LII Options History — February 2023

In February 2023, LII traded between $250.70 and $277.35. ATM implied volatility averaged 29.6%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 6.8% (HV 20d: 36.3%). Max pain ranged from $240.00 to $260.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.88.

Notable Days

2023-02-16: Highest Volume — 34 contracts
2023-02-08: Largest IV drop — 18.9% change
2023-02-07: Highest IV Rank — 24.9%
2023-02-22: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$262.76	$250.70	$277.35	$268.83	$254.13
Max Pain	$255.26	$240.00	$260.00	$240.00	$250.00
ATM IV	29.6%	27.9%	35.1%	28.2%	28.8%
Expected Move	8.3%	7.8%	8.7%	8.1%	8.3%
HV 20d	36.3%	32.1%	38.5%	36.9%	36.2%
HV 60d	33.6%	31.1%	39.0%	38.5%	32.2%
IV Rank	15.7%	12.9%	24.9%	13.4%	14.5%
IV Percentile	17.2%	7.9%	56.3%	9.1%	13.1%
Term Structure	0.6%	-1.4%	2.2%	-0.9%	0.5%
VWIV	28.9%	24.6%	33.3%	28.7%	26.5%
Skew 25d	4.9%	1.8%	11.4%	1.8%	11.4%
Skew 10d	4.4%	-3.7%	12.9%	-3.6%	-3.7%
Call IV 25d	27.1%	23.5%	30.5%	27.7%	24.7%
Put IV 25d	32.0%	27.8%	36.2%	29.5%	36.2%
Bid-Ask Spread %	97.91	93.75	102.75	99.27	101.15
Gamma HHI	0.18	0.13	0.24	0.15	0.23
Net GEX	-84.4K	-147.0K	-34.2K	-48.8K	-146.6K
Net DEX	858.6K	-687.4K	2.4M	69.9K	2.2M
Net VEX	-17.9K	-19.5K	-16.2K	-18.7K	-16.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.88	0.00	10.00	1.00	0.00
Total Volume	8.474	0	34	24	1
Total OI	584.263	525	634	587	529

Daily Data (19 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
2023-02-01	$268.83	$240.00	28.2%	8.1%	36.9%	13.4%	28.7%	1.8%	-0.9%	-48.8K	69.9K	-18.7K	1.00	99.27	12	12	161	426
2023-02-02	$277.35	$260.00	30.0%	7.9%	37.8%	16.4%	0.0%	3.3%	0.8%	-34.2K	-687.4K	-17.8K	0.00	97.17	0	5	160	429
2023-02-03	$273.76	$260.00	30.4%	7.8%	36.9%	17.1%	24.6%	4.6%	2.2%	-39.3K	-509.6K	-17.6K	2.00	97.37	3	6	160	432
2023-02-06	$268.71	$260.00	31.7%	8.0%	36.2%	19.3%	27.5%	3.3%	0.0%	-56.3K	6.0K	-17.9K	1.00	96.43	2	2	160	433
2023-02-07	$262.72	$260.00	35.1%	8.6%	37.4%	24.9%	30.3%	2.8%	-1.4%	-71.0K	662.3K	-18.8K	0.00	93.75	0	17	161	435
2023-02-08	$263.22	$260.00	28.5%	8.2%	37.3%	13.9%	0.0%	4.5%	-0.4%	-75.0K	617.7K	-18.5K	1.20	94.40	5	6	162	441
2023-02-09	$263.78	$260.00	29.4%	8.4%	36.7%	15.4%	30.6%	5.3%	0.9%	-74.9K	644.8K	-19.3K	0.50	96.83	2	1	167	446
2023-02-10	$259.37	$260.00	29.6%	8.5%	37.1%	15.8%	29.3%	3.7%	1.2%	-80.2K	1.1M	-19.5K	0.25	95.68	12	3	167	445
2023-02-13	$266.70	$260.00	27.9%	8.0%	38.3%	12.9%	28.7%	5.3%	2.1%	-52.7K	224.3K	-18.5K	2.00	95.38	5	10	174	446
2023-02-14	$264.47	$260.00	28.8%	8.3%	38.5%	14.4%	0.0%	4.2%	1.7%	-60.2K	379.7K	-18.5K	0.00	97.26	0	1	175	456
2023-02-15	$265.69	$260.00	28.9%	8.3%	35.1%	14.6%	0.0%	6.7%	0.7%	-55.3K	314.1K	-18.5K	0.00	97.35	0	3	175	457
2023-02-16	$268.43	$260.00	29.1%	8.3%	32.1%	14.9%	29.4%	9.7%	-1.4%	-51.9K	-24.3K	-18.1K	0.62	99.51	21	13	175	459
2023-02-17	$268.68	$250.00	29.4%	8.4%	32.1%	15.5%	27.9%	3.8%	-0.6%	-70.5K	222.3K	-17.3K	10.00	102.75	1	10	158	467
2023-02-21	$256.54	$250.00	29.3%	8.4%	35.9%	15.3%	33.3%	4.3%	1.0%	-121.8K	1.9M	-17.3K	4.00	97.85	1	4	124	401
2023-02-22	$252.21	$250.00	30.5%	8.7%	36.2%	17.3%	0.0%	2.5%	1.0%	-141.2K	2.4M	-17.0K	0.00	99.03	0	0	125	405
2023-02-23	$254.42	$250.00	28.7%	8.2%	36.3%	14.3%	30.5%	6.3%	1.3%	-130.7K	2.1M	-17.7K	0.00	98.97	1	0	125	405
2023-02-24	$250.70	$250.00	29.0%	8.3%	36.7%	14.7%	26.5%	4.4%	0.8%	-147.0K	2.4M	-16.7K	0.00	99.57	2	0	126	405
2023-02-27	$252.69	$250.00	28.1%	8.1%	36.7%	13.3%	0.0%	5.0%	2.0%	-146.8K	2.3M	-16.2K	0.00	100.50	0	0	126	403
2023-02-28	$254.13	$250.00	28.8%	8.3%	36.2%	14.5%	0.0%	11.4%	0.5%	-146.6K	2.2M	-16.4K	0.00	101.15	0	1	126	403