LII Options History — January 2022

In January 2022, LII traded between $272.29 and $314.65. ATM implied volatility averaged 31.1%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 6.1% (HV 20d: 25.1%). Max pain ranged from $290.00 to $330.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2022-01-31: Highest Volume — 292 contracts
2022-01-24: Largest IV spike — 17.4% change
2022-01-27: Highest IV Rank — 98.1%
2022-01-27: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$294.59	$272.29	$314.65	$313.99	$281.83
Max Pain	$297.50	$290.00	$330.00	$330.00	$290.00
ATM IV	31.1%	23.7%	41.1%	24.8%	36.9%
Expected Move	9.1%	7.0%	11.8%	7.1%	10.6%
HV 20d	25.1%	21.9%	31.2%	31.2%	26.9%
HV 60d	25.8%	25.0%	27.3%	25.9%	27.3%
IV Rank	56.8%	26.2%	98.1%	30.6%	80.9%
IV Percentile	75.9%	28.2%	99.6%	46.8%	96.4%
Term Structure	-1.5%	-6.1%	3.5%	3.4%	-5.4%
VWIV	33.5%	26.4%	41.2%	28.4%	38.2%
Skew 25d	4.1%	-0.4%	9.5%	-0.4%	4.3%
Skew 10d	9.9%	-3.6%	23.1%	-3.6%	10.1%
Call IV 25d	30.7%	23.6%	38.8%	27.3%	36.5%
Put IV 25d	34.8%	27.0%	43.8%	27.0%	40.8%
Bid-Ask Spread %	88.12	81.35	99.28	94.94	88.78
Gamma HHI	0.20	0.15	0.25	0.21	0.22
Net GEX	-66.3K	-118.2K	9.3K	6.7K	-104.5K
Net DEX	1.1M	-176.8K	2.2M	-127.2K	1.7M
Net VEX	-11.8K	-14.8K	-9.3K	-13.1K	-12.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.61	0.77	0.77	0.70
Total Volume	244.65	233	292	241	292
Total OI	492.55	463	513	478	513

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-01-03	$313.99	$330.00	24.8%	7.1%	31.2%	30.6%	28.4%	-0.4%	3.4%	6.7K	-127.2K	-13.1K	0.77	94.94	136	105	284	194
2022-01-04	$314.65	$330.00	24.4%	7.0%	26.9%	29.1%	26.8%	3.5%	3.5%	9.3K	-176.8K	-12.7K	0.77	99.18	136	105	284	195
2022-01-05	$309.34	$330.00	24.8%	7.1%	27.4%	30.6%	26.4%	3.5%	3.3%	-16.9K	98.0K	-12.2K	0.77	99.28	136	105	284	195
2022-01-06	$308.98	$290.00	25.0%	8.0%	26.3%	31.5%	31.0%	3.0%	-1.2%	-23.4K	124.2K	-13.0K	0.76	83.83	139	105	284	197
2022-01-07	$307.14	$290.00	23.7%	7.7%	26.0%	26.2%	31.2%	4.1%	-1.1%	-28.0K	219.8K	-12.3K	0.76	83.90	139	105	287	197
2022-01-10	$304.76	$290.00	27.4%	8.3%	25.6%	41.5%	33.2%	2.6%	-1.4%	-31.5K	-135.8K	-14.8K	0.74	86.73	141	105	287	197
2022-01-11	$307.31	$290.00	24.3%	7.6%	25.7%	28.6%	31.2%	2.1%	-0.3%	-29.4K	261.6K	-11.7K	0.72	88.35	141	102	289	197
2022-01-12	$306.02	$290.00	28.1%	8.1%	24.1%	44.4%	30.7%	3.1%	-1.2%	-43.4K	409.2K	-11.2K	0.65	81.35	141	92	289	198
2022-01-13	$300.08	$290.00	28.1%	8.1%	24.8%	44.6%	31.1%	1.5%	0.1%	-68.1K	721.2K	-11.1K	0.63	87.62	145	92	289	198
2022-01-14	$292.00	$290.00	28.8%	8.3%	25.5%	47.4%	31.1%	3.1%	-1.2%	-96.1K	1.5M	-10.5K	0.66	83.50	146	97	294	198
2022-01-18	$292.88	$300.00	32.1%	9.2%	23.3%	60.8%	31.6%	6.6%	-1.4%	-104.8K	1.5M	-9.6K	0.67	86.19	145	97	295	203
2022-01-19	$292.01	$300.00	31.7%	9.1%	21.9%	59.3%	31.3%	3.7%	-1.7%	-100.0K	1.4M	-10.3K	0.67	86.69	145	97	295	203
2022-01-20	$283.59	$300.00	32.7%	9.4%	22.4%	63.2%	33.9%	5.2%	-2.4%	-118.2K	2.0M	-9.3K	0.61	89.29	148	91	295	203
2022-01-21	$281.53	$290.00	32.9%	9.4%	22.1%	64.3%	35.0%	3.0%	-1.3%	-101.5K	2.2M	-9.9K	0.70	84.77	147	103	299	213
2022-01-24	$286.69	$290.00	38.6%	11.1%	23.3%	88.0%	38.8%	9.5%	-6.1%	-74.4K	1.5M	-11.2K	0.70	84.84	140	98	266	197
2022-01-25	$285.16	$290.00	36.5%	10.5%	22.5%	79.3%	37.8%	8.6%	-4.8%	-78.3K	1.5M	-13.0K	0.70	85.42	140	98	290	214
2022-01-26	$273.64	$290.00	40.9%	11.7%	24.9%	97.3%	40.9%	5.9%	-3.5%	-98.7K	2.1M	-12.6K	0.76	89.59	140	106	290	214
2022-01-27	$272.29	$290.00	41.1%	11.8%	24.0%	98.1%	41.2%	5.0%	-5.4%	-113.2K	2.2M	-12.7K	0.76	88.47	140	106	290	222
2022-01-28	$277.89	$290.00	39.2%	11.2%	26.2%	90.4%	39.8%	3.7%	-2.7%	-111.2K	2.1M	-12.2K	0.74	89.59	142	105	290	222
2022-01-31	$281.83	$290.00	36.9%	10.6%	26.9%	80.9%	38.2%	4.3%	-5.4%	-104.5K	1.7M	-12.2K	0.70	88.78	172	120	291	222