LII Options History — February 2022

In February 2022, LII traded between $249.91 and $276.07. ATM implied volatility averaged 32.9%, placing in the 64.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 6.9% (HV 20d: 26.0%). Max pain ranged from $280.00 to $300.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.65.

Notable Days

2022-02-04: Highest Volume — 285 contracts
2022-02-11: Largest IV spike — 20.6% change
2022-02-28: Highest IV Rank — 77.3%
2022-02-28: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$264.07	$249.91	$276.07	$276.07	$265.58
Max Pain	$292.63	$280.00	$300.00	$290.00	$280.00
ATM IV	32.9%	28.9%	36.1%	32.9%	36.1%
Expected Move	9.2%	8.3%	10.3%	9.4%	10.3%
HV 20d	26.0%	24.3%	27.7%	25.3%	26.0%
HV 60d	27.1%	26.2%	28.0%	27.6%	27.6%
IV Rank	64.3%	47.6%	77.3%	64.0%	77.3%
IV Percentile	91.1%	79.4%	95.6%	93.7%	95.6%
Term Structure	-0.8%	-6.2%	1.2%	-2.3%	-2.8%
VWIV	33.9%	30.1%	39.2%	37.3%	39.2%
Skew 25d	5.0%	1.7%	9.0%	3.9%	3.9%
Skew 10d	8.8%	0.1%	15.9%	4.2%	8.8%
Call IV 25d	31.7%	28.8%	37.6%	32.1%	37.6%
Put IV 25d	36.6%	32.1%	42.2%	36.0%	41.5%
Bid-Ask Spread %	92.87	90.29	95.67	90.81	94.83
Gamma HHI	0.29	0.23	0.33	0.23	0.27
Net GEX	-156.8K	-193.3K	-121.7K	-126.2K	-132.7K
Net DEX	2.8M	1.8M	4.0M	2.2M	2.0M
Net VEX	-12.0K	-13.8K	-10.3K	-13.2K	-12.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.53	0.79	0.74	0.77
Total Volume	250.316	199	285	263	203
Total OI	605.526	551	644	578	592

Daily Data (19 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
2022-02-01	$276.07	$290.00	32.9%	9.4%	25.3%	64.0%	37.3%	3.9%	-2.3%	-126.2K	2.2M	-13.2K	0.74	90.81	151	112	318	260
2022-02-02	$271.09	$290.00	30.4%	8.7%	25.4%	54.0%	35.3%	4.8%	-0.2%	-155.7K	2.7M	-12.5K	0.70	95.67	151	105	316	274
2022-02-03	$269.06	$300.00	32.9%	8.8%	25.2%	64.4%	33.3%	5.7%	-1.0%	-164.9K	2.8M	-12.8K	0.70	90.29	162	114	319	276
2022-02-04	$268.01	$300.00	33.3%	8.5%	25.1%	66.0%	31.0%	2.5%	1.2%	-165.7K	2.7M	-12.9K	0.67	92.89	171	114	324	268
2022-02-07	$269.41	$300.00	36.0%	8.7%	25.5%	77.1%	32.2%	2.3%	0.8%	-151.1K	2.3M	-13.8K	0.56	90.62	167	93	338	269
2022-02-08	$272.65	$300.00	33.9%	8.4%	26.3%	68.4%	31.0%	5.0%	1.1%	-141.2K	2.1M	-13.1K	0.53	90.69	177	93	339	274
2022-02-09	$274.25	$300.00	28.9%	8.3%	26.2%	47.6%	30.9%	1.7%	1.1%	-121.7K	1.8M	-13.8K	0.58	92.66	166	96	351	274
2022-02-10	$265.83	$300.00	29.4%	8.4%	27.7%	49.9%	30.1%	2.9%	0.4%	-156.9K	2.7M	-12.1K	0.59	91.30	167	98	350	272
2022-02-11	$263.86	$300.00	35.5%	10.2%	27.3%	74.9%	32.4%	5.3%	-6.2%	-156.1K	3.0M	-12.1K	0.61	93.04	164	100	354	275
2022-02-14	$264.25	$290.00	33.4%	9.6%	26.2%	66.1%	32.8%	7.4%	-1.4%	-157.5K	3.0M	-11.6K	0.61	92.50	164	100	359	276
2022-02-15	$264.34	$290.00	30.7%	8.8%	26.1%	55.3%	31.0%	6.1%	0.3%	-165.2K	2.8M	-12.0K	0.60	94.43	163	98	357	281
2022-02-16	$263.00	$290.00	30.1%	8.6%	26.1%	52.7%	31.7%	5.9%	-0.3%	-185.0K	3.1M	-11.5K	0.59	93.83	162	96	358	283
2022-02-17	$254.02	$290.00	32.7%	9.4%	26.9%	63.6%	33.4%	7.3%	-1.1%	-193.3K	3.9M	-10.7K	0.62	92.98	162	100	358	285
2022-02-18	$253.04	$290.00	33.2%	9.5%	26.9%	65.5%	34.8%	9.0%	-0.2%	-190.1K	4.0M	-10.3K	0.57	93.99	176	100	358	286
2022-02-22	$252.85	$290.00	34.5%	9.9%	25.5%	70.9%	37.5%	4.2%	-1.6%	-158.2K	3.3M	-10.7K	0.79	93.91	111	88	304	247
2022-02-23	$249.91	$290.00	33.8%	9.7%	25.5%	68.1%	37.2%	6.9%	0.0%	-156.4K	3.5M	-10.3K	0.74	92.98	119	88	309	248
2022-02-24	$256.05	$290.00	35.1%	10.1%	24.3%	73.1%	37.5%	5.2%	-3.5%	-154.7K	3.1M	-11.1K	0.66	93.32	134	88	322	247
2022-02-25	$264.00	$280.00	32.5%	9.3%	27.1%	62.4%	35.5%	4.2%	-0.0%	-146.9K	2.2M	-12.0K	0.77	93.78	115	88	338	246
2022-02-28	$265.58	$280.00	36.1%	10.3%	26.0%	77.3%	39.2%	3.9%	-2.8%	-132.7K	2.0M	-12.3K	0.77	94.83	115	88	346	246