LII Options History — June 2022

In June 2022, LII traded between $185.13 and $213.08. ATM implied volatility averaged 34.7%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 0.3% (HV 20d: 34.4%). Max pain ranged from $210.00 to $230.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.24.

Notable Days

2022-06-17: Highest Volume — 238 contracts
2022-06-29: Largest IV drop — 20.9% change
2022-06-28: Highest IV Rank — 58.6%
2022-06-28: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$201.40	$185.13	$213.08	$207.48	$206.25
Max Pain	$210.95	$210.00	$230.00	$230.00	$210.00
ATM IV	34.7%	30.7%	38.9%	34.1%	36.3%
Expected Move	9.8%	8.8%	11.1%	9.8%	10.4%
HV 20d	34.4%	30.5%	38.0%	38.0%	37.3%
HV 60d	35.6%	34.1%	37.4%	35.6%	37.2%
IV Rank	45.8%	33.6%	58.6%	44.0%	50.6%
IV Percentile	78.4%	59.5%	91.3%	79.8%	82.9%
Term Structure	0.1%	-4.6%	3.0%	-1.7%	-2.8%
VWIV	37.6%	34.0%	48.1%	40.2%	48.1%
Skew 25d	6.9%	0.5%	11.7%	0.5%	9.3%
Skew 10d	13.0%	2.1%	31.1%	7.3%	28.4%
Call IV 25d	32.8%	28.4%	36.6%	36.6%	35.0%
Put IV 25d	39.6%	34.6%	45.5%	37.1%	44.3%
Bid-Ask Spread %	92.32	86.21	103.61	99.00	103.61
Gamma HHI	0.24	0.14	0.35	0.23	0.20
Net GEX	-71.0K	-95.2K	-40.8K	-79.7K	-40.8K
Net DEX	2.6M	598.4K	4.5M	3.0M	598.4K
Net VEX	-4.4K	-6.3K	-2.9K	-5.8K	-4.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	1.02	1.65	1.05	1.49
Total Volume	180.81	119	238	193	147
Total OI	421.429	234	568	499	255

Daily Data (21 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
2022-06-01	$207.48	$230.00	34.1%	9.8%	38.0%	44.0%	40.2%	0.5%	-1.7%	-79.7K	3.0M	-5.8K	1.05	99.00	94	99	241	258
2022-06-02	$213.04	$210.00	33.0%	9.8%	37.8%	40.6%	37.4%	7.7%	-0.3%	-90.6K	2.7M	-6.1K	1.05	88.03	95	100	242	260
2022-06-03	$210.77	$210.00	33.5%	9.9%	35.2%	42.0%	37.6%	1.4%	-0.8%	-81.0K	2.8M	-5.5K	1.06	92.04	95	101	245	260
2022-06-06	$212.03	$210.00	37.2%	9.3%	35.2%	53.5%	36.2%	5.4%	0.5%	-85.9K	2.8M	-5.4K	1.09	87.07	95	104	245	262
2022-06-07	$213.08	$210.00	38.0%	9.0%	34.8%	55.9%	34.0%	6.2%	1.6%	-95.2K	2.6M	-6.3K	1.13	91.75	95	107	245	267
2022-06-08	$209.91	$210.00	31.1%	8.9%	35.1%	34.6%	36.0%	7.6%	2.0%	-90.5K	2.9M	-5.1K	1.07	88.65	100	107	245	271
2022-06-09	$206.67	$210.00	31.9%	9.1%	34.6%	37.1%	34.7%	4.7%	3.0%	-80.6K	3.0M	-4.9K	1.06	87.85	101	107	248	267
2022-06-10	$202.94	$210.00	34.5%	9.9%	32.7%	45.3%	37.6%	9.3%	0.9%	-71.0K	3.3M	-5.1K	1.13	88.29	102	115	252	270
2022-06-13	$197.32	$210.00	36.4%	10.4%	32.0%	51.1%	39.3%	6.2%	0.3%	-83.7K	4.0M	-4.4K	1.24	86.68	102	126	253	297
2022-06-14	$195.34	$210.00	35.8%	10.3%	30.5%	49.2%	36.7%	8.4%	1.4%	-91.8K	4.1M	-4.1K	1.02	86.55	100	102	252	300
2022-06-15	$197.21	$210.00	34.7%	10.0%	30.9%	45.9%	37.3%	9.4%	1.4%	-93.2K	4.0M	-4.0K	1.05	95.89	100	105	254	305
2022-06-16	$185.13	$210.00	36.1%	10.3%	31.6%	50.1%	37.0%	11.7%	1.9%	-80.2K	4.5M	-2.9K	1.20	86.21	100	120	254	307
2022-06-17	$186.63	$210.00	35.2%	10.1%	30.9%	47.3%	36.0%	11.2%	-1.9%	-80.0K	4.4M	-3.1K	1.27	88.94	105	133	256	312
2022-06-21	$187.62	$210.00	33.6%	9.6%	30.9%	42.4%	35.4%	9.8%	2.7%	-47.6K	1.8M	-2.9K	1.29	93.70	52	67	81	153
2022-06-22	$188.18	$210.00	34.3%	9.8%	30.7%	44.6%	38.7%	5.7%	0.2%	-49.5K	1.7M	-3.0K	1.29	97.27	52	67	82	155
2022-06-23	$197.69	$210.00	35.6%	10.2%	36.0%	48.6%	37.1%	7.3%	-3.0%	-50.6K	1.5M	-3.4K	1.28	92.96	53	68	82	156
2022-06-24	$203.88	$210.00	33.4%	9.6%	37.6%	41.9%	35.1%	3.7%	1.9%	-48.1K	1.2M	-3.7K	1.40	92.62	53	74	83	158
2022-06-27	$203.34	$210.00	34.4%	9.9%	36.9%	44.8%	35.8%	4.5%	0.3%	-50.2K	1.2M	-3.7K	1.61	94.48	59	95	83	159
2022-06-28	$202.23	$210.00	38.9%	11.1%	36.8%	58.6%	41.6%	10.0%	-4.6%	-50.1K	1.3M	-4.3K	1.65	96.90	57	94	89	177
2022-06-29	$202.65	$210.00	30.7%	8.8%	36.7%	33.6%	38.1%	3.9%	-1.7%	-49.9K	1.2M	-4.3K	1.53	100.16	59	90	90	179
2022-06-30	$206.25	$210.00	36.3%	10.4%	37.3%	50.6%	48.1%	9.3%	-2.8%	-40.8K	598.4K	-4.7K	1.49	103.61	59	88	93	162