LII Options History — September 2020

In September 2020, LII traded between $260.80 and $287.93. ATM implied volatility averaged 32.0%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 9.0% (HV 20d: 23.0%). Max pain ranged from $185.00 to $270.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 11.21.

Notable Days

  • 2020-09-08: Highest Volume — 874 contracts
  • 2020-09-08: Largest IV spike — 16.7% change
  • 2020-09-08: Highest IV Rank — 27.4%
  • 2020-09-08: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$272.98$260.80$287.93$286.47$272.17
Max Pain$255.95$185.00$270.00$250.00$270.00
ATM IV32.0%28.5%37.1%29.2%32.1%
Expected Move9.3%8.3%10.7%8.4%9.2%
HV 20d23.0%16.0%28.7%16.0%27.9%
HV 60d25.3%24.3%26.2%26.2%26.0%
IV Rank19.6%14.3%27.4%15.5%19.8%
IV Percentile53.6%37.7%71.8%46.0%53.6%
Term Structure2.3%-1.9%7.4%3.4%2.7%
VWIV32.2%27.0%37.5%34.6%27.0%
Skew 25d2.3%-4.7%6.8%-0.1%-4.7%
Skew 10d6.7%-6.6%19.1%1.2%-6.6%
Call IV 25d30.7%27.9%33.6%29.6%31.1%
Put IV 25d33.0%26.3%38.0%29.5%26.3%
Bid-Ask Spread %90.7975.6798.0696.5097.84
Gamma HHI0.250.210.360.220.21
Net GEX-627.6K-1.2M56.9K50.2K-581.1K
Net DEX2.6M-7.8M12.1M-7.5M3.6M
Net VEX-53.2K-70.5K-32.9K-33.7K-45.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.210.0028.760.001.63
Total Volume157.3330874142
Total OI2,040.0481,5183,0521,5771,534

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$286.47$250.0029.2%8.4%16.0%15.5%0.0%-0.1%3.4%50.2K-7.5M-33.7K0.0096.50104831,094
2020-09-02$287.93$250.0033.3%9.6%16.0%21.6%0.0%1.1%-1.3%56.9K-7.8M-32.9K0.0098.06004831,094
2020-09-03$278.24$185.0028.5%9.8%20.3%14.3%34.6%3.3%1.1%2.0K-6.0M-33.9K0.0091.311004831,094
2020-09-04$277.87$185.0031.8%9.4%19.2%19.3%34.0%3.7%3.3%7.2K-6.0M-34.4K2.3391.92374931,094
2020-09-08$269.65$185.0037.1%10.7%22.0%27.4%37.5%4.0%-0.8%-87.7K-3.9M-34.4K16.1485.54518234941,093
2020-09-09$274.35$270.0037.0%10.6%21.7%27.2%36.2%4.5%-1.9%-610.4K1.6M-57.2K15.1682.56192885311,815
2020-09-10$271.32$270.0035.5%10.2%21.8%25.0%35.3%5.0%-0.4%-864.0K5.2M-62.7K10.4086.58101045321,997
2020-09-11$274.48$270.0034.5%9.9%22.2%23.4%35.3%3.5%1.7%-877.0K3.8M-62.4K19.3386.903585322,049
2020-09-14$276.37$270.0030.6%8.8%22.4%17.5%33.5%4.7%2.9%-851.1K2.3M-58.6K23.5875.67194485342,081
2020-09-15$273.74$270.0029.6%8.5%22.6%16.1%31.1%3.5%3.5%-991.4K4.4M-68.9K27.6278.87133595432,314
2020-09-16$274.92$270.0030.9%8.9%22.6%18.0%30.9%3.7%2.6%-1.1M4.6M-70.1K2.9389.5714415322,520
2020-09-17$274.25$270.0032.7%9.4%22.5%20.7%32.0%2.3%2.2%-1.0M4.8M-70.5K26.5089.542535302,509
2020-09-18$268.10$270.0031.5%9.0%23.4%18.9%31.0%0.4%2.4%-1.1M8.8M-70.5K10.1891.12111125282,489
2020-09-21$267.14$270.0030.5%8.8%23.3%17.4%30.7%6.8%3.7%-1.2M12.1M-67.2K28.7690.42174893251,670
2020-09-22$270.99$270.0031.5%9.0%23.1%18.8%30.6%2.2%1.8%-624.8K5.3M-56.1K0.0092.780413231,286
2020-09-23$260.80$270.0030.7%8.8%26.2%17.7%30.5%4.1%5.3%-754.3K9.1M-57.2K0.0094.550823231,288
2020-09-24$264.02$270.0031.8%9.1%26.5%19.4%32.8%1.8%5.6%-674.3K7.0M-54.4K5.1494.767363231,228
2020-09-25$264.36$270.0028.9%8.3%26.5%14.9%29.7%1.1%7.4%-678.2K6.5M-52.0K0.0096.88083301,210
2020-09-28$271.86$270.0032.1%9.2%28.7%19.8%30.4%-0.7%2.4%-660.7K3.5M-47.4K0.0197.8410113271,215
2020-09-29$273.55$270.0031.9%9.1%28.7%19.4%29.2%-1.7%1.5%-578.5K3.2M-46.1K0.9497.4416153031,215
2020-09-30$272.17$270.0032.1%9.2%27.9%19.8%27.0%-4.7%2.7%-581.1K3.6M-45.7K1.6397.8416263091,225