LII Options History — August 2022

In August 2022, LII traded between $225.84 and $266.96. ATM implied volatility averaged 31.2%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 24.6% (HV 20d: 55.8%). Max pain ranged from $210.00 to $240.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.02.

Notable Days

  • 2022-08-31: Highest Volume — 198 contracts
  • 2022-08-17: Largest IV spike — 200.9% change
  • 2022-08-17: Highest IV Rank — 100.0%
  • 2022-08-17: Largest Expected Move — 23.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$248.74$225.84$266.96$245.03$241.97
Max Pain$214.78$210.00$240.00$220.00$240.00
ATM IV31.2%24.9%80.5%29.1%33.9%
Expected Move8.9%7.1%23.1%8.4%9.7%
HV 20d55.8%24.0%90.8%24.0%90.0%
HV 60d43.7%29.8%57.8%33.8%57.5%
IV Rank21.7%8.2%100.0%23.3%22.3%
IV Percentile46.6%24.2%100.0%48.0%67.5%
Term Structure-3.6%-101.5%4.1%-0.4%0.4%
VWIV33.7%25.4%55.4%38.7%35.6%
Skew 25d5.0%-0.9%9.0%7.6%6.4%
Skew 10d12.2%-4.2%28.7%17.2%2.6%
Call IV 25d28.8%23.1%35.5%27.7%34.0%
Put IV 25d33.8%29.7%40.4%35.3%40.4%
Bid-Ask Spread %97.5794.78100.4398.7499.23
Gamma HHI0.290.110.540.190.46
Net GEX76.6K25.7K174.5K44.2K140.4K
Net DEX-1.8M-2.8M-1.1M-1.5M-1.1M
Net VEX-6.1K-8.7K-4.5K-6.2K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.002.500.851.33
Total Volume65.6090198183198
Total OI284.174238356256356

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-08-01$245.03$220.0029.1%8.4%24.0%23.3%38.7%7.6%-0.4%44.2K-1.5M-6.2K0.8598.749984142114
2022-08-02$239.70$220.0030.8%8.8%25.6%27.8%37.7%4.2%-1.2%44.8K-1.3M-6.5K0.8596.819984143114
2022-08-03$244.14$220.0029.4%8.4%26.0%24.1%34.8%3.9%-0.2%45.5K-1.5M-6.0K0.8299.9210384143114
2022-08-04$244.34$210.0031.1%8.4%26.0%28.7%28.2%8.0%0.7%55.1K-1.6M-6.1K0.8295.8610384149114
2022-08-05$243.59$210.0026.2%8.1%25.3%15.2%28.5%7.1%1.9%55.3K-1.4M-5.9K0.8295.7110384150114
2022-08-08$246.95$210.0027.9%8.0%25.4%20.0%30.2%7.5%0.3%50.4K-1.6M-5.8K0.8294.7810384150114
2022-08-09$242.19$210.0030.7%8.2%27.1%27.6%28.0%5.3%2.5%60.2K-1.5M-5.7K1.5095.6723150114
2022-08-10$248.88$210.0026.7%7.6%28.1%16.5%0.0%6.0%3.7%52.2K-1.8M-5.3K0.0095.9800149114
2022-08-11$251.50$210.0026.7%7.7%26.7%16.7%0.0%7.8%2.7%50.6K-2.0M-5.1K0.4096.7852149114
2022-08-12$261.05$210.0025.1%7.2%28.6%12.4%25.4%7.9%4.1%51.9K-2.4M-5.4K1.0097.5911154118
2022-08-15$266.96$210.0024.9%7.1%27.1%11.6%0.0%5.3%2.0%50.4K-2.7M-4.8K0.0098.2310154117
2022-08-16$266.00$210.0026.7%7.7%25.9%16.7%0.0%3.5%1.6%50.8K-2.7M-4.6K0.0097.7600154117
2022-08-17$225.84$210.0080.5%23.1%66.7%100.0%55.4%0.8%-101.5%25.7K-1.2M-5.6K2.0098.0112154117
2022-08-18$266.23$210.0026.4%7.6%88.4%9.7%0.0%4.0%2.1%52.8K-2.7M-4.5K2.5098.14410155118
2022-08-19$258.10$210.0025.5%7.3%89.5%8.2%28.4%3.4%2.1%48.0K-2.4M-5.2K0.3397.8231157127
2022-08-22$250.18$210.0029.1%8.3%90.2%14.2%28.2%4.5%-0.1%38.7K-1.4M-5.5K0.0096.7103133105
2022-08-23$246.89$210.0028.2%8.1%90.5%12.7%28.2%9.0%0.9%32.6K-1.2M-5.3K0.0297.361082133108
2022-08-24$249.93$210.0028.9%8.3%90.4%13.8%0.0%1.5%1.5%174.5K-2.6M-7.7K0.0098.2702233110
2022-08-25$252.43$210.0029.5%8.4%90.1%14.8%41.7%3.7%0.3%163.5K-2.8M-7.5K1.0097.4111233110
2022-08-26$242.99$220.0031.8%9.1%90.8%18.7%31.1%-0.9%-2.1%163.9K-1.8M-7.6K1.2598.6445234111
2022-08-29$244.10$220.0029.8%8.5%90.6%15.3%33.1%5.1%0.6%174.5K-1.9M-7.2K2.0098.2312235115
2022-08-30$242.13$240.0038.4%11.0%90.3%29.7%39.1%4.0%-4.9%136.5K-1.3M-7.2K0.00100.43032212115
2022-08-31$241.97$240.0033.9%9.7%90.0%22.3%35.6%6.4%0.4%140.4K-1.1M-8.7K1.3399.2385113212144