LII Options History — September 2023

In September 2023, LII traded between $365.63 and $391.88. ATM implied volatility averaged 28.5%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.7% (HV 20d: 25.8%). Max pain ranged from $350.00 to $370.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.91.

Notable Days

2023-09-08: Highest Volume — 302 contracts
2023-09-26: Largest IV spike — 13.0% change
2023-09-26: Highest IV Rank — 33.9%
2023-09-26: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$378.30	$365.63	$391.88	$381.76	$375.34
Max Pain	$365.50	$350.00	$370.00	$360.00	$370.00
ATM IV	28.5%	24.5%	36.8%	24.5%	34.9%
Expected Move	7.9%	6.8%	9.7%	6.8%	8.9%
HV 20d	25.8%	21.3%	29.0%	26.3%	26.2%
HV 60d	24.6%	23.4%	26.2%	23.4%	26.1%
IV Rank	15.7%	5.8%	33.9%	10.1%	29.2%
IV Percentile	32.3%	5.6%	82.5%	5.6%	78.6%
Term Structure	0.6%	-2.9%	2.8%	2.8%	-0.0%
VWIV	26.5%	23.7%	32.1%	24.7%	27.9%
Skew 25d	4.4%	1.2%	7.9%	4.1%	7.2%
Skew 10d	6.2%	-11.0%	18.8%	12.0%	4.9%
Call IV 25d	26.8%	23.0%	33.4%	23.8%	30.2%
Put IV 25d	31.2%	26.7%	38.6%	27.9%	37.4%
Bid-Ask Spread %	82.72	73.37	96.39	96.39	75.48
Gamma HHI	0.20	0.15	0.39	0.15	0.21
Net GEX	-143.8K	-418.2K	355.5K	-98.3K	-231.9K
Net DEX	-982.3K	-5.1M	2.5M	-2.3M	907.3K
Net VEX	-33.4K	-38.1K	-24.3K	-27.4K	-34.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.91	0.00	20.00	0.00	20.00
Total Volume	30.6	1	302	4	21
Total OI	1,298.1	1,010	1,732	1,410	1,074

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
2023-09-01	$381.76	$360.00	24.5%	6.8%	26.3%	10.1%	24.7%	4.1%	2.8%	-98.3K	-2.3M	-27.4K	0.00	96.39	4	0	353	1,057
2023-09-05	$374.77	$350.00	25.2%	7.3%	26.7%	11.6%	0.0%	1.2%	0.2%	-418.2K	-1.2M	-27.0K	0.00	86.69	0	4	346	1,056
2023-09-06	$377.40	$350.00	25.5%	7.3%	26.8%	12.4%	0.0%	3.0%	0.0%	-251.0K	-2.1M	-25.1K	10.00	88.39	1	10	346	1,060
2023-09-07	$385.50	$350.00	25.1%	7.0%	27.4%	11.4%	0.0%	3.2%	0.0%	-69.0K	-3.0M	-24.3K	0.00	88.58	0	22	347	1,053
2023-09-08	$388.46	$350.00	26.2%	7.0%	27.4%	13.9%	25.3%	3.4%	-2.9%	173.6K	-4.0M	-24.4K	1.00	87.54	151	151	347	1,055
2023-09-11	$391.88	$370.00	25.8%	7.5%	27.5%	13.0%	0.0%	3.8%	0.2%	355.5K	-5.1M	-34.0K	0.83	85.73	6	5	491	1,182
2023-09-12	$382.89	$370.00	26.5%	7.6%	29.0%	14.5%	26.0%	2.9%	0.9%	-5.5K	-3.0M	-33.8K	0.25	87.49	16	4	495	1,185
2023-09-13	$379.70	$370.00	25.5%	7.7%	29.0%	6.5%	0.0%	5.5%	1.8%	-206.7K	-2.0M	-33.9K	0.00	90.12	18	0	511	1,187
2023-09-14	$381.04	$370.00	25.2%	7.5%	28.9%	5.8%	23.7%	5.2%	0.9%	-100.7K	-2.7M	-34.7K	0.91	83.70	11	10	527	1,187
2023-09-15	$374.02	$370.00	26.8%	7.8%	25.4%	9.6%	25.2%	5.5%	2.6%	-183.3K	-1.2M	-37.0K	1.00	84.43	25	25	538	1,194
2023-09-18	$377.42	$370.00	26.9%	7.9%	25.0%	9.8%	24.0%	1.2%	1.3%	-154.2K	-81.0K	-37.0K	1.27	73.37	11	14	328	682
2023-09-19	$377.53	$370.00	25.9%	7.4%	25.0%	7.4%	29.8%	4.3%	2.1%	-157.6K	-134.2K	-37.4K	4.00	77.27	4	16	333	696
2023-09-20	$373.94	$370.00	26.8%	7.7%	25.4%	9.6%	0.0%	4.5%	0.7%	-216.2K	769.7K	-36.8K	0.00	77.54	0	1	335	708
2023-09-21	$369.10	$370.00	29.7%	8.4%	21.3%	16.6%	0.0%	4.0%	2.6%	-296.2K	1.9M	-38.1K	0.00	78.60	2	0	335	709
2023-09-22	$376.61	$370.00	29.8%	8.4%	21.4%	17.0%	24.1%	6.2%	2.4%	-181.7K	253.8K	-36.2K	0.83	81.86	6	5	337	709
2023-09-25	$379.15	$370.00	32.5%	8.3%	21.4%	23.6%	28.0%	6.6%	-2.7%	-145.5K	-165.6K	-36.2K	1.73	78.96	11	19	326	698
2023-09-26	$365.63	$370.00	36.8%	9.7%	25.4%	33.9%	29.2%	2.0%	-0.8%	-329.6K	2.5M	-36.4K	0.71	79.72	7	5	338	717
2023-09-27	$373.60	$370.00	35.4%	9.0%	25.2%	30.5%	25.2%	7.9%	-1.3%	-263.1K	1.3M	-36.2K	3.00	77.04	3	9	335	720
2023-09-28	$380.25	$370.00	34.5%	9.5%	25.8%	28.3%	32.1%	6.4%	0.2%	-95.5K	-341.6K	-36.5K	4.00	75.60	3	12	337	728
2023-09-29	$375.34	$370.00	34.9%	8.9%	26.2%	29.2%	27.9%	7.2%	-0.0%	-231.9K	907.3K	-34.6K	20.00	75.48	1	20	338	736