LII Options History — September 2022

In September 2022, LII traded between $211.41 and $262.14. ATM implied volatility averaged 35.5%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 60.5% (HV 20d: 96.1%). Max pain ranged from $240.00 to $250.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.79.

Notable Days

2022-09-13: Highest Volume — 238 contracts
2022-09-14: Largest IV spike — 81.6% change
2022-09-14: Highest IV Rank — 72.6%
2022-09-14: Largest Expected Move — 18.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$239.03	$211.41	$262.14	$248.45	$224.18
Max Pain	$249.05	$240.00	$250.00	$240.00	$250.00
ATM IV	35.5%	20.1%	63.9%	29.6%	43.9%
Expected Move	10.2%	7.5%	18.3%	8.5%	12.6%
HV 20d	96.1%	89.6%	113.2%	90.5%	98.5%
HV 60d	69.0%	56.0%	77.7%	57.7%	77.7%
IV Rank	25.4%	0.0%	72.6%	15.0%	39.4%
IV Percentile	66.7%	0.0%	99.6%	46.0%	97.2%
Term Structure	-1.2%	-37.1%	5.6%	4.0%	-2.3%
VWIV	36.3%	23.7%	44.4%	35.8%	43.5%
Skew 25d	7.0%	-10.1%	12.4%	5.0%	10.2%
Skew 10d	12.7%	-13.1%	23.3%	6.0%	21.4%
Call IV 25d	31.6%	22.7%	39.5%	30.1%	36.9%
Put IV 25d	38.6%	16.6%	48.6%	35.1%	47.0%
Bid-Ask Spread %	96.90	90.66	101.45	99.24	97.53
Gamma HHI	0.35	0.12	0.73	0.55	0.16
Net GEX	91.8K	-30.7K	313.9K	169.9K	-5.3K
Net DEX	-902.0K	-3.7M	896.1K	-1.6M	490.3K
Net VEX	-8.6K	-9.8K	-7.2K	-9.4K	-9.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	0.00	12.00	1.00	1.06
Total Volume	90.429	1	238	6	198
Total OI	322.429	198	441	372	276

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
2022-09-01	$248.45	$240.00	29.6%	8.5%	90.5%	15.0%	35.8%	5.0%	4.0%	169.9K	-1.6M	-9.4K	1.00	99.24	3	3	212	160
2022-09-02	$245.14	$240.00	29.6%	8.5%	90.6%	15.0%	33.0%	9.9%	3.5%	176.3K	-1.3M	-9.5K	0.00	99.35	0	3	213	162
2022-09-06	$249.53	$250.00	36.4%	9.7%	90.7%	26.4%	33.0%	8.3%	0.1%	177.5K	-1.8M	-8.9K	1.08	90.66	85	92	213	163
2022-09-07	$256.65	$250.00	31.0%	8.7%	90.9%	17.4%	31.9%	8.0%	-0.1%	184.5K	-2.6M	-8.1K	0.98	95.08	95	93	213	163
2022-09-08	$256.50	$250.00	24.3%	8.2%	90.5%	6.1%	0.0%	7.1%	2.0%	194.9K	-3.0M	-8.1K	0.00	97.83	6	0	223	165
2022-09-09	$258.81	$250.00	20.1%	7.5%	90.4%	0.0%	23.7%	7.3%	5.6%	198.2K	-3.5M	-7.2K	3.29	101.45	7	23	226	165
2022-09-12	$262.14	$250.00	35.5%	9.1%	89.6%	25.5%	0.0%	6.7%	0.9%	175.8K	-3.7M	-7.2K	0.50	95.75	20	10	232	185
2022-09-13	$254.07	$250.00	35.2%	9.2%	89.8%	25.0%	31.7%	7.5%	0.5%	241.8K	-2.7M	-9.1K	1.18	94.40	109	129	241	195
2022-09-14	$211.41	$250.00	63.9%	18.3%	110.5%	72.6%	0.0%	-10.1%	-37.1%	16.9K	-1.2M	-8.4K	0.00	96.28	2	0	241	200
2022-09-15	$250.82	$250.00	30.5%	8.7%	113.2%	17.2%	0.0%	5.1%	1.4%	313.9K	-2.0M	-8.9K	0.00	96.27	2	0	241	200
2022-09-16	$242.66	$250.00	32.6%	9.3%	96.9%	20.7%	30.5%	6.0%	0.7%	221.2K	-573.0K	-8.4K	1.18	97.07	109	129	240	200
2022-09-19	$245.63	$250.00	33.6%	9.6%	96.5%	22.3%	35.4%	8.6%	0.6%	-3.0K	-117.4K	-8.2K	0.00	93.79	3	0	73	125
2022-09-20	$236.21	$250.00	33.4%	9.6%	96.9%	22.0%	36.1%	12.4%	0.4%	-4.6K	186.5K	-8.3K	0.00	94.07	0	5	76	125
2022-09-21	$232.49	$250.00	34.4%	9.9%	96.9%	23.8%	0.0%	5.5%	2.3%	-9.2K	323.8K	-8.2K	0.00	98.00	1	0	76	130
2022-09-22	$224.87	$250.00	38.4%	11.0%	97.3%	30.4%	39.7%	8.6%	-3.4%	-13.9K	582.8K	-8.0K	12.00	97.10	2	24	77	130
2022-09-23	$224.27	$250.00	36.0%	10.3%	97.2%	26.3%	38.7%	6.4%	1.1%	-21.1K	734.4K	-8.1K	6.33	99.51	3	19	77	151
2022-09-26	$222.04	$250.00	38.9%	11.2%	96.4%	31.1%	41.2%	7.7%	-1.5%	-26.4K	805.7K	-8.7K	1.65	97.28	62	102	76	164
2022-09-27	$220.67	$250.00	38.8%	11.1%	96.4%	31.0%	41.1%	9.3%	0.6%	-30.7K	896.1K	-8.7K	1.65	98.35	62	102	77	166
2022-09-28	$231.16	$250.00	38.3%	11.0%	98.1%	30.2%	41.3%	7.5%	-2.9%	-21.3K	504.2K	-8.9K	1.06	97.54	96	102	77	166
2022-09-29	$221.94	$250.00	41.9%	12.0%	99.0%	36.2%	44.4%	9.1%	-1.3%	-6.6K	582.3K	-9.8K	1.06	98.43	96	102	110	166
2022-09-30	$224.18	$250.00	43.9%	12.6%	98.5%	39.4%	43.5%	10.2%	-2.3%	-5.3K	490.3K	-9.7K	1.06	97.53	96	102	110	166