LII Options History — August 2020

In August 2020, LII traded between $266.40 and $285.92. ATM implied volatility averaged 30.5%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 8.5% (HV 20d: 22.0%). Max pain ranged from $240.00 to $280.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 4.31.

Notable Days

  • 2020-08-10: Highest Volume — 241 contracts
  • 2020-08-27: Largest IV spike — 21.0% change
  • 2020-08-11: Highest IV Rank — 27.3%
  • 2020-08-03: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$277.16$266.40$285.92$270.51$281.87
Max Pain$247.62$240.00$280.00$270.00$250.00
ATM IV30.5%24.5%37.1%33.0%28.8%
Expected Move8.6%7.0%9.5%9.5%8.2%
HV 20d22.0%15.0%30.8%30.8%15.3%
HV 60d31.5%26.1%37.1%37.1%26.1%
IV Rank17.4%8.2%27.3%21.2%14.7%
IV Percentile51.1%23.8%71.8%59.9%44.0%
Term Structure2.4%-3.0%5.1%-0.2%1.6%
VWIV30.2%27.3%34.4%32.6%28.3%
Skew 25d2.7%-4.7%10.7%2.8%-2.3%
Skew 10d6.7%-10.1%21.2%-1.6%9.1%
Call IV 25d28.7%20.8%32.8%32.8%27.2%
Put IV 25d31.4%22.9%35.6%35.6%24.9%
Bid-Ask Spread %93.4790.7599.0890.9199.08
Gamma HHI0.220.130.330.140.33
Net GEX-51.9K-187.0K48.8K-8.1K-92.7K
Net DEX-4.1M-5.8M-1.6M-2.9M-5.3M
Net VEX-33.5K-39.4K-28.5K-39.4K-29.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.310.0048.000.130.01
Total Volume39.667024118105
Total OI1,560.2381,1461,7491,4471,472

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$270.51$270.0033.0%9.5%30.8%21.2%32.6%2.8%-0.2%-8.1K-2.9M-39.4K0.1390.911624191,028
2020-08-04$272.73$280.0032.6%9.3%30.7%20.5%34.4%5.4%-1.5%-12.0K-3.2M-38.6K0.0091.122004141,030
2020-08-05$273.49$280.0032.7%9.4%29.5%20.7%30.7%4.7%-2.0%-13.2K-3.4M-37.4K0.6790.75324081,030
2020-08-06$270.85$240.0031.8%8.9%29.4%19.3%0.0%4.4%4.1%-4.9K-3.0M-37.6K0.0091.130474081,031
2020-08-07$266.40$240.0030.1%8.7%29.6%16.7%30.3%3.5%4.9%-67.3K-1.6M-39.0K1.2091.72564081,075
2020-08-10$269.27$240.0033.9%8.5%26.3%22.5%0.0%5.1%4.7%-52.5K-2.4M-36.6K0.0091.1502414021,097
2020-08-11$274.71$240.0037.1%9.0%25.7%27.3%27.3%5.8%3.4%-187.0K-2.8M-37.1K0.5091.35214021,338
2020-08-12$277.01$240.0030.8%8.8%22.7%17.9%0.0%4.2%3.5%-161.7K-3.5M-35.8K0.0091.86204031,337
2020-08-13$277.80$240.0030.6%8.8%21.9%17.5%0.0%2.7%4.5%-147.7K-3.7M-35.4K0.0092.56004051,337
2020-08-14$277.64$240.0030.6%8.8%20.7%17.6%0.0%4.3%4.2%-131.4K-4.0M-34.0K0.0093.85104051,337
2020-08-17$276.56$240.0030.6%8.8%19.7%17.4%31.7%2.9%4.3%-11.2K-4.1M-32.5K0.0093.00104051,337
2020-08-18$278.12$240.0028.9%8.3%19.4%15.0%30.8%10.7%4.6%-27.6K-4.5M-31.5K0.3394.60314051,337
2020-08-19$279.58$240.0028.1%8.1%18.9%13.7%28.2%3.9%5.1%-58.1K-4.9M-30.6K0.2093.84514061,338
2020-08-20$275.96$240.0028.0%8.0%18.1%13.5%27.6%1.8%3.1%-23.6K-4.3M-30.7K0.1395.30814091,337
2020-08-21$277.44$240.0027.8%8.0%18.1%13.3%27.9%1.6%1.6%-57.9K-4.8M-30.0K1.4493.969134121,337
2020-08-24$281.93$240.0029.7%8.5%17.8%16.2%29.5%1.1%-3.0%48.8K-5.4M-28.5K12.0096.2616192364782
2020-08-25$283.73$250.0030.4%8.7%17.9%17.1%29.5%-4.7%1.8%41.0K-5.8M-29.1K0.0095.09080379965
2020-08-26$285.92$250.0024.5%7.0%17.3%8.2%34.4%0.7%3.7%-33.7K-5.8M-30.3K48.0096.211483791,045
2020-08-27$283.85$250.0029.6%8.5%16.4%16.0%0.0%-1.6%2.0%-46.9K-5.5M-30.6K0.0094.53003791,092
2020-08-28$284.93$250.0031.0%8.9%15.0%18.1%0.0%-0.8%0.0%-42.5K-5.7M-30.3K0.0094.52013791,092
2020-08-31$281.87$250.0028.8%8.2%15.3%14.7%28.3%-2.3%1.6%-92.7K-5.3M-29.5K0.0199.0810413791,093