LII Options History — May 2022

In May 2022, LII traded between $202.86 and $222.74. ATM implied volatility averaged 39.8%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 1.0% (HV 20d: 40.8%). Max pain ranged from $230.00 to $250.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2022-05-18: Highest Volume — 263 contracts
  • 2022-05-19: Largest IV spike — 25.7% change
  • 2022-05-10: Highest IV Rank — 100.0%
  • 2022-05-19: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$211.88$202.86$222.74$215.84$208.93
Max Pain$243.81$230.00$250.00$240.00$230.00
ATM IV39.8%32.6%52.3%39.9%40.2%
Expected Move11.1%9.3%13.7%11.5%11.5%
HV 20d40.8%36.3%45.2%36.5%37.9%
HV 60d35.1%32.7%37.3%32.7%36.1%
IV Rank65.1%39.4%100.0%74.6%62.9%
IV Percentile92.6%74.6%100.0%97.6%94.8%
Term Structure-3.8%-14.7%1.8%-5.6%-6.5%
VWIV39.5%35.7%44.5%42.0%42.6%
Skew 25d8.0%4.3%11.1%6.7%4.4%
Skew 10d15.1%4.2%25.0%9.1%16.5%
Call IV 25d35.5%31.3%39.3%39.3%37.0%
Put IV 25d43.4%38.0%47.3%45.9%41.4%
Bid-Ask Spread %92.2787.3397.9793.7297.97
Gamma HHI0.310.140.380.380.29
Net GEX-74.0K-102.5K-43.0K-73.7K-73.5K
Net DEX3.1M2.7M3.7M3.1M2.9M
Net VEX-7.1K-8.6K-5.3K-7.6K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.931.311.041.18
Total Volume215.238189263214203
Total OI505.905464570464485

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$215.84$240.0039.9%11.5%36.5%74.6%42.0%6.7%-5.6%-73.7K3.1M-7.6K1.0493.72105109208256
2022-05-03$215.87$240.0041.3%11.8%36.3%79.7%43.8%9.9%-7.6%-75.8K3.0M-8.6K1.0796.17103110213265
2022-05-04$221.98$240.0035.2%10.1%38.6%56.9%37.3%6.0%-2.3%-90.3K2.9M-8.3K1.1997.4093111216273
2022-05-05$213.10$250.0041.5%10.6%40.3%80.4%35.7%7.4%-1.6%-77.8K3.3M-7.4K1.1187.7497108220272
2022-05-06$212.47$250.0039.9%10.7%40.3%74.6%36.9%7.0%-2.6%-75.8K3.3M-7.2K1.0687.3399105226276
2022-05-09$215.91$250.0043.5%10.5%41.3%87.8%35.8%7.4%-2.1%-70.8K3.0M-8.0K1.0288.15102104232277
2022-05-10$214.98$250.0052.3%12.0%40.2%100.0%36.1%8.0%-3.6%-73.7K3.2M-7.3K0.9988.04105104232284
2022-05-11$210.16$250.0039.6%11.4%40.3%61.0%40.3%7.0%-2.6%-63.7K3.3M-7.3K1.0487.66105109235283
2022-05-12$217.24$250.0042.5%12.2%42.0%69.7%41.4%11.1%-6.6%-87.0K3.1M-7.5K1.0989.87104113235293
2022-05-13$222.74$250.0039.0%11.2%42.6%58.9%39.0%8.5%-4.0%-75.2K2.7M-8.2K0.9888.50112110235293
2022-05-16$215.63$250.0037.9%10.9%43.8%55.7%38.5%8.4%-1.3%-75.6K2.9M-7.8K1.0289.07113115244293
2022-05-17$215.44$250.0032.9%9.4%41.3%40.1%38.5%7.5%1.8%-82.6K3.0M-7.9K1.0494.44113118245297
2022-05-18$202.86$250.0038.2%10.9%44.1%56.5%42.6%10.6%-6.5%-67.0K3.5M-6.5K1.3191.77114149245301
2022-05-19$206.56$250.0047.9%13.7%44.9%86.7%44.5%10.9%-14.7%-90.5K3.7M-6.7K1.0491.90116121245325
2022-05-20$207.65$250.0041.5%11.9%45.2%66.9%42.3%10.8%-4.2%-102.5K3.5M-6.9K1.0291.40122125249315
2022-05-23$204.19$250.0039.4%11.3%43.8%60.1%40.6%8.2%-4.2%-61.6K3.3M-6.4K0.9395.9310497227256
2022-05-24$203.04$230.0038.0%10.9%38.9%55.9%38.1%7.7%-1.7%-43.0K3.2M-5.3K1.1293.6597109234236
2022-05-25$205.06$230.0037.5%10.7%39.3%54.4%40.5%5.5%-2.2%-57.6K2.9M-6.0K1.1894.5593110234232
2022-05-26$209.13$230.0034.3%9.8%40.2%44.4%36.4%4.3%-2.7%-68.3K2.8M-6.0K1.1794.8794110235233
2022-05-27$210.62$230.0032.6%9.3%37.9%39.4%37.1%10.0%-0.1%-67.5K2.8M-5.8K1.0397.569396237232
2022-05-31$208.93$230.0040.2%11.5%37.9%62.9%42.6%4.4%-6.5%-73.5K2.9M-5.8K1.1897.9793110241244