LII Options History — April 2021

In April 2021, LII traded between $316.22 and $340.59. ATM implied volatility averaged 24.9%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 8.0% (HV 20d: 16.9%). Max pain ranged from $270.00 to $320.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.37.

Notable Days

2021-04-26: Highest Volume — 419 contracts
2021-04-12: Largest IV spike — 99.3% change
2021-04-12: Highest IV Rank — 59.5%
2021-04-16: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$331.43	$316.22	$340.59	$316.22	$334.65
Max Pain	$305.71	$270.00	$320.00	$290.00	$320.00
ATM IV	24.9%	17.4%	37.5%	25.6%	23.7%
Expected Move	7.3%	6.3%	7.9%	7.3%	6.8%
HV 20d	16.9%	13.6%	20.7%	20.0%	18.3%
HV 60d	23.4%	21.3%	24.6%	24.4%	21.3%
IV Rank	19.7%	0.0%	59.5%	3.3%	18.6%
IV Percentile	7.6%	0.0%	80.6%	0.8%	2.4%
Term Structure	0.4%	-2.6%	2.4%	2.4%	-0.1%
VWIV	26.0%	22.7%	28.2%	25.6%	24.1%
Skew 25d	1.6%	-1.5%	4.8%	0.6%	1.9%
Skew 10d	7.5%	0.2%	21.8%	8.9%	3.4%
Call IV 25d	25.5%	22.7%	29.3%	26.9%	23.1%
Put IV 25d	27.1%	24.0%	29.7%	27.5%	25.0%
Bid-Ask Spread %	89.54	84.34	98.65	98.65	90.79
Gamma HHI	0.44	0.21	0.79	0.42	0.23
Net GEX	921.3K	262.4K	2.5M	779.2K	601.2K
Net DEX	-8.6M	-16.0M	-5.6M	-6.1M	-7.4M
Net VEX	-28.7K	-46.5K	-16.5K	-20.1K	-42.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	1.62	0.00	1.48
Total Volume	84.762	3	419	7	52
Total OI	751.381	494	1,067	661	1,060

Daily Data (21 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
2021-04-01	$316.22	$290.00	25.6%	7.3%	20.0%	3.3%	25.6%	0.6%	2.4%	779.2K	-6.1M	-20.1K	0.00	98.65	7	0	564	97
2021-04-05	$323.83	$270.00	25.1%	7.6%	20.7%	2.2%	0.0%	4.7%	0.5%	1.1M	-8.4M	-20.1K	0.50	87.96	2	1	566	97
2021-04-06	$327.31	$270.00	19.9%	7.4%	17.8%	0.0%	0.0%	-0.7%	1.2%	1.2M	-9.8M	-19.7K	0.00	86.81	8	0	566	96
2021-04-07	$327.86	$270.00	24.2%	7.3%	16.8%	13.7%	27.8%	4.8%	1.6%	1.2M	-9.7M	-19.2K	0.00	88.77	21	0	562	96
2021-04-08	$325.35	$270.00	17.4%	7.6%	17.4%	0.0%	26.2%	2.1%	1.9%	1.4M	-8.7M	-18.6K	0.08	92.05	24	2	555	96
2021-04-09	$331.21	$300.00	18.8%	6.8%	17.7%	4.3%	0.0%	2.2%	2.4%	1.7M	-11.1M	-17.7K	0.07	89.85	29	2	561	98
2021-04-12	$331.27	$300.00	37.5%	7.7%	17.6%	59.5%	28.1%	0.6%	-0.1%	1.1M	-11.1M	-16.5K	0.03	90.97	150	4	549	100
2021-04-13	$331.27	$310.00	30.0%	7.5%	16.4%	37.4%	27.2%	3.4%	-1.2%	1.7M	-11.0M	-22.6K	0.36	84.34	141	51	618	104
2021-04-14	$328.82	$310.00	25.9%	7.4%	16.8%	25.3%	0.0%	0.5%	-0.0%	1.9M	-9.8M	-23.6K	0.05	90.09	56	3	635	108
2021-04-15	$329.40	$310.00	25.4%	7.3%	16.8%	23.6%	25.5%	1.4%	1.3%	2.5M	-10.5M	-26.7K	0.03	89.17	36	1	691	111
2021-04-16	$334.10	$320.00	27.4%	7.9%	17.2%	29.6%	27.3%	3.8%	-2.6%	333.8K	-16.0M	-27.4K	1.00	93.55	12	12	705	112
2021-04-19	$335.10	$320.00	25.1%	7.2%	16.8%	22.8%	27.1%	-1.5%	0.0%	305.9K	-6.0M	-27.7K	0.00	87.53	9	0	401	103
2021-04-20	$333.51	$320.00	25.3%	7.2%	17.1%	23.3%	0.0%	0.3%	0.6%	301.5K	-5.8M	-26.8K	0.00	88.10	8	0	397	103
2021-04-21	$334.17	$320.00	26.5%	7.6%	16.6%	26.9%	26.5%	-0.4%	0.8%	300.1K	-5.8M	-26.3K	0.65	88.05	116	75	391	103
2021-04-22	$335.48	$320.00	27.3%	7.8%	15.8%	29.4%	28.2%	1.0%	-0.8%	262.4K	-5.6M	-35.4K	0.00	89.48	109	0	505	179
2021-04-23	$335.43	$320.00	26.1%	7.5%	15.3%	25.8%	26.0%	3.2%	-1.4%	405.8K	-6.3M	-37.0K	0.34	87.12	111	38	587	179
2021-04-26	$333.66	$320.00	24.6%	7.0%	13.6%	21.2%	24.0%	1.2%	0.0%	518.0K	-6.8M	-39.0K	0.79	91.01	234	185	681	211
2021-04-27	$338.07	$320.00	23.3%	6.7%	13.9%	17.6%	23.6%	2.6%	0.4%	625.0K	-8.8M	-46.5K	0.61	87.90	77	47	763	295
2021-04-28	$332.65	$320.00	22.6%	6.5%	15.3%	15.4%	25.4%	1.1%	1.4%	509.5K	-6.6M	-43.1K	1.62	89.54	42	68	760	307
2021-04-29	$340.59	$320.00	22.1%	6.3%	16.7%	14.0%	22.7%	1.1%	0.9%	695.6K	-9.7M	-45.0K	0.09	88.52	43	4	783	284
2021-04-30	$334.65	$320.00	23.7%	6.8%	18.3%	18.6%	24.1%	1.9%	-0.1%	601.2K	-7.4M	-42.7K	1.48	90.79	21	31	774	286