LII Options History — August 2021

In August 2021, LII traded between $327.58 and $344.52. ATM implied volatility averaged 23.5%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.4% (HV 20d: 25.0%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.96.

Notable Days

  • 2021-08-11: Highest Volume — 100 contracts
  • 2021-08-10: Largest IV drop — 8.4% change
  • 2021-08-09: Highest IV Rank — 33.2%
  • 2021-08-09: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$334.38$327.58$344.52$331.57$335.38
Max Pain$320.00$320.00$320.00$320.00$320.00
ATM IV23.5%21.6%25.4%24.0%21.6%
Expected Move6.8%6.2%7.2%6.9%6.2%
HV 20d25.0%17.5%38.0%37.7%17.5%
HV 60d25.8%25.1%27.3%27.3%25.9%
IV Rank25.4%17.5%33.2%27.2%17.5%
IV Percentile15.9%7.1%26.6%17.1%7.1%
Term Structure0.9%-0.6%2.2%0.3%1.6%
VWIV23.3%19.8%26.3%25.0%19.8%
Skew 25d4.3%2.1%5.9%3.7%2.1%
Skew 10d11.9%0.6%19.1%10.7%6.6%
Call IV 25d22.6%20.9%25.2%22.6%22.9%
Put IV 25d27.0%25.0%28.3%26.3%25.0%
Bid-Ask Spread %92.6286.9595.8393.0795.83
Gamma HHI0.260.200.310.240.24
Net GEX492.5K283.3K908.0K518.7K418.8K
Net DEX-3.7M-7.3M-1.8M-3.6M-2.7M
Net VEX-22.6K-29.8K-15.4K-26.5K-20.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.0031.001.250.00
Total Volume23.5451100181
Total OI930.2277591,025971875

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$331.57$320.0024.0%6.9%37.7%27.2%25.0%3.7%0.3%518.7K-3.6M-26.5K1.2593.07810798173
2021-08-03$335.16$320.0023.9%6.9%38.0%27.1%25.5%2.5%-0.2%596.2K-4.4M-28.5K1.0095.771010799173
2021-08-04$331.19$320.0024.7%7.1%36.6%30.2%25.1%2.3%-0.6%518.1K-3.7M-28.1K0.0095.0340801171
2021-08-05$328.56$320.0023.9%6.9%34.1%26.9%24.6%3.2%1.6%450.6K-3.0M-26.6K1.0086.9566806181
2021-08-06$334.82$320.0024.5%7.0%34.8%29.2%23.7%3.8%0.7%590.2K-4.0M-26.8K0.0091.0710807181
2021-08-09$334.40$320.0025.4%7.2%34.8%33.2%24.7%4.3%-0.3%581.1K-4.2M-24.8K0.2186.98143809182
2021-08-10$339.34$320.0023.3%6.8%34.5%24.4%21.8%5.9%1.8%742.4K-5.5M-26.3K0.4091.1552809182
2021-08-11$344.52$320.0023.9%6.9%21.6%27.1%22.3%5.2%1.3%908.0K-7.3M-29.1K0.0090.751000822185
2021-08-12$341.12$320.0023.5%6.7%21.9%25.2%23.1%4.2%1.6%831.7K-6.7M-29.8K0.6791.9964822185
2021-08-13$339.94$320.0023.2%6.7%22.0%24.0%22.4%4.2%1.8%576.5K-5.6M-27.0K0.0093.5630744185
2021-08-16$338.69$320.0023.6%6.8%22.0%25.5%23.3%4.2%1.8%547.3K-4.7M-20.9K1.0091.4911747186
2021-08-17$333.62$320.0024.5%7.0%20.9%29.2%0.0%3.8%1.5%410.9K-3.5M-17.3K31.0093.81393746186
2021-08-18$327.58$320.0023.6%6.8%21.3%25.6%26.3%3.9%2.2%353.2K-2.6M-19.4K0.7594.292821747187
2021-08-19$330.04$320.0023.0%6.6%20.6%23.3%0.0%5.9%1.4%384.3K-2.7M-17.3K0.0094.0101748277
2021-08-20$334.59$320.0023.4%6.7%20.7%25.0%23.7%5.8%-0.4%369.6K-3.3M-16.9K1.0094.931111732275
2021-08-23$331.70$320.0023.7%6.8%20.3%26.1%22.7%4.8%0.8%316.8K-2.1M-17.2K0.0089.92500650109
2021-08-24$331.00$320.0023.2%6.7%19.0%24.0%25.8%5.8%0.6%293.0K-1.8M-15.4K0.2492.504611653112
2021-08-25$332.73$320.0022.7%6.5%18.5%22.0%20.0%4.9%0.5%346.6K-2.2M-17.7K0.0092.2320703113
2021-08-26$330.03$320.0023.4%6.7%17.6%24.9%23.6%5.2%-0.1%283.3K-1.8M-19.6K0.0094.4350746122
2021-08-27$334.25$320.0022.4%6.4%17.8%20.7%20.1%4.1%0.7%413.4K-2.9M-22.8K2.5094.8925745122
2021-08-30$336.09$320.0022.4%6.4%17.9%20.8%23.1%5.6%1.5%384.2K-2.5M-19.8K0.1793.06295747122
2021-08-31$335.38$320.0021.6%6.2%17.5%17.5%19.8%2.1%1.6%418.8K-2.7M-20.3K0.0095.8310748127