LII Options History — December 2022

In December 2022, LII traded between $237.58 and $267.97. ATM implied volatility averaged 33.9%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 0.7% (HV 20d: 34.6%). Max pain ranged from $230.00 to $260.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 4.63.

Notable Days

  • 2022-12-14: Highest Volume — 347 contracts
  • 2022-12-12: Largest IV spike — 36.0% change
  • 2022-12-12: Highest IV Rank — 51.5%
  • 2022-12-05: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$251.98$237.58$267.97$267.97$237.58
Max Pain$249.52$230.00$260.00$230.00$250.00
ATM IV33.9%28.0%51.2%31.3%29.9%
Expected Move9.0%8.0%10.1%9.0%8.6%
HV 20d34.6%26.0%49.9%48.0%26.0%
HV 60d48.6%40.3%67.6%67.4%40.4%
IV Rank22.9%13.2%51.5%18.5%16.3%
IV Percentile44.1%15.1%98.0%32.9%21.8%
Term Structure1.1%-2.2%3.8%-0.6%3.8%
VWIV32.0%28.4%35.7%31.4%33.4%
Skew 25d5.7%2.9%9.5%2.9%8.0%
Skew 10d10.9%-12.3%27.9%17.1%9.3%
Call IV 25d30.2%27.6%38.7%38.7%27.8%
Put IV 25d35.9%33.7%41.6%41.6%35.8%
Bid-Ask Spread %93.6788.0598.1295.6597.18
Gamma HHI0.170.120.800.120.13
Net GEX-54.5K-1.3M96.1K24.8K-15.9K
Net DEX704.4K-1.3M8.3M-829.1K1.1M
Net VEX-14.1K-15.5K-12.8K-14.5K-12.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.630.0041.000.001.00
Total Volume42.762034715
Total OI1,333.8573932,3191,885421

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$267.97$230.0031.3%9.0%48.0%18.5%0.0%2.9%-0.6%24.8K-829.1K-14.5K0.0095.65011611,724
2022-12-02$266.30$240.0029.9%8.6%48.1%16.2%0.0%9.5%0.7%52.7K-836.9K-15.4K0.0095.81201971,761
2022-12-05$260.77$250.0037.0%10.1%48.9%28.0%31.4%6.0%-2.2%16.0K-389.5K-14.8K0.0092.130101981,761
2022-12-06$254.82$250.0039.6%9.8%49.9%32.3%0.0%3.6%-1.4%-30.1K206.4K-14.8K2.0092.90121981,769
2022-12-07$258.04$250.0037.7%9.4%48.5%29.2%0.0%4.7%0.3%-10.0K-7.2K-14.6K1.0088.87221981,770
2022-12-08$260.35$250.0036.3%9.5%46.1%26.9%35.7%4.9%0.3%9.4K-280.3K-14.3K0.8688.05761981,772
2022-12-09$258.82$250.0037.6%9.2%29.3%29.0%31.7%3.0%0.1%-10.3K-183.9K-14.2K0.6091.32532031,777
2022-12-12$260.55$250.0051.2%9.4%26.3%51.5%0.0%4.6%1.4%7.7K-465.5K-14.3K0.0689.567752021,780
2022-12-13$267.06$250.0045.4%8.5%27.2%41.9%29.1%6.8%1.6%96.1K-1.3M-13.8K0.0092.112602181,785
2022-12-14$258.37$250.0031.1%8.9%29.1%18.2%30.7%6.2%0.8%72.0K-587.7K-14.8K8.3892.03373102421,785
2022-12-15$249.78$260.0028.0%8.0%30.7%13.2%31.8%4.1%3.2%-1.3M4.4M-15.5K41.0094.5283282282,086
2022-12-16$246.91$260.0028.5%8.2%30.8%13.9%28.4%7.4%2.9%-34.0K8.3M-13.5K0.1093.953032292,090
2022-12-19$245.41$250.0030.3%8.7%29.7%16.8%34.9%4.9%-0.1%-4.3K542.6K-14.6K2.0093.3912160233
2022-12-20$243.12$250.0030.7%8.8%29.6%17.5%0.0%5.1%1.2%-9.4K735.6K-13.9K12.0092.39112160235
2022-12-21$246.26$250.0029.1%8.3%30.0%14.9%0.0%5.7%2.4%-2.8K460.7K-14.2K0.0094.3900161247
2022-12-22$241.42$250.0032.1%9.2%30.5%19.8%32.6%7.6%0.5%-11.5K819.4K-13.7K0.5095.9521161247
2022-12-23$243.16$250.0030.9%8.9%30.7%18.0%0.0%6.1%1.7%-8.9K814.6K-13.6K0.0096.7830162248
2022-12-27$243.67$250.0032.2%9.2%28.7%20.1%0.0%6.1%1.9%-5.9K714.8K-13.4K0.0094.9900165248
2022-12-28$239.31$250.0032.1%9.2%29.0%19.9%0.0%3.3%1.8%-13.4K920.6K-13.2K1.0098.1233165248
2022-12-29$241.88$250.0031.9%9.1%29.4%19.5%0.0%8.0%1.7%-6.7K742.2K-13.1K0.0096.9100167251
2022-12-30$237.58$250.0029.9%8.6%26.0%16.3%33.4%8.0%3.8%-15.9K1.1M-12.8K0.0097.1805167254