LII Options History — October 2023

In October 2023, LII traded between $338.35 and $390.95. ATM implied volatility averaged 37.6%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 7.1% (HV 20d: 30.5%). Max pain ranged from $357.50 to $370.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 6.76.

Notable Days

  • 2023-10-26: Highest Volume — 1,121 contracts
  • 2023-10-18: Largest IV spike — 18.3% change
  • 2023-10-25: Highest IV Rank — 51.9%
  • 2023-10-25: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$366.63$338.35$390.95$368.21$371.05
Max Pain$368.41$357.50$370.00$370.00$357.50
ATM IV37.6%33.4%44.2%34.8%34.2%
Expected Move10.6%9.4%13.4%9.4%9.5%
HV 20d30.5%25.0%37.2%26.5%37.2%
HV 60d27.8%26.3%30.0%26.5%29.9%
IV Rank36.0%25.7%51.9%29.1%27.6%
IV Percentile85.4%73.4%98.0%78.6%77.8%
Term Structure-1.2%-8.9%4.3%0.2%-3.6%
VWIV37.6%29.3%46.0%35.7%40.6%
Skew 25d5.4%0.4%8.9%5.5%3.0%
Skew 10d10.9%0.1%24.9%4.1%4.5%
Call IV 25d34.2%29.4%40.5%32.9%31.1%
Put IV 25d39.5%32.7%48.0%38.4%34.1%
Bid-Ask Spread %77.2967.0085.3081.3480.84
Gamma HHI0.280.210.380.220.23
Net GEX2.3M-334.7K6.1M-334.7K6.1M
Net DEX-21.5M-47.8M3.0M2.4M-43.3M
Net VEX-84.3K-113.6K-34.3K-34.3K-71.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.760.0185.3310.001.10
Total Volume262.86461,1211144
Total OI3,1651,0254,2761,0253,760

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$368.21$370.0034.8%9.4%26.5%29.1%0.0%5.5%0.2%-334.7K2.4M-34.3K10.0081.34110330695
2023-10-03$365.01$370.0039.6%9.6%25.9%40.8%35.7%7.3%-1.5%-323.5K3.0M-35.0K0.0379.151,02527331705
2023-10-04$373.05$370.0038.5%9.4%27.1%38.0%29.3%6.2%-0.8%1.0M-14.5M-74.9K0.6784.35641,347704
2023-10-05$374.05$370.0034.8%9.9%25.9%29.2%34.7%4.5%-0.3%1.1M-14.2M-74.0K0.0173.471,00271,352708
2023-10-06$374.37$370.0034.9%9.7%25.6%29.4%33.4%0.4%-1.7%2.4M-31.5M-113.6K2.6776.229242,354707
2023-10-09$378.45$370.0035.9%9.7%25.8%31.8%0.0%4.1%0.2%2.6M-35.9M-108.3K2.7077.0010272,356690
2023-10-10$383.68$370.0033.9%10.3%25.0%26.8%35.5%4.9%4.3%2.8M-40.7M-108.6K20.2573.994812,363702
2023-10-11$390.95$370.0035.5%9.8%25.6%30.7%0.0%8.4%-1.5%3.1M-47.8M-106.8K85.3374.7732562,365784
2023-10-12$383.45$370.0035.8%10.2%26.7%31.5%0.0%7.2%-1.9%2.6M-37.9M-110.5K0.7476.9023172,3671,022
2023-10-13$369.02$370.0037.9%10.3%29.3%36.6%0.0%8.9%-2.3%1.7M-21.7M-106.8K13.3380.003402,3831,031
2023-10-16$377.28$370.0033.8%9.4%30.2%26.5%36.3%2.6%2.5%2.2M-30.3M-101.4K2.0076.56242,3681,015
2023-10-17$378.63$370.0034.3%9.7%30.3%28.0%0.0%3.2%0.2%2.1M-32.3M-98.2K0.3179.9448152,3681,018
2023-10-18$362.49$370.0040.6%11.6%33.9%43.2%38.3%6.0%-1.0%1.3M-12.8M-92.6K0.0985.30224212,3851,032
2023-10-19$354.58$370.0043.5%12.8%34.5%50.3%42.7%7.6%-8.9%1.3M-6.7M-86.7K1.2075.423153772,6111,023
2023-10-20$347.49$370.0043.2%12.8%34.0%49.4%39.4%7.5%-4.4%1.8M-6.8M-79.7K4.0681.3616652,922860
2023-10-23$351.29$370.0040.0%11.6%34.2%41.8%46.0%2.7%-3.1%2.2M-12.1M-76.9K0.1267.00190232,715776
2023-10-24$345.59$370.0042.8%12.0%32.4%48.6%37.1%5.7%-5.5%1.8M-7.1M-71.2K0.3069.8140122,879797
2023-10-25$338.35$370.0044.2%13.4%31.6%51.9%0.0%8.5%-3.9%1.3M-3.1M-66.3K0.0479.74383142,914804
2023-10-26$356.36$370.0038.7%11.6%36.8%38.5%38.9%4.0%3.0%3.6M-22.1M-78.7K0.0875.041,042793,269815
2023-10-27$358.85$360.0037.7%11.1%36.8%36.2%38.8%3.3%0.6%4.3M-27.9M-81.8K2.8275.58661863,404872
2023-10-30$363.67$357.5033.4%10.1%36.6%25.7%40.6%6.4%2.0%4.8M-30.6M-76.9K0.8176.5121173,011716
2023-10-31$371.05$357.5034.2%9.5%37.2%27.6%0.0%3.0%-3.6%6.1M-43.3M-71.0K1.1080.8421233,029731