LII Options History — July 2021

In July 2021, LII traded between $313.15 and $354.49. ATM implied volatility averaged 25.2%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 6.3% (HV 20d: 31.5%). Max pain ranged from $320.00 to $340.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.94.

Notable Days

2021-07-14: Highest Volume — 151 contracts
2021-07-12: Largest IV spike — 32.6% change
2021-07-12: Highest IV Rank — 49.6%
2021-07-19: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$331.30	$313.15	$354.49	$346.92	$330.67
Max Pain	$327.14	$320.00	$340.00	$340.00	$320.00
ATM IV	25.2%	19.8%	31.8%	21.4%	23.4%
Expected Move	7.1%	5.7%	8.0%	6.1%	6.7%
HV 20d	31.5%	17.8%	38.8%	17.8%	37.7%
HV 60d	24.6%	19.3%	27.4%	19.6%	27.3%
IV Rank	30.3%	8.5%	49.6%	13.9%	24.6%
IV Percentile	23.3%	0.8%	73.8%	4.0%	13.9%
Term Structure	0.2%	-1.6%	3.8%	1.9%	0.2%
VWIV	25.6%	20.6%	28.8%	24.9%	23.4%
Skew 25d	3.1%	0.4%	5.3%	4.0%	3.3%
Skew 10d	8.8%	3.5%	17.5%	7.3%	8.5%
Call IV 25d	24.5%	21.2%	28.2%	21.2%	22.0%
Put IV 25d	27.6%	22.5%	30.3%	25.2%	25.3%
Bid-Ask Spread %	90.20	84.87	96.61	96.41	94.72
Gamma HHI	0.24	0.16	0.33	0.31	0.22
Net GEX	379.8K	83.3K	575.3K	474.1K	535.1K
Net DEX	-3.2M	-6.7M	3.1K	-5.2M	-3.9M
Net VEX	-25.1K	-31.5K	-15.7K	-29.1K	-28.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.00	7.50	1.50	2.00
Total Volume	39.571	3	151	10	3
Total OI	796.762	642	983	642	983

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
2021-07-01	$346.92	$340.00	21.4%	6.1%	17.8%	13.9%	24.9%	4.0%	1.9%	474.1K	-5.2M	-29.1K	1.50	96.41	4	6	555	87
2021-07-02	$346.83	$340.00	19.8%	5.7%	17.8%	8.5%	20.6%	1.3%	3.8%	485.9K	-5.1M	-29.1K	0.00	96.61	7	0	558	92
2021-07-06	$345.02	$330.00	22.8%	7.2%	17.9%	18.7%	0.0%	3.5%	-1.4%	485.4K	-4.8M	-26.3K	0.00	85.96	5	0	562	91
2021-07-07	$354.49	$330.00	23.8%	6.8%	20.2%	22.3%	0.0%	0.9%	0.7%	570.0K	-6.7M	-30.1K	0.02	88.04	111	2	561	91
2021-07-08	$340.74	$330.00	27.3%	7.4%	24.9%	34.0%	25.5%	3.5%	1.7%	469.5K	-4.4M	-29.7K	3.00	84.87	1	3	657	91
2021-07-09	$342.63	$340.00	24.0%	7.2%	24.9%	22.8%	27.1%	2.4%	0.3%	505.8K	-4.8M	-31.5K	0.33	85.05	3	1	657	93
2021-07-12	$343.30	$340.00	31.8%	7.4%	24.9%	49.6%	0.0%	3.4%	-1.0%	511.6K	-4.5M	-28.5K	0.00	89.24	3	0	659	94
2021-07-13	$336.68	$340.00	28.6%	7.6%	25.5%	38.7%	26.5%	2.7%	-0.9%	383.6K	-3.4M	-26.1K	0.00	86.38	0	3	656	94
2021-07-14	$313.15	$340.00	27.3%	7.8%	36.3%	41.0%	27.9%	3.6%	-0.6%	129.9K	3.1K	-15.7K	1.36	90.80	64	87	656	97
2021-07-15	$317.63	$320.00	27.0%	7.7%	36.5%	39.5%	27.0%	2.0%	-1.6%	83.3K	-273.8K	-19.5K	0.22	88.56	67	15	706	154
2021-07-16	$317.88	$320.00	25.1%	7.2%	36.3%	31.7%	26.0%	4.5%	1.3%	92.3K	-903.0K	-23.3K	7.50	94.00	4	30	743	176
2021-07-19	$316.66	$320.00	28.0%	8.0%	36.3%	43.8%	28.0%	3.4%	-0.9%	220.0K	-1.4M	-21.6K	0.21	86.27	19	4	658	116
2021-07-20	$325.71	$320.00	26.1%	7.5%	37.4%	35.9%	26.8%	4.7%	-0.6%	304.2K	-2.5M	-23.2K	0.67	87.86	12	8	670	117
2021-07-21	$321.26	$320.00	26.8%	7.7%	37.7%	38.7%	27.7%	4.8%	-1.1%	272.8K	-2.0M	-22.0K	0.13	88.27	16	2	675	117
2021-07-22	$316.61	$320.00	26.6%	7.6%	38.0%	37.8%	28.8%	0.4%	-0.9%	244.6K	-1.4M	-20.7K	0.00	88.77	6	0	686	119
2021-07-23	$320.49	$320.00	26.2%	7.5%	38.1%	36.2%	27.3%	5.3%	0.4%	277.8K	-1.7M	-21.7K	0.27	91.18	110	30	690	119
2021-07-26	$326.10	$320.00	22.2%	6.4%	38.7%	19.7%	22.6%	1.8%	1.3%	333.1K	-2.3M	-21.6K	0.56	93.11	27	15	690	119
2021-07-27	$332.49	$320.00	24.0%	6.9%	38.8%	27.2%	22.2%	2.0%	-0.1%	575.3K	-3.9M	-26.1K	0.26	92.49	34	9	802	148
2021-07-28	$328.11	$320.00	23.2%	6.6%	37.5%	23.9%	23.8%	3.2%	0.4%	467.9K	-3.1M	-25.6K	0.66	91.77	38	25	793	154
2021-07-29	$334.02	$320.00	24.1%	6.9%	37.8%	27.9%	24.5%	4.7%	0.5%	554.6K	-4.6M	-27.2K	0.10	93.84	52	5	791	155
2021-07-30	$330.67	$320.00	23.4%	6.7%	37.7%	24.6%	23.4%	3.3%	0.2%	535.1K	-3.9M	-28.1K	2.00	94.72	1	2	814	169