LII Options History — November 2020

In November 2020, LII traded between $282.06 and $306.62. ATM implied volatility averaged 31.7%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 5.2% (HV 20d: 36.8%). Max pain ranged from $260.00 to $280.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.39.

Notable Days

2020-11-02: Highest Volume — 86 contracts
2020-11-11: Largest IV drop — 16.6% change
2020-11-03: Highest IV Rank — 30.7%
2020-11-03: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$295.24	$282.06	$306.62	$282.06	$287.38
Max Pain	$265.50	$260.00	$280.00	$280.00	$270.00
ATM IV	31.7%	28.2%	39.3%	38.8%	29.6%
Expected Move	8.9%	8.1%	11.3%	11.1%	8.5%
HV 20d	36.8%	34.4%	40.1%	34.4%	34.5%
HV 60d	29.6%	27.2%	31.3%	27.2%	30.5%
IV Rank	19.1%	13.9%	30.7%	30.0%	16.1%
IV Percentile	40.7%	23.8%	77.0%	76.2%	27.8%
Term Structure	0.2%	-3.9%	3.2%	-0.4%	-0.1%
VWIV	31.8%	26.3%	39.6%	38.6%	39.6%
Skew 25d	4.6%	3.0%	6.9%	4.7%	5.1%
Skew 10d	9.5%	-3.8%	17.6%	5.8%	12.6%
Call IV 25d	29.9%	26.4%	38.7%	38.7%	29.6%
Put IV 25d	34.5%	30.8%	43.4%	43.4%	34.7%
Bid-Ask Spread %	90.70	86.55	93.19	89.95	92.95
Gamma HHI	0.34	0.18	0.65	0.22	0.25
Net GEX	402.6K	94.4K	1.1M	168.3K	161.4K
Net DEX	-5.0M	-8.0M	-1.9M	-1.9M	-1.9M
Net VEX	-31.7K	-38.5K	-27.8K	-38.5K	-30.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.00	2.00	0.02	2.00
Total Volume	26.3	0	86	86	6
Total OI	1,167.25	967	1,255	1,152	1,071

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-11-02	$282.06	$280.00	38.8%	11.1%	34.4%	30.0%	38.6%	4.7%	-0.4%	168.3K	-1.9M	-38.5K	0.02	89.95	84	2	467	685
2020-11-03	$291.51	$280.00	39.3%	11.3%	35.8%	30.7%	38.6%	5.5%	-3.9%	249.5K	-3.8M	-37.1K	0.77	92.45	13	10	467	685
2020-11-04	$294.52	$280.00	35.0%	10.0%	35.9%	24.1%	35.1%	5.4%	-2.6%	332.6K	-4.9M	-36.2K	0.33	92.71	3	1	485	679
2020-11-05	$305.38	$260.00	31.6%	8.5%	37.5%	19.0%	26.3%	4.5%	3.2%	375.7K	-7.7M	-32.8K	0.05	91.60	37	2	484	680
2020-11-06	$306.62	$260.00	31.1%	8.4%	36.4%	18.2%	28.7%	6.9%	2.2%	374.7K	-8.0M	-33.7K	0.26	87.45	31	8	501	682
2020-11-09	$296.35	$260.00	36.2%	9.1%	38.3%	25.9%	32.7%	3.9%	0.0%	407.0K	-6.2M	-33.6K	0.05	90.14	42	2	523	688
2020-11-10	$295.35	$260.00	36.4%	9.0%	38.1%	26.3%	31.6%	4.1%	-0.2%	394.6K	-5.6M	-34.1K	0.00	86.55	3	0	518	690
2020-11-11	$293.03	$260.00	30.3%	8.7%	38.2%	17.1%	0.0%	4.6%	1.0%	424.8K	-4.7M	-33.5K	0.00	88.14	0	11	518	690
2020-11-12	$289.82	$260.00	29.9%	8.6%	38.4%	16.5%	0.0%	4.1%	1.5%	392.2K	-3.9M	-31.8K	0.00	89.79	0	0	518	700
2020-11-13	$299.49	$260.00	30.7%	8.8%	40.1%	17.7%	0.0%	3.5%	0.2%	526.0K	-6.7M	-31.4K	0.48	89.23	23	11	527	700
2020-11-16	$300.62	$260.00	30.1%	8.6%	37.2%	16.7%	32.5%	3.0%	1.0%	664.2K	-7.4M	-30.3K	0.22	88.11	46	10	544	711
2020-11-17	$299.22	$260.00	30.5%	8.7%	36.8%	17.3%	0.0%	4.1%	0.6%	850.5K	-7.5M	-29.7K	0.00	92.13	0	0	549	701
2020-11-18	$297.68	$260.00	29.8%	8.5%	36.9%	16.3%	0.0%	5.9%	0.9%	857.6K	-6.6M	-29.7K	0.00	89.93	0	1	549	701
2020-11-19	$297.32	$260.00	29.3%	8.4%	36.7%	15.6%	29.1%	4.5%	0.9%	1.1M	-6.6M	-27.8K	0.00	90.89	28	0	549	702
2020-11-20	$294.20	$260.00	29.9%	8.6%	37.0%	16.4%	29.2%	5.0%	-1.0%	94.4K	-4.3M	-28.5K	1.75	93.19	8	14	551	702
2020-11-23	$294.67	$270.00	29.3%	8.4%	35.8%	15.6%	27.5%	4.3%	-0.8%	113.7K	-2.8M	-27.8K	0.18	91.61	61	11	319	648
2020-11-24	$301.26	$270.00	28.3%	8.1%	36.2%	14.0%	27.9%	4.7%	0.6%	223.0K	-4.6M	-28.9K	0.16	90.85	37	6	379	654
2020-11-25	$289.22	$270.00	28.7%	8.2%	36.3%	14.7%	28.2%	3.8%	0.4%	175.1K	-2.7M	-29.4K	0.00	93.15	14	0	401	659
2020-11-27	$289.15	$270.00	28.2%	8.1%	36.1%	13.9%	0.0%	5.1%	-0.3%	184.3K	-2.5M	-29.1K	0.00	93.19	1	0	409	659
2020-11-30	$287.38	$270.00	29.6%	8.5%	34.5%	16.1%	39.6%	5.1%	-0.1%	161.4K	-1.9M	-30.4K	2.00	92.95	2	4	412	659