LII Options History — December 2021

In December 2021, LII traded between $305.23 and $333.62. ATM implied volatility averaged 28.7%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 0.4% (HV 20d: 29.1%). Max pain ranged from $290.00 to $330.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.41.

Notable Days

  • 2021-12-17: Highest Volume — 396 contracts
  • 2021-12-15: Largest IV drop — 32.0% change
  • 2021-12-14: Highest IV Rank — 100.0%
  • 2021-12-03: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$321.22$305.23$333.62$305.23$325.40
Max Pain$317.73$290.00$330.00$320.00$330.00
ATM IV28.7%20.9%41.6%32.1%20.9%
Expected Move7.9%6.0%10.4%9.2%6.0%
HV 20d29.1%24.8%32.2%24.8%28.3%
HV 60d23.8%20.9%25.4%20.9%25.2%
IV Rank48.0%14.6%100.0%63.8%14.6%
IV Percentile64.7%3.2%100.0%92.9%3.2%
Term Structure1.4%-5.1%4.4%-1.3%4.4%
VWIV27.6%24.0%33.2%32.3%27.0%
Skew 25d4.8%1.8%9.4%7.4%2.1%
Skew 10d10.7%0.8%27.2%11.1%0.8%
Call IV 25d25.8%20.8%31.7%30.7%21.3%
Put IV 25d30.7%23.4%39.4%38.1%23.4%
Bid-Ask Spread %90.8478.07102.8496.07102.84
Gamma HHI0.200.130.290.130.26
Net GEX94.6K-12.6K263.4K-12.6K65.7K
Net DEX-996.1K-2.4M292.7K258.6K-832.5K
Net VEX-13.7K-15.4K-10.1K-14.1K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.140.780.170.77
Total Volume288.318223396272241
Total OI681.5411884789478

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$305.23$320.0032.1%9.2%24.8%63.8%32.3%7.4%-1.3%-12.6K258.6K-14.1K0.1796.0723339601188
2021-12-02$312.51$320.0033.0%9.4%25.5%67.5%29.4%9.4%-2.6%10.6K-161.8K-13.4K0.1799.0223339601188
2021-12-03$313.81$320.0036.2%10.4%25.5%81.4%33.2%7.6%-5.1%20.7K-314.2K-15.4K0.17101.2223339601188
2021-12-06$327.48$290.0031.2%8.6%29.3%59.8%28.7%4.9%0.0%81.8K-1.5M-14.8K0.1478.0727939601187
2021-12-07$327.60$290.0030.3%8.0%29.0%56.1%25.5%5.8%1.3%161.0K-1.8M-14.8K0.2086.7227355635187
2021-12-08$333.62$310.0026.0%8.1%27.9%37.5%27.9%4.5%1.0%233.9K-2.4M-13.7K0.1784.5027546635204
2021-12-09$328.48$310.0028.3%8.1%28.6%47.4%28.2%4.1%0.8%168.6K-1.9M-14.6K0.1683.7228046632209
2021-12-10$331.06$310.0030.0%8.1%28.5%54.8%26.0%6.5%1.9%185.9K-2.1M-13.4K0.1690.2228146637209
2021-12-13$333.42$310.0038.1%7.9%27.5%90.0%27.1%4.0%1.2%222.3K-2.4M-13.6K0.1886.4928150636209
2021-12-14$324.15$310.0041.6%8.3%28.9%100.0%27.9%5.3%0.6%118.5K-1.4M-14.7K0.1684.1631350636214
2021-12-15$321.50$310.0028.3%8.1%27.7%45.1%28.6%3.7%1.1%158.3K-1.2M-12.0K0.1689.4331451671209
2021-12-16$325.20$310.0026.6%7.6%28.0%38.1%26.5%4.5%2.2%263.4K-1.7M-11.3K0.1986.2127953671210
2021-12-17$314.43$310.0028.3%8.1%30.4%45.1%27.1%6.6%2.7%44.6K-370.0K-10.1K0.3790.10289107672212
2021-12-20$306.78$330.0028.5%8.2%30.8%46.0%28.7%3.6%1.1%-1.2K292.7K-13.5K0.6688.2913489246165
2021-12-21$312.65$330.0027.3%7.8%31.8%40.8%26.0%4.2%2.0%40.4K-224.3K-15.3K0.6685.3113690282171
2021-12-22$314.10$330.0025.1%7.2%31.9%32.2%25.2%3.1%3.5%33.0K-170.6K-14.1K0.7186.1813696284172
2021-12-23$316.30$330.0023.5%6.7%31.9%25.4%24.0%3.0%3.2%40.5K-420.1K-13.6K0.7189.8513696284179
2021-12-27$319.69$330.0024.7%7.1%32.1%30.4%28.1%4.3%3.2%60.4K-798.2K-14.0K0.7895.25136106284179
2021-12-28$323.11$330.0024.2%6.9%32.2%28.2%26.9%7.6%3.8%55.3K-756.4K-14.0K0.7898.17136106284190
2021-12-29$326.50$330.0024.6%7.0%31.0%29.8%26.2%1.8%1.8%66.1K-1.2M-13.8K0.7798.30136105284190
2021-12-30$323.88$330.0022.8%6.5%29.3%22.6%27.7%2.7%3.0%63.9K-746.9K-14.1K0.7798.46136105284194
2021-12-31$325.40$330.0020.9%6.0%28.3%14.6%27.0%2.1%4.4%65.7K-832.5K-13.9K0.77102.84136105284194