LII Options History — November 2022

In November 2022, LII traded between $233.01 and $271.30. ATM implied volatility averaged 36.0%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 11.5% (HV 20d: 47.4%). Max pain ranged from $220.00 to $230.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 11.79.

Notable Days

  • 2022-11-23: Highest Volume — 1,593 contracts
  • 2022-11-28: Largest IV spike — 19.1% change
  • 2022-11-08: Highest IV Rank — 39.1%
  • 2022-11-02: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$256.01$233.01$271.30$236.08$258.62
Max Pain$229.05$220.00$230.00$220.00$230.00
ATM IV36.0%27.6%43.7%40.3%33.3%
Expected Move10.1%7.9%11.9%11.5%9.5%
HV 20d47.4%38.8%54.3%43.0%47.2%
HV 60d72.0%67.1%80.2%80.2%67.2%
IV Rank26.3%12.4%39.1%33.4%21.8%
IV Percentile59.8%14.3%93.7%84.9%44.0%
Term Structure-0.8%-3.7%2.4%-2.9%-1.6%
VWIV42.0%35.2%51.3%40.4%45.9%
Skew 25d8.7%2.9%20.2%5.0%9.2%
Skew 10d16.8%3.9%32.9%8.2%19.5%
Call IV 25d33.2%26.9%41.7%38.9%33.1%
Put IV 25d41.9%31.8%48.8%43.8%42.3%
Bid-Ask Spread %91.0987.5299.6898.2693.72
Gamma HHI0.150.110.280.190.12
Net GEX28.3K4.8K60.8K43.8K11.4K
Net DEX-1.5M-3.2M-179.0K-876.8K-179.0K
Net VEX-12.1K-15.0K-9.4K-10.8K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.790.6023.892.0516.00
Total Volume787.8101,59323217
Total OI1,245.3333971,8683971,868

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$236.08$220.0040.3%11.5%43.0%33.4%40.4%5.0%-2.9%43.8K-876.8K-10.8K2.0598.2676156159238
2022-11-02$233.01$220.0041.4%11.9%43.2%35.3%50.6%2.9%-1.0%42.7K-693.2K-11.3K3.5599.6844156160257
2022-11-03$235.87$230.0039.5%10.2%42.0%32.2%38.6%5.3%-1.0%44.9K-842.5K-11.2K3.8690.4644170161261
2022-11-04$234.50$230.0040.3%11.7%38.9%33.5%40.6%8.1%-3.2%46.2K-601.4K-11.9K3.8488.9544169161277
2022-11-07$237.54$230.0042.7%10.5%38.8%37.4%39.9%7.6%-0.4%47.6K-829.9K-11.4K3.8988.9344171161277
2022-11-08$246.26$230.0043.7%10.9%40.5%39.1%41.3%8.6%-3.7%40.8K-1.5M-10.9K3.8987.9844171161279
2022-11-09$236.97$230.0040.5%11.6%43.1%33.8%43.6%9.4%-2.7%60.8K-778.5K-11.4K23.4087.56521,217167279
2022-11-10$261.88$230.0034.3%9.8%54.0%23.5%40.9%8.7%2.4%23.4K-2.5M-10.0K22.1889.70551,2201671,325
2022-11-11$271.30$230.0035.5%10.2%54.0%25.6%44.9%11.9%1.2%13.3K-3.0M-9.4K16.1489.37761,2271701,328
2022-11-14$266.58$230.0036.8%10.6%54.3%27.7%40.8%10.8%-1.2%24.7K-3.0M-10.5K15.4990.44801,2391911,335
2022-11-15$270.41$230.0036.5%10.5%54.2%27.1%46.3%9.4%-1.7%9.7K-3.2M-11.0K14.3189.65871,2451971,353
2022-11-16$265.60$230.0034.0%9.7%51.8%23.0%40.5%7.7%1.4%4.8K-2.9M-11.3K11.4789.191121,2852011,354
2022-11-17$263.97$230.0036.1%10.4%51.4%26.6%39.0%7.8%-1.8%15.9K-2.9M-13.3K11.4887.521121,2862261,391
2022-11-18$269.05$230.0031.7%9.1%50.0%19.3%41.2%7.4%0.6%15.9K-3.2M-13.1K12.0690.631061,2782261,393
2022-11-21$265.85$230.0032.8%9.4%50.3%21.0%38.8%10.9%-1.2%24.0K-918.9K-13.5K14.1888.08901,2761481,336
2022-11-22$267.63$230.0030.6%8.8%49.4%17.5%38.6%8.5%0.1%28.9K-1.0M-13.1K21.7187.93701,5201481,405
2022-11-23$267.56$230.0031.0%8.9%49.3%18.1%35.2%4.9%0.6%32.2K-1.1M-12.9K23.8992.01641,5291521,658
2022-11-25$268.11$230.0027.6%7.9%46.4%12.4%0.0%4.9%1.5%33.5K-965.4K-13.9K0.6095.66531551,699
2022-11-28$259.03$230.0032.9%9.4%47.2%21.2%0.0%14.5%-0.3%11.9K-258.7K-15.0K0.0093.80001601,704
2022-11-29$260.48$230.0033.9%9.7%47.0%22.8%51.3%20.2%-2.4%17.3K-372.2K-14.7K0.0093.30041601,704
2022-11-30$258.62$230.0033.3%9.5%47.2%21.8%45.9%9.2%-1.6%11.4K-179.0K-14.4K16.0093.721161601,708