LII Options History — June 2021

In June 2021, LII traded between $322.80 and $351.33. ATM implied volatility averaged 22.3%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.3% (HV 20d: 16.0%). Max pain ranged from $320.00 to $340.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2021-06-29: Highest Volume — 246 contracts
  • 2021-06-14: Largest IV spike — 15.5% change
  • 2021-06-14: Highest IV Rank — 23.2%
  • 2021-06-14: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$336.49$322.80$351.33$348.44$351.33
Max Pain$327.27$320.00$340.00$320.00$330.00
ATM IV22.3%20.4%24.1%22.7%21.2%
Expected Move6.4%5.8%6.9%6.5%6.1%
HV 20d16.0%10.2%23.8%23.4%17.6%
HV 60d19.4%18.8%20.7%20.7%19.4%
IV Rank17.1%10.4%23.2%18.3%13.1%
IV Percentile4.9%1.2%9.5%4.4%2.4%
Term Structure2.3%-0.2%4.2%-0.2%3.6%
VWIV22.3%18.7%24.5%23.2%23.6%
Skew 25d3.0%-0.6%6.7%6.7%4.8%
Skew 10d8.3%3.5%13.7%8.3%13.7%
Call IV 25d21.9%19.7%23.3%21.4%19.7%
Put IV 25d24.9%20.9%28.1%28.1%24.5%
Bid-Ask Spread %90.8782.6897.9993.3794.58
Gamma HHI0.260.220.350.240.32
Net GEX265.5K-68.9K503.5K349.0K503.5K
Net DEX-4.2M-7.3M-1.5M-7.3M-5.8M
Net VEX-24.7K-32.1K-18.0K-32.1K-29.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.003.331.710.31
Total Volume37.77312461964
Total OI765.955526883876636

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$348.44$320.0022.7%6.5%23.4%18.3%23.2%6.7%-0.2%349.0K-7.3M-32.1K1.7193.37712616260
2021-06-02$345.77$320.0023.4%6.7%23.6%20.6%23.3%3.2%-0.2%324.2K-6.8M-30.6K0.0894.47131619264
2021-06-03$342.30$330.0021.4%6.7%23.8%13.9%0.0%4.2%1.4%282.8K-5.9M-30.3K1.0083.2111609265
2021-06-04$341.74$330.0021.4%6.6%23.6%13.9%22.6%3.0%2.1%277.6K-5.8M-29.3K0.4083.9252608265
2021-06-07$340.83$330.0023.9%6.6%22.6%22.7%0.0%2.9%2.2%282.4K-5.7M-28.5K3.3382.68310611267
2021-06-08$341.70$330.0023.5%6.7%21.1%21.0%0.0%2.1%1.6%296.4K-5.9M-27.1K0.0085.5240612258
2021-06-09$339.33$330.0023.7%6.8%19.8%21.8%0.0%2.8%1.4%265.4K-5.4M-26.4K0.0084.2810611258
2021-06-10$338.65$330.0022.3%6.4%17.2%16.9%21.2%2.2%2.4%274.9K-5.3M-25.3K0.0388.75341612258
2021-06-11$338.52$320.0020.9%6.0%11.8%12.1%0.0%1.9%3.6%262.7K-5.2M-24.9K0.0089.05110604259
2021-06-14$334.12$320.0024.1%6.9%12.4%23.2%22.5%3.7%1.2%212.8K-4.2M-21.9K1.1789.4667599257
2021-06-15$334.29$320.0022.5%6.4%12.4%17.6%23.2%2.6%2.3%236.9K-4.6M-22.9K0.6789.4132599258
2021-06-16$329.10$330.0023.2%6.6%11.6%19.9%24.5%4.0%2.0%199.6K-3.6M-21.5K0.3593.50176600255
2021-06-17$325.33$320.0022.6%6.5%11.6%18.2%21.6%3.5%0.9%104.1K-2.4M-19.2K0.7591.1043608257
2021-06-18$322.80$320.0023.5%6.7%10.2%21.0%19.1%3.3%2.3%-68.9K-1.7M-18.0K0.7390.07118608257
2021-06-21$327.43$340.0021.6%6.2%11.9%14.5%22.6%-0.6%3.3%198.6K-1.5M-18.7K0.0493.3626146561
2021-06-22$327.78$330.0023.1%6.6%11.9%19.6%22.4%3.3%2.0%224.2K-1.9M-19.9K0.7791.79131049162
2021-06-23$327.50$330.0021.8%6.2%11.3%15.2%22.2%2.1%2.4%243.8K-1.9M-21.7K0.3694.421776350171
2021-06-24$330.62$330.0022.0%6.3%12.0%16.1%18.7%-0.6%3.8%262.9K-2.1M-21.7K0.0097.8531050273
2021-06-25$331.28$330.0021.2%6.1%11.9%13.3%22.0%3.4%4.0%293.9K-2.3M-22.7K0.2597.994153273
2021-06-28$337.13$330.0020.4%5.8%13.6%10.4%22.9%4.2%3.8%358.3K-3.1M-23.5K0.2296.6318453573
2021-06-29$346.75$330.0020.8%6.0%17.2%11.9%22.7%3.6%4.2%455.5K-5.0M-28.7K0.3793.631806654775
2021-06-30$351.33$330.0021.2%6.1%17.6%13.1%23.6%4.8%3.6%503.5K-5.8M-29.0K0.3194.58491555581