LII Options History — July 2020

In July 2020, LII traded between $231.36 and $275.64. ATM implied volatility averaged 35.7%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 5.8% (HV 20d: 29.9%). Max pain ranged from $200.00 to $280.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 3.36.

Notable Days

  • 2020-07-06: Highest Volume — 470 contracts
  • 2020-07-13: Largest IV spike — 26.6% change
  • 2020-07-13: Highest IV Rank — 41.5%
  • 2020-07-13: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$251.86$231.36$275.64$232.70$267.05
Max Pain$240.45$200.00$280.00$220.00$270.00
ATM IV35.7%31.1%46.4%34.8%32.2%
Expected Move10.3%8.9%11.9%10.0%9.2%
HV 20d29.9%25.1%34.0%34.0%30.9%
HV 60d39.2%37.0%43.8%43.8%37.1%
IV Rank25.3%18.3%41.5%25.1%20.0%
IV Percentile68.5%56.7%88.9%68.3%58.3%
Term Structure-0.6%-3.3%3.7%2.3%-1.3%
VWIV35.3%29.5%45.5%36.7%31.1%
Skew 25d5.8%3.0%9.4%4.7%5.8%
Skew 10d12.4%-4.4%25.4%18.3%12.5%
Call IV 25d33.3%29.1%38.6%33.9%29.8%
Put IV 25d39.1%34.4%43.3%38.6%35.5%
Bid-Ask Spread %83.9174.9296.9891.9992.13
Gamma HHI0.190.140.260.250.16
Net GEX-5.2K-80.0K76.2K10.9K-27.6K
Net DEX-1.8M-5.0M384.7K-9.4K-2.3M
Net VEX-27.2K-41.4K-18.8K-20.5K-40.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.360.0033.330.000.00
Total Volume88.727047007
Total OI1,087.4098391,4628421,455

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$232.70$220.0034.8%10.0%34.0%25.1%0.0%4.7%2.3%10.9K-9.4K-20.5K0.0091.9900235607
2020-07-02$234.37$220.0034.5%9.9%34.0%24.6%0.0%3.0%3.7%14.0K-193.8K-20.5K0.0096.9810235607
2020-07-06$238.12$210.0035.1%11.1%29.9%25.5%36.7%9.4%-0.7%8.5K-609.8K-18.8K2.3879.67139331233606
2020-07-07$238.04$210.0033.2%11.0%29.6%21.5%30.9%8.4%-2.2%18.0K-636.1K-19.6K0.5083.1542237608
2020-07-08$245.01$210.0032.9%10.7%31.0%21.0%0.0%9.2%-1.2%7.4K-1.3M-18.8K0.1880.47224237610
2020-07-09$242.15$210.0040.1%10.8%26.4%31.8%0.0%7.1%1.2%16.2K-1.0M-19.2K0.5075.3542242611
2020-07-10$238.61$210.0036.7%10.9%25.1%26.7%0.0%5.0%-1.4%16.8K-572.0K-19.3K15.0081.80115243610
2020-07-13$231.36$210.0046.4%11.9%27.9%41.5%45.5%4.4%-3.2%21.2K384.7K-19.4K0.0276.83631243623
2020-07-14$237.67$200.0040.0%11.0%28.1%31.7%36.1%5.9%-0.8%76.2K-1.3M-20.0K0.0079.5230306623
2020-07-15$247.33$210.0038.5%11.0%30.6%29.4%39.6%7.4%-2.9%31.9K-2.4M-20.5K1.5178.56186280304623
2020-07-16$252.62$220.0039.6%11.4%31.1%31.2%0.0%5.9%-2.6%29.8K-3.4M-19.6K33.3380.233100323626
2020-07-17$248.76$220.0038.8%11.1%30.5%29.9%42.2%4.3%-3.3%-36.6K-2.0M-26.0K5.3188.0935186313726
2020-07-20$254.95$240.0039.6%11.4%30.7%31.2%37.0%6.4%-2.8%-80.0K-656.4K-30.2K0.8083.96151121262846
2020-07-21$253.82$280.0034.8%10.0%30.9%23.9%33.8%5.8%-1.8%-67.9K-709.9K-37.6K1.3387.9768381926
2020-07-22$258.08$280.0034.9%10.0%30.1%24.0%39.8%4.6%0.2%-64.1K-1.3M-37.2K3.4089.48517380928
2020-07-23$264.60$280.0033.1%9.5%30.4%21.3%33.3%4.1%2.1%-33.6K-2.7M-34.6K1.2985.9079381915
2020-07-24$266.18$280.0032.0%9.2%29.4%19.7%31.9%4.5%-0.3%-42.6K-2.8M-35.0K0.0885.29121387924
2020-07-27$271.20$280.0032.3%9.3%29.3%20.1%33.0%5.4%0.3%-24.6K-3.8M-33.0K0.5578.664022394925
2020-07-28$271.47$280.0032.2%9.2%28.8%19.9%32.9%5.5%0.1%2.1K-4.2M-34.5K0.4374.922310418941
2020-07-29$275.64$280.0031.1%8.9%28.7%18.3%31.3%4.5%0.5%19.5K-5.0M-32.9K3.6487.872591421946
2020-07-30$271.22$270.0031.5%9.0%29.7%18.9%29.5%5.5%0.8%-11.0K-3.4M-41.4K0.2587.291234361,026
2020-07-31$267.05$270.0032.2%9.2%30.9%20.0%31.1%5.8%-1.3%-27.6K-2.3M-40.5K0.0092.13704261,029