LII Options History — March 2023

In March 2023, LII traded between $241.07 and $262.56. ATM implied volatility averaged 36.0%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 8.2% (HV 20d: 27.9%). Max pain ranged from $230.00 to $280.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.80.

Notable Days

  • 2023-03-20: Highest Volume — 59 contracts
  • 2023-03-15: Largest IV drop — 42.0% change
  • 2023-03-13: Highest IV Rank — 72.7%
  • 2023-03-02: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$249.03$241.07$262.56$252.33$250.42
Max Pain$246.09$230.00$280.00$250.00$250.00
ATM IV36.0%29.4%64.0%29.4%29.5%
Expected Move9.1%8.1%10.2%8.4%8.5%
HV 20d27.9%25.0%31.8%31.4%25.0%
HV 60d31.4%30.7%32.1%31.3%31.2%
IV Rank26.4%15.3%72.7%15.3%15.7%
IV Percentile50.5%17.1%99.6%17.5%17.9%
Term Structure0.2%-6.5%7.1%-1.2%1.1%
VWIV35.1%28.2%49.2%35.1%49.2%
Skew 25d4.5%1.6%9.6%5.9%8.8%
Skew 10d9.0%-4.1%23.2%-3.8%23.2%
Call IV 25d31.1%23.7%37.8%25.8%25.5%
Put IV 25d35.5%30.5%41.2%31.8%34.2%
Bid-Ask Spread %97.2893.13101.6096.73100.65
Gamma HHI0.260.210.310.240.31
Net GEX-128.8K-169.8K-101.0K-146.9K-104.4K
Net DEX2.4M1.5M3.2M2.3M2.1M
Net VEX-14.4K-16.0K-13.2K-16.0K-13.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.002.500.000.00
Total Volume4.8705903
Total OI469.565357538530394

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$252.33$250.0029.4%8.4%31.4%15.3%0.0%5.9%-1.2%-146.9K2.3M-16.0K0.0096.7300126404
2023-03-02$254.78$250.0035.4%10.2%28.4%25.4%0.0%2.5%-5.4%-144.2K2.1M-16.0K0.0097.2800126404
2023-03-03$262.56$250.0033.8%9.7%28.2%22.7%0.0%6.4%-6.5%-120.9K1.5M-15.6K0.0097.6220126404
2023-03-06$260.74$280.0035.5%9.0%28.0%25.5%35.1%1.6%0.3%-122.9K1.5M-15.1K0.0099.2530128404
2023-03-07$256.94$250.0036.5%8.1%27.7%27.1%0.0%2.2%0.7%-135.3K1.8M-15.3K0.0095.3900131404
2023-03-08$257.81$250.0035.9%8.1%26.7%26.2%0.0%1.7%1.2%-137.7K1.7M-15.0K0.0096.0100131404
2023-03-09$250.63$250.0038.2%8.7%28.4%29.9%32.9%5.9%-0.7%-154.5K2.3M-14.8K0.0097.3603131404
2023-03-10$245.26$230.0045.3%9.2%29.1%41.8%0.0%3.3%0.5%-150.4K2.8M-15.2K0.0093.1303131407
2023-03-13$244.14$230.0064.0%9.9%28.7%72.7%45.8%9.6%-1.5%-151.8K3.0M-14.7K0.0095.2901131405
2023-03-14$246.80$230.0057.2%9.2%26.9%61.5%0.0%5.3%0.8%-156.7K2.7M-14.5K0.0095.3801131406
2023-03-15$241.07$230.0033.2%9.5%27.7%21.7%0.0%2.8%3.4%-158.0K3.2M-14.1K0.0096.4401131407
2023-03-16$246.93$230.0031.8%9.1%29.4%19.4%0.0%8.8%1.7%-164.3K2.6M-14.2K2.5096.2425131402
2023-03-17$242.49$230.0033.1%9.5%29.3%21.6%30.8%2.7%1.7%-169.8K2.9M-13.6K0.6795.0864131405
2023-03-20$249.84$250.0034.1%9.8%31.8%23.2%28.2%2.8%-0.5%-106.0K2.3M-14.0K0.0495.3957256301
2023-03-21$249.46$250.0033.0%9.4%27.5%21.3%32.1%4.0%1.7%-101.0K2.2M-14.5K0.0095.461081303
2023-03-22$247.67$250.0031.8%9.1%27.0%19.4%0.0%7.0%-2.0%-104.3K2.2M-13.8K0.00100.350082303
2023-03-23$246.80$250.0032.7%9.4%26.8%20.8%35.7%5.2%-1.4%-102.3K2.4M-13.9K1.0098.031182304
2023-03-24$243.39$250.0029.4%8.4%26.7%15.3%29.0%3.1%1.9%-108.1K2.6M-13.4K2.00101.601283303
2023-03-27$244.32$250.0034.2%9.8%26.6%23.4%33.7%4.3%0.8%-104.3K2.5M-13.6K2.0097.451282305
2023-03-28$243.73$250.0033.1%9.5%26.4%21.5%33.4%4.0%0.1%-105.1K2.6M-13.6K0.6098.555383305
2023-03-29$244.71$250.0031.5%9.0%26.5%18.9%0.0%1.9%1.1%-104.8K2.5M-13.6K0.0098.760086308
2023-03-30$244.95$250.0030.4%8.7%26.1%17.0%0.0%2.9%7.1%-108.9K2.4M-13.2K0.00100.092086308
2023-03-31$250.42$250.0029.5%8.5%25.0%15.7%49.2%8.8%1.1%-104.4K2.1M-13.3K0.00100.650386308