LII Options History — May 2021

In May 2021, LII traded between $337.79 and $355.11. ATM implied volatility averaged 23.9%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.6% (HV 20d: 23.3%). Max pain ranged from $320.00 to $330.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.39.

Notable Days

2021-05-04: Highest Volume — 129 contracts
2021-05-04: Largest IV spike — 19.3% change
2021-05-19: Highest IV Rank — 30.2%
2021-05-19: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$345.27	$337.79	$355.11	$340.98	$349.82
Max Pain	$323.00	$320.00	$330.00	$330.00	$320.00
ATM IV	23.9%	21.2%	26.1%	21.6%	21.5%
Expected Move	6.8%	6.1%	7.5%	6.2%	6.2%
HV 20d	23.3%	17.4%	27.4%	17.7%	24.1%
HV 60d	22.5%	20.8%	23.9%	21.5%	20.8%
IV Rank	21.2%	12.4%	30.2%	12.4%	14.1%
IV Percentile	5.0%	1.2%	11.9%	1.2%	1.6%
Term Structure	0.6%	-4.8%	3.1%	1.0%	1.5%
VWIV	24.2%	21.2%	28.0%	22.5%	21.2%
Skew 25d	3.5%	0.5%	5.9%	4.6%	2.9%
Skew 10d	7.4%	-3.2%	20.0%	-3.2%	9.6%
Call IV 25d	22.8%	20.2%	26.3%	26.3%	21.3%
Put IV 25d	26.4%	23.4%	30.9%	30.9%	24.1%
Bid-Ask Spread %	91.04	86.78	99.12	95.83	91.59
Gamma HHI	0.25	0.21	0.30	0.25	0.26
Net GEX	711.5K	328.5K	1.1M	703.1K	332.4K
Net DEX	-9.8M	-14.5M	-6.7M	-9.3M	-7.5M
Net VEX	-39.1K	-47.3K	-31.0K	-43.9K	-33.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.00	7.00	0.70	0.20
Total Volume	32.45	5	129	68	6
Total OI	1,121.95	841	1,242	1,095	888

Daily Data (20 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
2021-05-03	$340.98	$330.00	21.6%	6.2%	17.7%	12.4%	22.5%	4.6%	1.0%	703.1K	-9.3M	-43.9K	0.70	95.83	40	28	784	311
2021-05-04	$341.84	$330.00	25.7%	7.4%	17.4%	24.7%	27.2%	4.8%	-4.8%	670.2K	-10.0M	-44.6K	0.02	91.97	127	2	780	339
2021-05-05	$344.05	$330.00	23.7%	6.8%	17.5%	18.8%	24.0%	1.4%	-0.6%	776.1K	-10.6M	-46.0K	0.17	93.89	18	3	876	339
2021-05-06	$341.32	$320.00	24.6%	7.0%	17.5%	21.5%	27.3%	5.8%	0.5%	698.1K	-9.9M	-47.3K	6.50	86.78	4	26	875	340
2021-05-07	$347.67	$320.00	22.0%	6.3%	17.5%	13.6%	23.3%	4.0%	3.1%	847.9K	-11.9M	-45.2K	0.82	87.09	11	9	876	366
2021-05-10	$355.11	$330.00	24.2%	6.4%	18.7%	20.1%	22.8%	2.7%	2.3%	855.7K	-14.5M	-45.0K	0.25	87.27	24	6	867	368
2021-05-11	$347.21	$330.00	25.5%	6.9%	20.9%	24.1%	0.0%	3.5%	1.9%	839.8K	-11.8M	-45.6K	0.00	86.80	5	0	871	370
2021-05-12	$337.79	$330.00	25.8%	7.4%	23.2%	25.1%	28.0%	3.8%	0.6%	609.6K	-7.6M	-42.0K	1.40	87.67	15	21	866	370
2021-05-13	$349.32	$320.00	26.1%	7.5%	25.9%	29.9%	25.8%	1.8%	-0.7%	858.7K	-12.4M	-41.4K	0.00	88.81	13	0	862	356
2021-05-14	$350.23	$320.00	24.7%	7.1%	25.5%	25.3%	25.0%	2.9%	1.8%	968.9K	-13.0M	-41.0K	1.27	95.06	11	14	860	356
2021-05-17	$349.48	$320.00	25.5%	7.3%	25.6%	28.0%	26.2%	3.8%	0.3%	994.6K	-12.3M	-37.4K	0.20	91.00	10	2	858	360
2021-05-18	$342.51	$320.00	25.0%	7.2%	26.7%	26.3%	0.0%	1.6%	0.5%	910.4K	-9.5M	-37.4K	0.67	89.11	3	2	865	363
2021-05-19	$338.64	$320.00	26.1%	7.5%	27.1%	30.2%	25.1%	0.5%	0.8%	692.3K	-7.8M	-34.3K	1.53	99.12	34	52	867	365
2021-05-20	$343.31	$320.00	24.5%	7.0%	27.4%	24.7%	25.8%	2.8%	0.1%	1.1M	-9.7M	-34.2K	0.83	91.44	6	5	872	333
2021-05-21	$342.75	$320.00	22.9%	6.6%	27.4%	19.2%	22.5%	4.7%	1.2%	1.0M	-9.5M	-33.4K	1.17	90.07	6	7	870	339
2021-05-24	$343.07	$320.00	24.2%	6.9%	27.3%	23.5%	25.1%	5.4%	-1.0%	333.1K	-6.7M	-31.0K	0.77	92.35	43	33	619	222
2021-05-25	$345.85	$320.00	21.5%	6.2%	27.1%	14.1%	21.4%	5.9%	1.2%	331.5K	-7.1M	-34.2K	1.00	91.74	7	7	617	239
2021-05-26	$346.59	$320.00	21.5%	6.2%	26.3%	14.2%	21.6%	2.8%	2.2%	328.5K	-7.2M	-32.2K	3.25	91.16	4	13	612	246
2021-05-27	$347.90	$320.00	21.2%	6.1%	25.1%	13.2%	21.3%	4.8%	1.0%	329.9K	-7.2M	-33.2K	7.00	92.11	4	28	613	259
2021-05-28	$349.82	$320.00	21.5%	6.2%	24.1%	14.1%	21.2%	2.9%	1.5%	332.4K	-7.5M	-33.4K	0.20	91.59	5	1	613	275