LII Options History — January 2021

In January 2021, LII traded between $267.81 and $293.74. ATM implied volatility averaged 32.3%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 11.1% (HV 20d: 21.2%). Max pain ranged from $260.00 to $280.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 2.63.

Notable Days

2021-01-15: Highest Volume — 45 contracts
2021-01-11: Largest IV spike — 25.6% change
2021-01-29: Highest IV Rank — 31.1%
2021-01-29: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$282.14	$267.81	$293.74	$267.81	$275.92
Max Pain	$269.47	$260.00	$280.00	$260.00	$280.00
ATM IV	32.3%	27.4%	40.5%	34.7%	40.5%
Expected Move	9.5%	8.8%	11.6%	9.5%	11.6%
HV 20d	21.2%	18.6%	25.6%	23.3%	25.6%
HV 60d	28.6%	26.4%	29.7%	29.7%	26.4%
IV Rank	19.0%	12.6%	31.1%	23.8%	31.1%
IV Percentile	42.4%	12.3%	79.8%	57.9%	79.8%
Term Structure	-1.3%	-4.4%	0.9%	-1.7%	-4.0%
VWIV	29.8%	18.1%	35.8%	32.3%	31.7%
Skew 25d	4.0%	0.9%	7.7%	4.8%	1.1%
Skew 10d	12.5%	-1.8%	20.8%	10.0%	12.0%
Call IV 25d	31.4%	28.4%	36.6%	33.0%	36.6%
Put IV 25d	35.4%	32.7%	40.5%	37.7%	37.6%
Bid-Ask Spread %	86.63	81.36	91.27	82.58	89.89
Gamma HHI	0.16	0.14	0.29	0.15	0.15
Net GEX	42.1K	-56.2K	142.2K	-10.9K	-8.1K
Net DEX	-680.3K	-2.0M	1.3M	1.1M	-19.9K
Net VEX	-18.9K	-22.6K	-16.8K	-21.9K	-19.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.63	0.00	20.50	15.50	1.67
Total Volume	12.895	0	45	33	8
Total OI	857.421	734	988	910	749

Daily Data (19 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
2021-01-04	$267.81	$260.00	34.7%	9.5%	23.3%	23.8%	0.0%	4.8%	-1.7%	-10.9K	1.1M	-21.9K	15.50	82.58	2	31	405	505
2021-01-05	$268.50	$260.00	30.1%	9.6%	22.9%	16.8%	0.0%	5.9%	-1.9%	-56.2K	1.3M	-22.6K	0.00	82.26	2	0	405	531
2021-01-06	$273.35	$260.00	31.1%	9.4%	23.9%	18.3%	0.0%	4.6%	-0.7%	17.0K	409.5K	-21.3K	2.33	85.08	3	7	407	531
2021-01-07	$277.09	$260.00	27.4%	8.8%	22.6%	12.6%	0.0%	3.2%	-1.1%	59.6K	-65.5K	-21.2K	0.33	82.97	6	2	407	532
2021-01-08	$273.59	$260.00	28.0%	9.2%	22.4%	13.5%	32.3%	3.6%	-1.1%	-14.3K	495.3K	-21.1K	20.50	84.98	2	41	407	533
2021-01-11	$274.96	$260.00	35.1%	9.6%	19.6%	24.3%	0.0%	5.2%	-2.0%	-53.0K	444.6K	-19.5K	0.00	81.36	0	0	407	572
2021-01-12	$282.02	$260.00	28.9%	9.2%	21.3%	13.3%	35.8%	3.7%	-0.1%	93.5K	-664.7K	-19.2K	0.00	83.59	18	0	407	572
2021-01-13	$282.15	$260.00	31.8%	9.1%	18.6%	17.7%	32.2%	3.5%	0.6%	89.1K	-796.7K	-18.5K	0.44	87.48	9	4	411	572
2021-01-14	$285.85	$260.00	30.7%	8.8%	18.6%	16.0%	0.0%	5.9%	0.9%	142.2K	-1.4M	-17.9K	0.42	86.36	12	5	412	576
2021-01-15	$281.42	$260.00	31.9%	9.1%	19.5%	17.9%	28.1%	0.9%	-1.9%	95.8K	-737.6K	-18.8K	0.29	90.30	35	10	412	573
2021-01-19	$283.49	$280.00	33.1%	9.5%	19.5%	19.7%	28.5%	5.0%	-4.4%	34.8K	-902.7K	-17.4K	0.17	88.08	6	1	238	500
2021-01-20	$289.62	$280.00	30.7%	8.8%	20.4%	16.0%	29.4%	4.2%	-0.8%	49.8K	-1.5M	-16.8K	3.00	87.40	1	3	234	500
2021-01-21	$292.56	$280.00	31.5%	9.0%	20.5%	17.2%	29.8%	4.8%	0.7%	66.7K	-1.9M	-17.1K	0.08	88.12	25	2	240	503
2021-01-22	$293.74	$280.00	31.7%	9.1%	19.9%	17.6%	32.6%	3.3%	-0.4%	63.2K	-1.9M	-17.9K	0.00	87.91	6	0	244	504
2021-01-25	$289.60	$280.00	33.5%	9.6%	20.8%	20.4%	0.0%	4.3%	-1.3%	60.7K	-1.7M	-17.1K	0.00	87.21	0	1	247	503
2021-01-26	$291.24	$280.00	32.5%	9.3%	20.7%	18.7%	0.0%	7.7%	-2.0%	65.7K	-1.8M	-17.2K	0.00	87.93	1	0	247	504
2021-01-27	$291.83	$280.00	36.3%	10.4%	20.7%	24.6%	18.1%	2.5%	-3.3%	66.1K	-2.0M	-16.9K	0.00	91.27	1	0	247	504
2021-01-28	$285.88	$280.00	34.6%	9.9%	21.8%	22.1%	0.0%	2.4%	-0.6%	38.4K	-1.2M	-17.6K	0.00	91.26	1	0	246	504
2021-01-29	$275.92	$280.00	40.5%	11.6%	25.6%	31.1%	31.7%	1.1%	-4.0%	-8.1K	-19.9K	-19.2K	1.67	89.89	3	5	245	504