LII Options History — October 2022

In October 2022, LII traded between $214.05 and $237.34. ATM implied volatility averaged 43.5%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 19.5% (HV 20d: 62.9%). Max pain ranged from $190.00 to $250.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2022-10-12: Highest Volume — 279 contracts
  • 2022-10-12: Largest IV drop — 24.2% change
  • 2022-10-11: Highest IV Rank — 61.4%
  • 2022-10-14: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$226.65$214.05$237.34$229.54$235.01
Max Pain$217.62$190.00$250.00$250.00$220.00
ATM IV43.5%36.8%57.1%43.0%42.1%
Expected Move12.0%10.6%13.1%12.3%12.1%
HV 20d62.9%39.0%99.9%99.0%44.2%
HV 60d78.9%77.8%80.2%77.8%80.2%
IV Rank38.7%27.7%61.4%37.9%36.4%
IV Percentile91.6%73.4%98.8%96.4%90.9%
Term Structure-2.2%-5.2%1.4%-4.9%-3.6%
VWIV42.4%37.0%50.6%49.3%44.5%
Skew 25d8.7%4.4%13.7%11.3%5.7%
Skew 10d18.5%6.2%39.2%32.4%16.7%
Call IV 25d37.2%31.4%42.4%42.4%38.2%
Put IV 25d45.9%40.1%53.8%53.8%43.9%
Bid-Ask Spread %94.7186.09101.4997.9797.89
Gamma HHI0.210.150.370.170.19
Net GEX44.0K3.0K127.4K3.0K41.3K
Net DEX-215.0K-886.9K536.7K299.0K-858.2K
Net VEX-10.0K-11.4K-9.4K-9.8K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.672.141.062.14
Total Volume242.571191279198245
Total OI346.476274422276363

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$229.54$250.0043.0%12.3%99.0%37.9%49.3%11.3%-4.9%3.0K299.0K-9.8K1.0697.9796102110166
2022-10-04$236.15$250.0036.8%10.6%99.4%27.7%44.8%13.7%1.4%7.2K-19.1K-9.6K1.06101.4996102110166
2022-10-05$237.34$250.0044.6%12.8%98.7%40.6%50.6%12.1%-4.4%8.9K-103.7K-9.8K1.0798.2796103110164
2022-10-06$230.18$190.0044.9%11.4%99.2%41.1%38.4%9.5%-1.8%3.5K188.3K-9.4K0.7687.13136103110165
2022-10-07$220.70$190.0046.1%11.8%99.8%43.0%38.4%12.2%-3.3%42.0K211.3K-10.0K0.7387.21152111162166
2022-10-10$224.25$200.0051.0%12.9%99.9%51.2%42.2%8.1%-4.3%56.2K-154.5K-10.4K0.6793.77166111178174
2022-10-11$224.37$200.0057.1%12.1%99.6%61.4%41.5%8.5%-2.1%78.5K-536.4K-11.1K0.6786.09166111208173
2022-10-12$222.62$200.0043.3%12.4%74.4%38.5%41.8%8.9%-2.1%127.4K-626.2K-11.4K0.6892.85166113247175
2022-10-13$217.74$200.0040.9%11.7%40.1%34.5%37.0%9.5%-2.0%54.9K233.5K-9.9K0.8191.69140113197175
2022-10-14$214.66$220.0045.7%13.1%39.0%42.4%38.4%11.0%-3.7%45.1K415.2K-9.7K0.9495.52140131201175
2022-10-17$222.20$220.0043.2%12.4%41.1%38.3%43.0%10.4%-1.6%73.9K-202.7K-10.3K0.8793.81146127198193
2022-10-18$226.44$220.0041.8%12.0%39.9%36.0%44.0%6.3%-0.8%86.5K-621.0K-10.7K0.8793.82146127201186
2022-10-19$217.05$220.0045.3%13.0%42.1%41.7%44.2%7.1%-5.2%50.9K162.4K-10.2K0.8691.79148128201186
2022-10-20$214.05$220.0043.9%12.6%40.9%39.4%40.4%7.6%-2.8%30.4K536.7K-9.6K0.8794.95147128203188
2022-10-21$223.69$220.0040.8%11.7%44.1%34.4%39.0%6.4%0.1%33.3K-41.2K-9.9K0.8797.59147128203189
2022-10-24$228.39$220.0043.1%12.4%44.5%38.2%42.0%9.2%-1.4%32.8K-415.6K-10.0K1.2099.6988106148169
2022-10-25$236.16$220.0042.4%12.1%45.8%36.9%44.2%4.4%-2.3%33.0K-886.9K-9.7K1.2596.2185106148170
2022-10-26$235.90$220.0037.2%10.7%42.9%28.3%40.8%5.6%-0.5%41.7K-873.0K-9.7K1.2597.2585106149170
2022-10-27$226.90$220.0040.5%11.6%42.7%33.8%41.6%8.3%-0.5%38.2K-335.6K-9.5K1.6095.8987139150170
2022-10-28$236.25$220.0039.4%11.3%44.8%32.0%44.9%6.1%-0.4%36.4K-886.7K-9.6K1.7398.0981140151208
2022-10-31$235.01$220.0042.1%12.1%44.2%36.4%44.5%5.7%-3.6%41.3K-858.2K-9.4K2.1497.8978167152211