LII Options History — July 2023

In July 2023, LII traded between $316.92 and $366.34. ATM implied volatility averaged 28.2%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 8.8% (HV 20d: 19.4%). Max pain ranged from $290.00 to $330.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 5.29.

Notable Days

2023-07-21: Highest Volume — 115 contracts
2023-07-26: Largest IV drop — 15.7% change
2023-07-19: Highest IV Rank — 19.7%
2023-07-19: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$335.32	$316.92	$366.34	$325.56	$366.34
Max Pain	$313.00	$290.00	$330.00	$290.00	$330.00
ATM IV	28.2%	23.3%	32.0%	28.7%	23.7%
Expected Move	7.9%	6.6%	9.2%	8.3%	6.6%
HV 20d	19.4%	16.4%	27.1%	18.6%	26.9%
HV 60d	26.8%	22.6%	28.1%	27.6%	25.5%
IV Rank	13.4%	5.2%	19.7%	14.2%	5.9%
IV Percentile	24.3%	0.8%	56.0%	21.8%	2.0%
Term Structure	-1.3%	-4.1%	1.2%	-1.1%	-0.2%
VWIV	27.4%	21.9%	31.5%	28.2%	23.6%
Skew 25d	3.1%	-1.3%	5.9%	4.5%	4.0%
Skew 10d	8.7%	1.3%	18.9%	9.2%	6.1%
Call IV 25d	26.4%	21.3%	30.4%	28.3%	21.7%
Put IV 25d	29.6%	21.9%	32.8%	32.8%	25.7%
Bid-Ask Spread %	86.00	74.12	100.40	100.40	92.52
Gamma HHI	0.18	0.09	0.33	0.23	0.15
Net GEX	315.8K	-16.0K	803.9K	533.3K	149.8K
Net DEX	-4.4M	-8.7M	-1.3M	-4.6M	-5.5M
Net VEX	-24.9K	-28.9K	-19.2K	-24.7K	-20.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.29	0.00	55.00	1.00	0.54
Total Volume	37.15	0	115	14	20
Total OI	1,059.6	743	1,230	1,122	743

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
2023-07-03	$325.56	$290.00	28.7%	8.3%	18.6%	14.2%	0.0%	4.5%	-1.1%	533.3K	-4.6M	-24.7K	1.00	100.40	7	7	802	320
2023-07-05	$322.08	$290.00	30.0%	7.8%	18.5%	16.5%	28.2%	1.7%	-1.8%	565.9K	-4.6M	-25.2K	0.00	94.65	25	0	805	325
2023-07-06	$316.92	$310.00	29.7%	7.5%	19.5%	15.8%	25.5%	3.9%	-0.8%	410.5K	-2.7M	-23.1K	0.24	84.49	68	16	829	325
2023-07-07	$320.38	$310.00	28.3%	8.0%	17.0%	13.5%	30.2%	3.9%	-3.0%	641.7K	-4.0M	-24.6K	0.33	84.74	27	9	887	341
2023-07-10	$324.56	$310.00	28.9%	7.9%	17.0%	14.6%	0.0%	3.5%	-0.8%	580.2K	-4.9M	-24.2K	0.00	81.77	0	0	830	330
2023-07-11	$327.78	$310.00	28.8%	8.2%	16.4%	14.4%	26.5%	2.1%	-1.6%	643.0K	-6.0M	-23.3K	2.41	85.72	17	41	830	330
2023-07-12	$335.52	$310.00	27.8%	7.8%	17.6%	12.7%	0.0%	0.4%	-4.1%	803.9K	-8.7M	-25.0K	0.00	80.99	2	0	827	371
2023-07-13	$336.53	$310.00	28.8%	7.8%	17.3%	14.5%	28.0%	4.3%	-2.8%	548.0K	-8.1M	-21.6K	0.00	84.56	4	0	829	371
2023-07-14	$335.97	$310.00	28.6%	8.2%	16.5%	14.1%	27.7%	2.5%	1.2%	319.0K	-8.2M	-22.2K	22.75	83.33	4	91	832	371
2023-07-17	$341.90	$310.00	29.4%	8.4%	17.1%	15.4%	26.3%	5.0%	0.7%	456.2K	-4.1M	-27.7K	2.00	85.29	9	18	703	449
2023-07-18	$339.14	$310.00	29.6%	8.5%	17.6%	15.8%	30.5%	1.3%	-1.4%	147.8K	-3.4M	-27.7K	0.00	86.13	16	0	705	455
2023-07-19	$334.05	$310.00	32.0%	9.2%	18.9%	19.7%	31.5%	4.1%	-2.4%	123.7K	-2.6M	-28.9K	0.38	88.57	8	3	716	455
2023-07-20	$332.20	$310.00	29.7%	8.5%	19.2%	15.9%	0.0%	5.9%	-0.6%	106.2K	-2.5M	-28.0K	55.00	83.35	1	55	723	457
2023-07-21	$330.51	$310.00	28.8%	8.2%	19.4%	14.4%	0.0%	4.7%	-1.7%	4.8K	-1.8M	-28.4K	0.06	81.87	109	6	723	507
2023-07-24	$332.11	$310.00	29.9%	8.3%	19.2%	16.2%	29.4%	-1.3%	0.0%	-13.5K	-1.3M	-26.9K	9.00	74.12	1	9	264	498
2023-07-25	$333.39	$330.00	29.3%	8.3%	19.1%	15.2%	0.0%	5.7%	-3.2%	-16.0K	-1.4M	-26.9K	0.10	74.70	10	1	265	507
2023-07-26	$334.77	$330.00	24.7%	6.8%	17.6%	7.5%	27.2%	1.2%	-0.4%	2.7K	-1.5M	-26.7K	5.20	88.15	10	52	265	508
2023-07-27	$355.20	$330.00	24.0%	6.6%	26.8%	6.5%	0.0%	5.0%	0.6%	158.9K	-5.1M	-22.9K	1.06	89.44	18	19	277	561
2023-07-28	$361.46	$330.00	23.3%	7.0%	27.1%	5.2%	21.9%	0.6%	-2.2%	150.8K	-6.0M	-19.2K	0.43	95.31	42	18	279	577
2023-07-31	$366.34	$330.00	23.7%	6.6%	26.9%	5.9%	23.6%	4.0%	-0.2%	149.8K	-5.5M	-20.3K	0.54	92.52	13	7	263	480