%28.6%39.7%9.8%-2.0%-1.2M11.0M-32.0K0.1189.865463842,560
2020-06-09$234.65$220.0042.6%10.8%47.2%36.8%38.0%9.7%-4.1%-1.1M14.7M-34.9K3.6790.243114272,561
2020-06-10$224.55$220.0037.9%10.9%49.2%29.6%45.1%10.1%-2.7%-994.5K18.3M-34.3K0.5091.38634302,572
2020-06-11$219.02$220.0041.1%11.8%49.0%34.5%40.2%7.5%-0.8%-947.8K21.7M-37.1K0.1686.851934342,575
2020-06-12$217.99$220.0043.6%12.5%48.4%38.2%0.0%8.9%-3.0%-1.0M22.0M-33.9K0.0090.800284542,575
2020-06-15$223.46$220.0046.1%13.2%47.5%41.9%0.0%10.8%-4.6%-960.1K19.3M-32.6K0.0089.560124542,595
2020-06-16$227.46$220.0041.0%11.7%41.2%34.2%40.0%10.1%-1.1%-869.3K17.0M-29.6K0.0988.502324542,605
2020-06-17$230.03$220.0040.0%11.5%40.0%32.8%38.5%6.1%-0.5%-642.8K15.2M-25.7K0.6089.51534692,607
2020-06-18$225.02$220.0034.2%9.8%41.5%24.1%0.0%8.1%5.0%-488.2K16.4M-24.9K0.0087.70004662,609
2020-06-19$222.94$220.0035.2%10.1%41.7%25.6%34.4%7.0%5.8%-316.0K16.0M-23.6K3.3388.183104632,609
2020-06-22$222.73$220.0035.1%10.1%41.7%25.5%0.0%2.7%5.2%-25.9K1.4M-23.4K0.2091.7751228606
2020-06-23$229.03$220.0035.2%10.1%34.9%25.7%37.1%8.9%2.0%-14.0K1.1M-24.3K2.2095.40150330232607
2020-06-24$227.46$220.0034.9%10.0%35.0%25.2%0.0%3.3%4.4%-20.9K774.8K-21.7K0.0095.5700234610
2020-06-25$224.49$220.0035.3%10.1%35.5%25.8%34.9%5.9%6.9%-16.6K975.1K-21.9K0.6092.4753234610
2020-06-26$223.86$220.0037.7%10.8%35.2%29.4%0.0%15.6%2.3%-22.6K997.9K-22.3K0.0096.3610239607
2020-06-29$229.81$220.0039.1%11.2%35.7%31.5%39.5%11.9%0.8%-1.9K321.6K-21.6K0.0096.49100239607
2020-06-30$233.61$220.0033.0%9.5%35.9%22.4%32.9%2.1%5.2%5.7K-28.9K-21.0K0.0090.2550232607