LII Options History — November 2021

In November 2021, LII traded between $300.16 and $324.34. ATM implied volatility averaged 24.6%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.9% (HV 20d: 21.7%). Max pain ranged from $300.00 to $320.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2021-11-19: Highest Volume — 459 contracts
  • 2021-11-30: Largest IV spike — 26.0% change
  • 2021-11-30: Highest IV Rank — 62.4%
  • 2021-11-30: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$313.66$300.16$324.34$304.54$313.80
Max Pain$317.14$300.00$320.00$300.00$320.00
ATM IV24.6%20.6%31.8%24.2%31.8%
Expected Move6.9%5.9%9.1%6.9%9.1%
HV 20d21.7%18.8%23.7%22.3%22.6%
HV 60d19.3%17.8%20.7%18.3%20.7%
IV Rank31.2%14.1%62.4%28.2%62.4%
IV Percentile33.5%2.0%92.1%32.5%92.1%
Term Structure1.3%-3.8%5.0%-0.6%-1.8%
VWIV24.2%20.9%31.1%24.1%31.1%
Skew 25d4.4%1.8%6.9%6.6%6.9%
Skew 10d8.7%1.8%17.3%17.3%11.5%
Call IV 25d22.8%19.5%28.2%20.8%28.2%
Put IV 25d27.1%23.7%35.1%27.3%35.1%
Bid-Ask Spread %95.0590.2299.6696.8295.49
Gamma HHI0.150.130.220.150.13
Net GEX8.5K-86.4K118.6K-55.4K21.6K
Net DEX-245.2K-1.6M1.1M712.8K-402.0K
Net VEX-14.7K-15.7K-13.3K-14.8K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.160.780.300.17
Total Volume334.333272459316272
Total OI885.0487761,044870789

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$304.54$300.0024.2%6.9%22.3%28.2%24.1%6.6%-0.6%-55.4K712.8K-14.8K0.3096.8224373601269
2021-11-02$306.13$300.0023.2%6.6%22.2%25.1%24.6%4.5%1.2%-50.2K603.4K-14.7K0.3596.2224685602273
2021-11-03$301.57$300.0026.5%7.6%22.8%39.5%26.8%6.5%-3.8%-76.8K1.0M-15.7K0.3399.4324881607285
2021-11-04$302.57$320.0025.0%6.5%21.3%32.9%20.9%5.8%1.2%-86.4K1.1M-15.0K0.3392.0124881606287
2021-11-05$302.22$320.0027.7%6.5%18.8%44.6%22.2%4.3%2.0%-78.5K988.5K-15.4K0.3492.6923781606287
2021-11-08$300.16$320.0029.2%7.1%19.0%51.4%25.1%2.5%-0.6%-79.2K1.0M-15.1K0.3496.1323781611287
2021-11-09$309.30$320.0023.9%6.7%21.6%28.5%23.4%4.8%2.2%-16.0K250.2K-14.3K0.3493.3323981611287
2021-11-10$308.07$320.0023.6%6.8%21.5%27.0%22.0%6.0%1.5%-19.7K216.5K-14.9K0.3394.0524580614287
2021-11-11$311.97$320.0023.1%6.6%20.2%24.7%24.0%2.3%2.0%-3.3K-100.3K-14.6K0.3396.9224580617287
2021-11-12$319.21$320.0023.4%6.7%21.6%26.4%23.6%4.8%1.9%45.8K-877.0K-15.3K0.3393.3324480617287
2021-11-15$314.29$320.0024.2%6.9%22.1%29.5%23.3%3.4%2.3%37.6K-648.3K-14.9K0.3096.2924875618287
2021-11-16$322.27$320.0023.8%6.8%23.0%28.0%23.4%2.8%2.9%71.3K-1.2M-14.6K0.7795.30257197624287
2021-11-17$321.62$320.0022.6%6.5%23.0%22.6%22.8%4.8%3.2%77.1K-1.2M-14.1K0.7893.40254197635409
2021-11-18$318.99$320.0022.5%6.4%23.2%22.2%23.2%4.1%1.9%38.4K-876.8K-14.6K0.7892.69254197635408
2021-11-19$324.34$320.0022.3%6.4%23.7%21.5%22.5%4.8%0.7%118.6K-1.6M-14.6K0.7390.22266193635404
2021-11-22$323.32$320.0021.5%6.2%21.7%17.7%20.9%4.2%2.5%53.5K-1.1M-14.4K0.1694.9023839591185
2021-11-23$322.12$320.0020.6%5.9%21.8%14.1%23.4%2.6%5.0%54.0K-996.2K-14.2K0.1694.2523839601186
2021-11-24$319.26$320.0024.5%7.0%20.8%30.8%26.0%4.2%-0.5%44.0K-787.4K-14.5K0.1696.4723939601186
2021-11-26$319.47$320.0027.5%7.9%20.8%43.8%27.1%4.2%-0.1%48.1K-836.4K-15.0K0.1799.6623339602186
2021-11-29$321.61$320.0025.2%7.2%20.8%34.1%26.9%1.8%4.1%34.7K-589.3K-13.3K0.1796.4823339601188
2021-11-30$313.80$320.0031.8%9.1%22.6%62.4%31.1%6.9%-1.8%21.6K-402.0K-15.2K0.1795.4923339601188