LII Options History — December 2020

In December 2020, LII traded between $270.57 and $287.32. ATM implied volatility averaged 29.9%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 3.5% (HV 20d: 26.4%). Max pain ranged from $270.00 to $280.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2020-12-15: Highest Volume — 202 contracts
  • 2020-12-29: Largest IV drop — 7.5% change
  • 2020-12-07: Highest IV Rank — 21.0%
  • 2020-12-02: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$277.37$270.57$287.32$287.32$274.32
Max Pain$279.09$270.00$280.00$270.00$280.00
ATM IV29.9%27.1%32.9%30.7%28.9%
Expected Move8.5%7.8%9.4%8.8%8.3%
HV 20d26.4%21.9%31.1%31.1%21.9%
HV 60d30.4%29.3%31.5%30.5%29.3%
IV Rank16.5%12.2%21.0%17.6%15.0%
IV Percentile28.0%13.5%50.0%35.7%18.7%
Term Structure1.8%-3.4%5.2%0.2%0.7%
VWIV29.0%24.3%33.5%33.5%26.6%
Skew 25d5.0%1.9%7.9%5.1%5.1%
Skew 10d13.2%3.0%20.0%11.8%10.2%
Call IV 25d28.0%24.2%31.6%29.3%24.2%
Put IV 25d33.0%29.3%36.4%34.4%29.3%
Bid-Ask Spread %88.8183.2794.5091.9894.50
Gamma HHI0.190.130.290.270.15
Net GEX93.2K-30.5K399.1K173.3K63.5K
Net DEX-526.0K-2.2M849.7K-2.2M265.4K
Net VEX-25.8K-28.8K-21.5K-28.5K-22.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.009.009.001.00
Total Volume29.8181202104
Total OI1,093.6369041,4601,074913

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$287.32$270.0030.7%8.8%31.1%17.6%33.5%5.1%0.2%173.3K-2.2M-28.5K9.0091.9819412662
2020-12-02$280.87$270.0032.8%9.4%29.8%20.8%31.0%4.8%-3.4%76.5K-799.7K-28.8K0.4391.1473412670
2020-12-03$280.99$280.0031.8%8.8%29.4%19.2%32.4%3.9%1.4%76.1K-887.2K-27.5K1.2584.5145410667
2020-12-04$276.74$280.0030.6%8.7%26.0%17.6%0.0%4.2%1.2%27.1K-293.5K-27.7K0.0086.2630412672
2020-12-07$275.90$280.0032.9%8.5%25.8%21.0%30.0%4.9%1.5%12.3K-223.8K-26.9K1.5083.27812413672
2020-12-08$282.90$280.0030.9%8.5%25.5%17.9%29.5%1.9%1.9%74.7K-952.3K-25.7K0.0583.99382412684
2020-12-09$286.35$280.0030.3%8.7%26.0%17.1%27.5%3.1%1.2%202.8K-2.0M-25.8K0.0285.59441448686
2020-12-10$277.51$280.0030.0%8.6%28.1%16.6%29.8%4.0%1.2%48.5K-425.3K-24.8K0.0684.78322490687
2020-12-11$280.70$280.0029.6%8.5%28.3%16.0%29.5%5.5%1.6%146.8K-1.2M-26.4K0.0085.88260511689
2020-12-14$273.07$280.0031.3%9.0%26.6%18.6%30.5%5.5%0.7%-30.5K295.6K-26.7K0.8387.021210536689
2020-12-15$276.84$280.0029.1%8.4%27.3%15.3%29.1%5.3%1.3%35.0K-464.3K-26.5K0.1387.3517824540688
2020-12-16$277.33$280.0028.2%8.1%27.4%14.0%0.0%5.5%3.8%193.0K-1.2M-27.2K0.6389.2585699704
2020-12-17$279.73$280.0029.1%8.3%27.7%15.2%27.5%4.1%2.6%399.1K-1.9M-26.5K0.0788.77755696719
2020-12-18$276.96$280.0029.5%8.5%27.8%15.9%28.8%4.3%2.1%298.8K-1.3M-27.1K2.1089.121021736724
2020-12-21$276.96$280.0029.5%8.5%27.7%15.9%30.1%5.3%2.2%96.0K-416.9K-27.2K1.1789.8767388516
2020-12-22$273.98$280.0030.4%8.7%27.8%17.3%28.0%6.3%3.5%45.9K179.9K-25.9K0.1390.2181385523
2020-12-23$274.15$280.0029.5%8.4%26.1%15.8%26.0%6.1%3.1%60.0K-43.6K-23.7K0.0089.8170392524
2020-12-24$273.01$280.0028.2%8.1%22.4%13.9%26.2%5.9%2.3%36.9K338.6K-23.8K0.0092.2110393524
2020-12-28$273.82$280.0029.3%8.4%22.5%15.5%28.2%4.6%3.1%26.0K307.6K-22.9K5.0092.29210394524
2020-12-29$270.57$280.0027.1%7.8%22.7%12.2%24.3%7.9%5.2%-25.9K849.7K-21.5K0.0092.78240395524
2020-12-30$272.22$280.0028.7%8.2%22.9%14.6%31.7%7.0%2.1%15.2K598.0K-23.7K2.1593.301328401524
2020-12-31$274.32$280.0028.9%8.3%21.9%15.0%26.6%5.1%0.7%63.5K265.4K-22.6K1.0094.5022406507