LII Options History — September 2021

In September 2021, LII traded between $296.42 and $334.79. ATM implied volatility averaged 24.6%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 8.6% (HV 20d: 16.0%). Max pain ranged from $310.00 to $340.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2021-09-23: Highest Volume — 29 contracts
  • 2021-09-20: Largest IV spike — 20.3% change
  • 2021-09-20: Highest IV Rank — 46.0%
  • 2021-09-20: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$314.97$296.42$334.79$334.79$296.42
Max Pain$322.86$310.00$340.00$320.00$320.00
ATM IV24.6%22.3%28.6%23.7%25.0%
Expected Move7.0%6.3%8.2%6.8%7.2%
HV 20d16.0%14.5%18.1%16.9%14.8%
HV 60d26.0%24.8%26.6%25.8%24.8%
IV Rank29.8%20.2%46.0%25.9%31.4%
IV Percentile30.3%9.5%55.6%20.2%36.1%
Term Structure1.3%-2.7%3.6%-0.5%2.5%
VWIV25.2%15.9%31.6%24.1%26.7%
Skew 25d4.5%2.0%7.7%5.8%4.5%
Skew 10d9.4%-8.0%19.7%14.6%-8.0%
Call IV 25d23.6%20.1%27.3%20.3%25.0%
Put IV 25d28.1%25.2%33.0%26.2%29.4%
Bid-Ask Spread %93.6385.1498.8398.8397.55
Gamma HHI0.150.130.230.200.17
Net GEX54.2K-40.8K369.8K315.0K-39.7K
Net DEX-133.2K-2.4M991.1K-2.0M834.8K
Net VEX-12.8K-18.5K-9.5K-17.2K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.003.250.000.00
Total Volume7.38102902
Total OI781.048590905898665

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$334.79$320.0023.7%6.8%16.9%25.9%0.0%5.8%-0.5%315.0K-2.0M-17.2K0.0098.8300769129
2021-09-02$334.30$310.0024.5%6.3%16.7%29.3%0.0%4.4%3.6%369.8K-2.4M-18.2K0.0090.7420767129
2021-09-03$333.12$310.0022.3%6.6%15.3%20.2%0.0%5.1%2.4%276.5K-2.0M-18.5K0.0085.14150767129
2021-09-07$325.64$310.0024.3%6.8%17.2%28.7%24.1%2.1%2.0%143.0K-1.1M-15.3K0.0090.1840767129
2021-09-08$328.61$310.0023.7%6.8%16.7%26.1%0.0%7.2%1.6%117.2K-1.0M-13.7K0.0090.5610752129
2021-09-09$327.00$310.0023.5%6.7%15.5%25.2%23.5%7.7%1.2%107.7K-945.6K-14.0K0.0091.2004756129
2021-09-10$321.92$310.0024.1%6.9%15.9%27.8%0.0%3.8%1.5%38.6K-400.5K-12.7K0.0092.3310756129
2021-09-13$321.31$330.0024.7%7.1%15.9%30.1%0.0%4.3%1.2%38.4K-468.2K-12.8K0.0093.0602756129
2021-09-14$312.76$330.0024.1%6.9%18.1%27.6%30.5%4.0%0.4%-8.3K387.4K-11.2K0.0094.3208757129
2021-09-15$312.34$330.0025.1%7.2%17.6%31.9%20.6%3.4%0.3%-9.1K405.8K-11.5K0.0993.89222757129
2021-09-16$311.01$330.0024.7%7.1%16.7%30.1%15.9%3.7%1.3%-18.4K592.6K-11.1K0.0091.9603757137
2021-09-17$306.72$330.0023.8%6.8%16.8%26.2%24.5%3.3%1.6%-15.6K991.1K-10.1K3.2593.07413771134
2021-09-20$306.58$340.0028.6%8.2%15.5%46.0%0.0%6.9%-2.7%-12.9K479.6K-10.4K0.0095.020249991
2021-09-21$306.88$340.0024.4%7.0%15.5%29.0%24.3%4.7%2.1%-33.6K650.8K-9.7K0.0094.2121050198
2021-09-22$306.04$340.0024.4%7.0%15.5%28.9%26.4%3.8%1.8%-40.8K745.4K-9.5K0.5096.3621501107
2021-09-23$308.15$330.0024.0%6.9%15.7%27.4%26.2%4.8%1.4%-18.9K436.6K-11.9K0.3896.26218522107
2021-09-24$308.24$320.0023.6%6.8%15.7%25.6%28.2%3.8%2.1%-19.0K443.4K-10.9K0.7594.4043524107
2021-09-27$308.20$320.0025.1%7.2%14.5%31.8%31.6%6.2%1.9%-8.1K316.3K-13.0K0.0095.8906543115
2021-09-28$303.79$320.0026.6%7.6%14.5%37.9%26.7%3.4%1.1%-9.6K394.3K-14.2K3.0095.8913544118
2021-09-29$300.58$320.0026.7%7.7%14.6%38.5%0.0%2.0%0.8%-34.2K742.3K-11.8K0.0095.3600544123
2021-09-30$296.42$320.0025.0%7.2%14.8%31.4%0.0%4.5%2.5%-39.7K834.8K-11.5K0.0097.5520545120