LII Options History — October 2020

In October 2020, LII traded between $270.17 and $289.62. ATM implied volatility averaged 33.6%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.5% (HV 20d: 27.1%). Max pain ranged from $270.00 to $280.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.14.

Notable Days

  • 2020-10-16: Highest Volume — 372 contracts
  • 2020-10-28: Largest IV spike — 18.1% change
  • 2020-10-30: Highest IV Rank — 34.3%
  • 2020-10-30: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$281.99$270.17$289.62$272.65$270.17
Max Pain$274.55$270.00$280.00$270.00$280.00
ATM IV33.6%29.8%41.7%33.6%41.7%
Expected Move9.7%8.5%12.0%9.6%12.0%
HV 20d27.1%24.6%31.8%27.9%31.8%
HV 60d24.1%22.4%26.0%25.4%26.0%
IV Rank22.1%16.2%34.3%22.0%34.3%
IV Percentile56.3%37.7%82.1%59.1%82.1%
Term Structure-0.3%-4.1%5.4%2.8%-4.1%
VWIV33.9%27.8%42.2%32.5%42.2%
Skew 25d4.3%-0.7%8.9%-0.7%3.8%
Skew 10d6.4%-7.5%24.7%-6.8%-6.9%
Call IV 25d32.1%27.8%40.0%30.4%40.0%
Put IV 25d36.4%29.7%43.8%29.7%43.8%
Bid-Ask Spread %89.8284.5498.1998.1991.65
Gamma HHI0.300.170.860.200.17
Net GEX270.9K-580.1K2.9M-554.7K74.5K
Net DEX-2.3M-8.0M3.1M3.1M33.7K
Net VEX-37.3K-46.4K-29.6K-46.4K-37.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.0024.001.0024.00
Total Volume62.8642372425
Total OI1,517.4091,0502,0561,5701,135

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$272.65$270.0033.6%9.6%27.9%22.0%32.5%-0.7%2.8%-554.7K3.1M-46.4K1.0098.19223221,248
2020-10-02$276.27$270.0029.8%8.5%25.7%16.2%30.3%-0.2%5.4%-444.3K1.3M-43.0K0.0097.3702023221,247
2020-10-05$283.14$270.0031.3%10.8%27.2%18.5%39.4%8.9%-2.4%-342.0K-931.3K-38.6K0.0084.540213191,433
2020-10-06$278.93$270.0031.3%9.9%25.4%18.5%34.1%3.9%0.2%-483.9K517.7K-40.8K4.0087.40283201,434
2020-10-07$277.65$270.0031.1%9.8%24.8%18.2%33.1%3.9%-1.2%-549.7K1.0M-40.3K1.3084.6810133221,426
2020-10-08$275.76$270.0033.0%9.5%24.6%21.2%33.3%5.3%0.1%-580.1K1.4M-39.8K0.0489.68245113241,422
2020-10-09$283.96$270.0033.9%9.5%26.4%22.4%34.7%6.7%-1.5%324.5K-4.1M-38.2K1.7589.708145661,425
2020-10-12$289.62$270.0037.1%9.7%27.1%27.3%34.0%4.1%-0.2%711.5K-7.4M-33.1K0.6492.7428185621,434
2020-10-13$286.99$270.0040.2%10.2%27.0%32.1%31.9%5.3%-3.0%720.1K-6.5M-35.1K0.1190.263645901,434
2020-10-14$289.07$270.0033.7%9.7%27.1%22.1%35.5%2.7%-1.6%752.7K-7.6M-34.0K0.0090.70506231,433
2020-10-15$288.73$270.0034.3%9.8%27.1%23.2%36.1%3.9%-1.1%2.1M-8.0M-32.4K4.5087.86296181,433
2020-10-16$289.08$270.0032.8%9.4%25.4%20.8%35.0%2.1%0.7%2.9M-7.7M-29.6K0.1286.02331416181,434
2020-10-19$278.23$280.0031.1%8.9%29.4%18.2%30.8%6.2%1.0%89.2K-1.1M-34.7K0.6591.338555391659
2020-10-20$284.22$280.0031.3%9.0%29.9%18.6%31.1%5.3%0.5%132.4K-1.7M-36.0K0.1388.81547413684
2020-10-21$284.90$280.0031.8%9.1%25.7%19.3%32.0%2.4%1.7%156.3K-2.2M-38.4K1.7888.48916435681
2020-10-22$288.12$280.0030.8%8.8%25.7%17.8%29.4%5.1%-1.7%190.5K-3.0M-36.8K0.0091.2340438665
2020-10-23$288.16$280.0030.1%8.6%25.7%16.7%27.8%5.5%-0.5%214.2K-3.1M-35.4K1.3391.6668438665
2020-10-26$281.34$280.0033.0%9.5%26.0%21.1%35.4%5.7%-0.4%149.7K-1.6M-37.3K1.0086.4611437673
2020-10-27$285.24$280.0033.2%9.5%26.3%21.4%33.8%3.8%0.9%169.7K-2.4M-36.4K0.0789.42151436673
2020-10-28$273.89$280.0039.2%11.2%30.3%30.5%36.2%4.1%-1.9%78.1K-338.7K-37.2K0.0989.59535437674
2020-10-29$277.64$280.0035.3%10.1%30.7%24.7%37.8%7.5%-0.5%137.9K-999.8K-38.4K0.3088.27206468672
2020-10-30$270.17$280.0041.7%12.0%31.8%34.3%42.2%3.8%-4.1%74.5K33.7K-37.8K24.0091.65124468667