LII Options History — March 2021

In March 2021, LII traded between $279.08 and $319.62. ATM implied volatility averaged 28.8%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.5% (HV 20d: 26.3%). Max pain ranged from $270.00 to $290.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.38.

Notable Days

  • 2021-03-22: Highest Volume — 250 contracts
  • 2021-03-08: Largest IV spike — 16.5% change
  • 2021-03-08: Highest IV Rank — 20.6%
  • 2021-03-08: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$300.11$279.08$319.62$281.39$314.93
Max Pain$282.61$270.00$290.00$270.00$290.00
ATM IV28.8%25.1%37.0%29.9%26.2%
Expected Move8.1%7.2%9.2%8.6%7.5%
HV 20d26.3%22.1%28.3%23.3%26.0%
HV 60d24.6%23.4%25.6%23.7%24.4%
IV Rank8.0%1.6%20.6%8.9%4.9%
IV Percentile14.4%0.4%68.3%17.1%0.8%
Term Structure1.4%-2.0%5.0%-0.9%4.8%
VWIV27.0%18.8%34.8%34.8%26.1%
Skew 25d3.8%1.6%7.8%4.3%2.3%
Skew 10d9.7%-0.4%23.0%8.2%-0.4%
Call IV 25d27.0%20.5%30.6%29.2%26.4%
Put IV 25d30.8%26.5%34.9%33.5%28.7%
Bid-Ask Spread %93.5887.52102.2094.9696.31
Gamma HHI0.370.210.680.230.41
Net GEX729.2K247.2K1.6M258.4K707.6K
Net DEX-5.7M-10.4M-1.5M-1.6M-6.0M
Net VEX-19.2K-24.7K-12.7K-14.4K-20.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.005.860.000.00
Total Volume59.7392250154
Total OI1,169.0874711,6161,311657

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$281.39$270.0029.9%8.6%23.3%8.9%34.8%4.3%-0.9%258.4K-1.6M-14.4K0.0094.96150786525
2021-03-02$285.08$270.0029.7%8.5%22.2%8.7%27.6%2.5%0.5%368.2K-2.6M-16.2K0.0095.301120787525
2021-03-03$290.53$270.0030.0%8.6%22.1%9.1%28.8%4.5%-0.2%535.7K-3.9M-18.7K0.0096.06160879525
2021-03-04$279.08$290.0027.3%8.1%25.2%4.6%28.4%2.0%1.7%247.2K-1.5M-13.5K5.8692.561482869525
2021-03-05$283.90$280.0031.7%8.6%25.8%12.0%24.6%4.5%0.6%361.7K-2.3M-12.7K0.0090.4060876479
2021-03-08$294.04$280.0037.0%9.2%28.3%20.6%29.9%4.4%-2.0%677.5K-5.1M-16.4K0.0887.52393871477
2021-03-09$290.79$280.0034.4%9.0%27.5%16.4%0.0%5.6%0.4%636.0K-4.5M-15.3K0.0590.82201888478
2021-03-10$293.84$280.0031.1%8.9%27.6%11.0%0.0%3.1%0.3%676.9K-4.9M-14.7K0.0090.2730895478
2021-03-11$293.24$280.0030.0%8.6%27.5%9.0%28.2%4.7%0.4%627.4K-4.5M-13.3K0.0389.441564892478
2021-03-12$297.46$280.0028.2%8.1%27.0%6.2%27.0%5.1%3.1%888.9K-7.4M-22.3K0.0389.176521,044479
2021-03-15$304.23$280.0026.2%7.5%28.1%2.8%25.9%1.8%5.0%1.3M-10.4M-24.7K0.1091.9999101,082480
2021-03-16$303.77$280.0027.9%8.0%27.8%5.6%26.9%4.3%2.6%1.3M-9.5M-23.5K1.0091.3011111,083490
2021-03-17$303.88$280.0029.7%8.5%27.6%8.6%27.9%2.5%2.7%1.4M-9.5M-22.9K0.0093.094201,084500
2021-03-18$304.65$280.0029.4%8.4%27.4%8.1%28.1%2.2%2.0%1.6M-9.1M-20.6K0.0091.7224901,054500
2021-03-19$302.95$280.0027.4%7.9%27.4%6.2%27.7%7.8%3.1%784.3K-7.5M-18.9K0.3393.9539131,116500
2021-03-22$303.21$290.0026.3%7.5%26.8%4.8%24.4%5.9%1.6%312.6K-3.6M-18.7K0.0496.65241938289
2021-03-23$301.44$290.0025.1%7.2%26.9%1.6%18.8%6.1%-0.1%417.6K-3.6M-19.8K0.00102.2017061592
2021-03-24$307.16$290.0026.9%7.7%27.5%7.0%27.0%2.8%1.5%557.5K-5.0M-22.5K0.0095.888061192
2021-03-25$312.23$290.0026.5%7.6%25.3%5.8%25.3%1.6%2.4%664.3K-5.6M-22.5K0.0094.4918060492
2021-03-26$319.62$290.0027.9%8.0%26.0%9.9%25.8%4.1%0.9%785.9K-7.9M-24.3K0.1997.0327559292
2021-03-29$318.02$290.0026.6%7.6%26.1%6.2%27.2%2.7%1.7%775.2K-7.2M-22.6K0.0095.5631057396
2021-03-30$317.01$290.0026.5%7.6%26.2%5.9%26.1%3.1%1.1%748.5K-6.7M-21.5K1.0095.621156196
2021-03-31$314.93$290.0026.2%7.5%26.0%4.9%0.0%2.3%4.8%707.6K-6.0M-20.7K0.0096.314056097