LII Options History — October 2021

In October 2021, LII traded between $295.61 and $313.42. ATM implied volatility averaged 26.4%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 7.6% (HV 20d: 18.8%). Max pain ranged from $270.00 to $320.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2021-10-25: Highest Volume — 465 contracts
  • 2021-10-11: Largest IV spike — 23.6% change
  • 2021-10-12: Highest IV Rank — 67.7%
  • 2021-10-07: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$303.06$295.61$313.42$298.07$299.98
Max Pain$307.14$270.00$320.00$320.00$300.00
ATM IV26.4%22.9%33.9%27.1%24.4%
Expected Move7.4%6.6%7.9%7.8%7.0%
HV 20d18.8%13.7%22.4%15.3%21.7%
HV 60d19.6%17.9%23.6%23.6%18.4%
IV Rank37.1%22.6%67.7%39.9%28.7%
IV Percentile45.1%13.5%92.1%50.0%32.9%
Term Structure-0.9%-3.4%0.6%-0.7%-2.2%
VWIV25.7%15.7%32.6%23.3%25.3%
Skew 25d4.3%2.1%7.1%3.7%7.1%
Skew 10d10.7%7.1%19.4%9.2%15.3%
Call IV 25d24.7%22.7%26.6%26.2%22.7%
Put IV 25d29.0%26.5%32.0%29.9%29.8%
Bid-Ask Spread %91.8985.6197.6997.5893.18
Gamma HHI0.160.130.180.160.17
Net GEX-33.0K-93.0K29.1K-36.2K-91.9K
Net DEX589.1K-255.3K1.3M783.7K1.3M
Net VEX-11.9K-16.1K-9.9K-11.7K-14.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.001.751.000.29
Total Volume129.04804654312
Total OI707.048643876665870

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$298.07$320.0027.1%7.8%15.3%39.9%23.3%3.7%-0.7%-36.2K783.7K-11.7K1.0097.5822545120
2021-10-04$297.07$270.0028.4%7.9%15.3%45.3%0.0%6.1%-0.1%-49.8K966.1K-10.6K0.0092.2202544122
2021-10-05$299.21$310.0028.6%7.8%14.6%46.1%27.2%5.5%-0.8%-35.3K712.7K-12.4K0.0085.6110545124
2021-10-06$297.03$310.0026.7%7.7%13.7%38.4%0.0%5.9%-0.4%-56.4K970.6K-10.6K0.0087.2200545124
2021-10-07$303.78$300.0028.3%7.9%16.8%44.8%0.0%3.9%-0.8%-33.7K492.9K-11.8K0.0091.8700546124
2021-10-08$295.61$300.0026.2%7.6%18.4%36.2%32.6%5.4%-0.6%-63.8K961.4K-10.6K0.0089.4204546124
2021-10-11$295.66$300.0032.4%7.7%18.4%61.5%15.7%4.3%-0.1%-62.9K973.6K-10.4K0.0089.0509545124
2021-10-12$297.51$300.0033.9%7.7%16.7%67.7%0.0%5.0%-1.0%-76.3K1.0M-9.9K0.0086.3400545128
2021-10-13$300.35$310.0026.0%7.5%17.2%35.5%28.8%3.3%-0.4%-57.1K798.6K-10.7K0.0093.4008545128
2021-10-14$307.77$310.0025.9%7.4%19.5%35.2%25.0%5.2%-0.8%-15.3K293.8K-11.6K1.7593.5047545128
2021-10-15$309.86$310.0025.6%7.3%19.0%33.7%25.8%4.3%-1.8%-14.3K200.7K-11.0K0.1195.3891545133
2021-10-18$313.42$320.0027.5%7.9%19.4%41.5%24.0%2.6%-3.4%24.7K-176.0K-11.4K0.0097.6930540103
2021-10-19$308.75$320.0024.1%6.9%20.2%27.7%0.0%2.1%0.6%19.0K-6.2K-11.4K0.0092.8830542103
2021-10-20$310.87$320.0024.6%7.1%20.3%29.9%25.0%3.4%-0.3%21.5K-80.5K-10.9K0.2793.1420957546103
2021-10-21$309.80$320.0023.9%6.8%20.3%26.7%25.8%3.7%-0.7%15.7K58.1K-10.9K0.2794.3821057546108
2021-10-22$312.44$320.0026.4%7.6%20.5%36.9%28.6%2.8%-1.4%29.1K-255.3K-11.7K0.3989.7524294548108
2021-10-25$305.01$310.0022.9%6.6%22.3%22.6%26.9%3.4%-0.5%9.5K162.4K-11.8K0.7193.30272193590151
2021-10-26$304.18$300.0023.1%6.6%21.7%23.6%27.4%3.7%0.1%-44.4K647.2K-16.1K0.5091.52242121610266
2021-10-27$298.59$300.0024.2%6.9%22.4%27.9%25.0%4.1%-1.2%-82.9K1.3M-15.4K0.3991.6924193605265
2021-10-28$299.36$300.0024.6%7.0%21.8%29.5%25.0%5.3%-2.0%-93.0K1.3M-14.6K0.2990.4824171601268
2021-10-29$299.98$300.0024.4%7.0%21.7%28.7%25.3%7.1%-2.2%-91.9K1.3M-14.7K0.2993.1824171601269