LII Options History — February 2021

In February 2021, LII traded between $271.41 and $294.06. ATM implied volatility averaged 30.4%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.7% (HV 20d: 26.6%). Max pain ranged from $270.00 to $280.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 2.12.

Notable Days

2021-02-19: Highest Volume — 555 contracts
2021-02-26: Largest IV spike — 22.9% change
2021-02-01: Highest IV Rank — 30.1%
2021-02-01: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$285.37	$271.41	$294.06	$282.59	$282.21
Max Pain	$271.58	$270.00	$280.00	$280.00	$270.00
ATM IV	30.4%	26.4%	39.8%	39.8%	32.4%
Expected Move	8.8%	7.6%	11.4%	11.4%	9.3%
HV 20d	26.6%	25.7%	27.7%	26.8%	26.6%
HV 60d	24.7%	23.0%	26.1%	26.0%	23.7%
IV Rank	13.9%	3.1%	30.1%	30.1%	13.1%
IV Percentile	24.5%	0.4%	77.4%	77.4%	43.7%
Term Structure	0.6%	-4.4%	4.3%	-3.1%	-0.9%
VWIV	31.1%	26.4%	37.6%	36.6%	31.2%
Skew 25d	2.6%	-5.9%	6.3%	-5.9%	3.9%
Skew 10d	7.7%	-2.3%	19.2%	8.8%	13.4%
Call IV 25d	30.1%	27.3%	36.7%	36.7%	31.1%
Put IV 25d	32.7%	30.5%	37.5%	30.8%	34.9%
Bid-Ask Spread %	92.04	88.95	96.79	93.25	93.61
Gamma HHI	0.39	0.15	0.74	0.15	0.22
Net GEX	527.3K	-96.3K	1.7M	25.7K	308.2K
Net DEX	-2.4M	-5.1M	1.2M	-842.7K	-2.0M
Net VEX	-18.6K	-22.2K	-14.1K	-17.1K	-17.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.12	0.00	35.50	0.08	0.07
Total Volume	86.474	5	555	443	15
Total OI	1,344.263	756	1,473	756	1,323

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
2021-02-01	$282.59	$280.00	39.8%	11.4%	26.8%	30.1%	36.6%	-5.9%	-3.1%	25.7K	-842.7K	-17.1K	0.08	93.25	410	33	247	509
2021-02-02	$277.98	$280.00	33.8%	9.7%	25.9%	20.9%	37.6%	6.3%	-4.4%	352.9K	-1.6M	-20.6K	35.50	96.79	6	213	648	542
2021-02-03	$271.41	$280.00	28.1%	8.0%	27.5%	11.9%	29.4%	0.3%	3.3%	-82.3K	1.1M	-22.2K	0.20	95.59	10	2	648	739
2021-02-04	$272.49	$270.00	28.0%	8.8%	26.8%	11.8%	31.2%	3.0%	0.6%	-96.3K	1.2M	-20.3K	1.20	90.99	5	6	640	740
2021-02-05	$274.95	$270.00	27.9%	8.7%	26.5%	11.7%	31.9%	2.9%	0.9%	-20.8K	503.5K	-19.1K	0.00	88.95	0	8	640	742
2021-02-08	$282.06	$270.00	27.5%	8.3%	27.6%	10.9%	27.3%	4.2%	3.0%	297.0K	-1.3M	-18.0K	0.00	90.54	11	0	640	749
2021-02-09	$284.35	$270.00	27.7%	8.6%	27.7%	11.2%	30.2%	2.7%	0.7%	446.3K	-2.3M	-18.1K	0.11	90.15	19	2	645	749
2021-02-10	$285.98	$270.00	29.9%	8.6%	26.3%	14.6%	29.4%	3.5%	1.1%	574.7K	-2.8M	-18.6K	0.00	92.08	22	0	654	749
2021-02-11	$292.12	$270.00	30.3%	8.7%	27.3%	15.2%	0.0%	2.9%	2.8%	1.0M	-5.0M	-18.9K	0.16	91.51	19	3	665	749
2021-02-12	$292.99	$270.00	30.2%	8.7%	27.0%	15.1%	30.5%	2.4%	1.5%	1.2M	-5.1M	-19.4K	0.15	90.98	26	4	684	752
2021-02-16	$290.56	$270.00	30.0%	8.6%	26.5%	14.8%	27.7%	4.3%	2.2%	958.5K	-3.4M	-15.9K	0.00	91.33	5	0	696	754
2021-02-17	$294.06	$270.00	31.1%	8.9%	26.7%	15.7%	26.4%	3.4%	1.6%	1.7M	-4.6M	-16.0K	0.01	92.88	132	1	696	754
2021-02-18	$291.71	$270.00	30.9%	8.9%	25.8%	15.5%	34.8%	2.5%	0.1%	573.8K	-2.6M	-14.1K	0.20	92.79	50	10	698	754
2021-02-19	$294.00	$270.00	29.5%	8.4%	25.7%	12.9%	29.7%	2.4%	-0.4%	932.0K	-2.9M	-14.1K	0.01	90.19	550	5	708	765
2021-02-22	$289.80	$270.00	30.8%	8.8%	26.2%	13.6%	32.2%	2.4%	0.4%	472.9K	-4.1M	-21.6K	0.31	89.40	29	9	783	525
2021-02-23	$289.15	$270.00	30.9%	8.8%	25.7%	10.5%	30.6%	2.2%	0.1%	471.3K	-3.8M	-21.0K	0.00	91.38	12	0	798	525
2021-02-24	$290.83	$270.00	31.7%	9.1%	25.7%	11.9%	31.3%	2.5%	-1.7%	496.2K	-4.1M	-21.0K	0.14	91.44	7	1	794	525
2021-02-25	$282.77	$270.00	26.4%	7.6%	27.6%	3.1%	31.8%	4.0%	4.3%	380.1K	-2.7M	-20.4K	0.00	94.99	18	0	787	525
2021-02-26	$282.21	$270.00	32.4%	9.3%	26.6%	13.1%	31.2%	3.9%	-0.9%	308.2K	-2.0M	-17.4K	0.07	93.61	14	1	798	525