LII Options History — January 2023

In January 2023, LII traded between $234.17 and $259.10. ATM implied volatility averaged 32.9%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.1% (HV 20d: 29.8%). Max pain ranged from $210.00 to $270.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 4.45.

Notable Days

2023-01-10: Highest Volume — 124 contracts
2023-01-23: Largest IV spike — 10.9% change
2023-01-12: Highest IV Rank — 27.0%
2023-01-12: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$246.25	$234.17	$259.10	$240.51	$259.10
Max Pain	$246.50	$210.00	$270.00	$250.00	$260.00
ATM IV	32.9%	29.9%	36.4%	33.6%	30.0%
Expected Move	9.5%	8.6%	10.4%	9.6%	8.6%
HV 20d	29.8%	24.6%	35.2%	26.8%	35.2%
HV 60d	38.5%	36.5%	40.0%	40.0%	37.9%
IV Rank	21.2%	16.3%	27.0%	22.3%	16.4%
IV Percentile	37.4%	17.5%	63.1%	44.8%	17.9%
Term Structure	-1.3%	-4.5%	2.2%	1.6%	-3.9%
VWIV	33.0%	26.4%	38.3%	31.9%	26.4%
Skew 25d	5.8%	2.4%	9.0%	8.0%	6.4%
Skew 10d	15.1%	-6.8%	30.7%	-6.8%	4.7%
Call IV 25d	30.9%	26.1%	36.0%	29.1%	26.8%
Put IV 25d	36.7%	33.2%	40.3%	37.1%	33.2%
Bid-Ask Spread %	94.95	89.40	101.41	99.43	99.14
Gamma HHI	0.19	0.12	0.38	0.12	0.16
Net GEX	-27.3K	-152.7K	173.6K	-9.8K	-82.8K
Net DEX	1.5M	-891.2K	3.8M	852.0K	1.3M
Net VEX	-17.5K	-22.7K	-12.7K	-13.2K	-19.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.45	0.00	21.00	2.50	0.69
Total Volume	23.3	0	124	14	44
Total OI	565.3	427	733	427	569

Daily Data (20 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
2023-01-03	$240.51	$250.00	33.6%	9.6%	26.8%	22.3%	31.9%	8.0%	1.6%	-9.8K	852.0K	-13.2K	2.50	99.43	4	10	167	260
2023-01-04	$239.65	$250.00	33.2%	9.5%	26.1%	21.8%	38.3%	7.7%	2.2%	-9.1K	811.5K	-13.2K	5.33	97.97	3	16	171	260
2023-01-05	$234.17	$210.00	34.0%	10.1%	26.1%	23.0%	0.0%	4.6%	0.5%	-39.5K	1.3M	-12.7K	0.00	91.38	0	0	169	269
2023-01-06	$243.26	$210.00	33.3%	9.9%	29.6%	21.8%	0.0%	8.1%	-1.3%	-12.0K	680.9K	-13.1K	0.00	92.08	0	0	169	269
2023-01-09	$246.02	$210.00	33.6%	9.6%	29.8%	22.3%	0.0%	2.8%	-0.4%	-2.5K	461.1K	-12.8K	8.00	90.29	2	16	169	269
2023-01-10	$248.52	$210.00	33.2%	10.1%	30.1%	21.7%	37.4%	6.7%	-0.8%	9.5K	218.0K	-12.9K	0.11	91.53	112	12	171	285
2023-01-11	$253.99	$230.00	34.0%	9.7%	31.1%	23.0%	34.5%	5.7%	-0.1%	173.6K	-891.2K	-14.2K	21.00	89.84	3	63	253	296
2023-01-12	$252.16	$240.00	36.4%	10.4%	29.6%	27.0%	31.1%	9.0%	-3.9%	146.3K	-233.0K	-16.2K	11.10	89.40	10	111	256	348
2023-01-13	$252.99	$270.00	32.9%	9.4%	27.4%	21.2%	30.5%	8.7%	0.3%	126.4K	890.1K	-22.7K	0.00	94.18	3	0	268	455
2023-01-17	$252.69	$270.00	34.4%	9.9%	24.6%	23.7%	33.8%	8.9%	-0.8%	133.5K	924.4K	-21.9K	0.00	93.87	0	12	269	455
2023-01-18	$242.76	$270.00	32.6%	9.3%	28.2%	20.6%	33.3%	5.2%	-1.0%	-70.6K	2.9M	-20.9K	1.00	94.51	7	7	269	464
2023-01-19	$234.79	$250.00	32.7%	9.4%	30.5%	20.8%	35.0%	3.6%	-0.5%	-152.7K	3.8M	-19.0K	8.00	94.90	1	8	267	464
2023-01-20	$238.01	$250.00	29.9%	8.6%	30.9%	16.3%	30.0%	4.9%	-0.2%	-136.1K	3.4M	-19.4K	0.00	97.55	1	0	268	463
2023-01-23	$244.76	$250.00	33.2%	9.5%	32.2%	21.7%	28.0%	4.0%	-1.6%	-105.3K	2.5M	-19.9K	2.00	97.36	3	6	143	401
2023-01-24	$248.66	$260.00	32.2%	9.2%	31.8%	20.0%	32.1%	3.6%	-2.5%	-98.4K	2.1M	-20.2K	1.00	96.08	1	1	146	407
2023-01-25	$247.66	$260.00	32.1%	9.2%	31.8%	19.9%	0.0%	2.4%	-3.4%	-103.9K	2.3M	-20.2K	0.00	95.60	0	0	145	408
2023-01-26	$248.23	$260.00	31.0%	8.9%	31.8%	18.1%	0.0%	7.2%	-2.5%	-102.9K	2.3M	-19.8K	0.00	101.41	0	0	145	408
2023-01-27	$250.51	$260.00	32.5%	9.3%	31.1%	20.5%	35.4%	3.8%	-4.5%	-98.8K	2.0M	-19.6K	0.00	95.71	0	5	145	408
2023-01-30	$246.52	$260.00	32.8%	9.4%	31.6%	21.0%	36.5%	4.9%	-3.6%	-110.3K	2.4M	-19.2K	1.50	96.82	2	3	145	413
2023-01-31	$259.10	$260.00	30.0%	8.6%	35.2%	16.4%	26.4%	6.4%	-3.9%	-82.8K	1.3M	-19.4K	0.69	99.14	26	18	145	424