LII Options History — March 2022

In March 2022, LII traded between $253.67 and $277.45. ATM implied volatility averaged 33.3%, placing in the 66.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 2.0% (HV 20d: 31.3%). Max pain ranged from $250.00 to $280.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.82.

Notable Days

  • 2022-03-18: Highest Volume — 265 contracts
  • 2022-03-04: Largest IV spike — 15.4% change
  • 2022-03-07: Highest IV Rank — 96.2%
  • 2022-03-08: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$265.63$253.67$277.45$268.11$258.81
Max Pain$277.86$250.00$280.00$280.00$250.00
ATM IV33.3%25.6%40.6%38.5%27.6%
Expected Move9.7%8.1%13.0%11.0%8.4%
HV 20d31.3%25.5%35.2%25.7%34.4%
HV 60d27.7%26.1%29.0%27.2%28.8%
IV Rank66.0%34.1%96.2%87.5%42.4%
IV Percentile84.7%56.0%98.8%98.0%69.4%
Term Structure-0.5%-7.0%2.8%-7.0%1.9%
VWIV35.7%27.9%43.6%38.4%32.1%
Skew 25d5.6%0.6%10.0%5.2%4.0%
Skew 10d11.5%3.0%24.9%8.8%4.4%
Call IV 25d31.2%22.0%39.0%34.2%28.6%
Put IV 25d36.8%30.1%43.4%39.4%32.6%
Bid-Ask Spread %89.8373.78101.3296.5388.40
Gamma HHI0.260.130.460.260.14
Net GEX-79.8K-196.0K41.3K-123.5K3.6K
Net DEX1.1M-363.2K3.0M1.7M591.4K
Net VEX-12.2K-13.7K-10.3K-12.4K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.581.070.811.02
Total Volume203.087148265206168
Total OI489.304268659592291

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$268.11$280.0038.5%11.0%25.7%87.5%38.4%5.2%-7.0%-123.5K1.7M-12.4K0.8196.5311492346246
2022-03-02$274.61$280.0036.3%10.4%26.4%78.4%31.4%7.6%0.7%-116.1K1.3M-12.9K0.8097.2611592346255
2022-03-03$273.88$280.0032.4%9.3%25.5%62.1%32.2%6.0%0.9%-128.4K1.3M-13.4K0.8297.8011191343263
2022-03-04$268.56$280.0037.4%10.7%26.4%82.8%38.0%5.5%-2.0%-129.6K1.7M-13.0K0.8698.0011195338257
2022-03-07$260.21$280.0040.6%11.6%28.6%96.2%43.5%2.8%-0.9%-156.3K2.5M-12.0K0.7397.1713195339255
2022-03-08$253.67$280.0039.5%13.0%29.7%91.4%43.6%2.8%-2.6%-147.6K3.0M-12.3K0.68101.0514095359255
2022-03-09$261.74$280.0038.1%11.0%31.8%85.8%40.8%9.5%-2.5%-170.1K2.2M-13.0K0.6598.9214393369257
2022-03-10$255.37$280.0037.8%11.1%32.6%84.4%40.6%7.8%-1.8%-163.5K3.0M-12.0K0.6598.9614393374253
2022-03-11$257.41$280.0037.2%10.0%31.1%82.1%36.6%6.0%-1.9%-196.0K2.7M-12.5K0.65101.3214393374252
2022-03-14$262.35$280.0037.9%10.2%31.9%84.9%33.4%7.4%-2.4%-185.3K2.2M-11.8K0.5973.7815793374254
2022-03-15$268.13$280.0034.9%9.7%32.8%72.7%33.2%5.3%-0.7%-156.6K1.2M-13.7K0.6078.9715794397254
2022-03-16$267.43$280.0036.6%9.6%32.8%79.4%32.8%8.3%-3.7%-172.0K1.3M-13.2K0.5882.1316394398255
2022-03-17$271.12$0.0035.3%9.7%33.1%74.0%0.0%6.5%-1.2%-131.3K641.1K-13.1K0.6278.60163101404255
2022-03-18$277.45$0.0031.3%8.8%31.0%57.4%0.0%10.0%-1.4%-70.1K-127.5K-12.9K0.6282.62164101404248
2022-03-21$273.58$0.0032.2%9.2%31.6%61.2%0.0%6.4%-1.4%37.6K-323.7K-12.3K0.9689.06777417296
2022-03-22$275.58$0.0027.7%8.6%31.5%42.8%0.0%6.6%2.3%41.3K-363.2K-12.1K0.9787.95767417298
2022-03-23$264.15$0.0028.6%8.7%35.2%46.6%0.0%1.7%1.4%29.6K78.5K-12.0K1.0790.64758017498
2022-03-24$260.31$0.0028.0%8.6%34.8%44.0%0.0%4.0%2.4%17.9K384.2K-11.1K0.9787.957573176105
2022-03-25$259.14$0.0027.3%8.5%33.0%40.9%0.0%0.6%2.8%13.6K492.0K-11.0K1.0188.037576176107
2022-03-28$262.81$0.0028.8%8.7%33.4%47.5%0.0%4.3%1.3%18.2K388.6K-11.1K1.0782.927580176110
2022-03-29$268.24$0.0025.6%8.2%34.0%34.1%27.9%8.1%2.7%26.1K60.2K-11.7K1.0485.357780176113
2022-03-30$266.76$280.0026.6%8.1%32.8%38.3%30.5%2.7%2.0%23.0K148.8K-11.5K1.0682.627782177113
2022-03-31$258.81$250.0027.6%8.4%34.4%42.4%32.1%4.0%1.9%3.6K591.4K-10.3K1.0288.408385177114