LII Options History — November 2023

In November 2023, LII traded between $382.25 and $416.65. ATM implied volatility averaged 25.8%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 5.9% (HV 20d: 31.7%). Max pain ranged from $350.00 to $380.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 41.78.

Notable Days

  • 2023-11-03: Highest Volume — 1,566 contracts
  • 2023-11-30: Largest IV spike — 18.4% change
  • 2023-11-03: Highest IV Rank — 19.4%
  • 2023-11-06: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$399.62$382.25$416.65$382.31$407.13
Max Pain$367.50$350.00$380.00$357.50$380.00
ATM IV25.8%21.4%30.8%28.1%25.6%
Expected Move7.6%5.8%9.0%8.9%8.3%
HV 20d31.7%20.9%38.5%37.9%22.5%
HV 60d30.0%29.1%31.0%30.5%29.5%
IV Rank8.6%0.0%19.4%12.7%9.8%
IV Percentile19.0%0.0%56.0%29.8%15.5%
Term Structure0.6%-3.4%6.0%3.3%0.6%
VWIV27.3%19.0%35.9%32.8%28.6%
Skew 25d3.0%-1.5%7.3%7.3%4.9%
Skew 10d8.6%2.4%16.1%13.1%9.2%
Call IV 25d24.6%19.5%29.9%27.1%22.3%
Put IV 25d27.5%19.4%34.4%34.4%27.2%
Bid-Ask Spread %91.8878.26102.5878.26101.32
Gamma HHI0.280.190.420.270.28
Net GEX1.5M-558.2K4.8M4.8M1.3M
Net DEX-23.5M-65.5M-8.1M-63.7M-19.0M
Net VEX-57.1K-75.6K-42.4K-64.9K-75.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio41.780.02825.000.2121.80
Total Volume201.714131,56686114
Total OI2,460.8571,4103,7973,7972,821

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$382.31$357.5028.1%8.9%37.9%12.7%32.8%7.3%3.3%4.8M-63.7M-64.9K0.2178.2671153,046751
2023-11-02$382.25$350.0030.5%9.0%37.9%18.6%31.9%3.8%-0.6%4.1M-60.7M-60.5K0.1887.791733,023764
2023-11-03$386.89$350.0030.8%8.6%38.1%19.4%30.2%0.9%0.0%2.6M-65.5M-54.6K0.0289.961,537293,026767
2023-11-06$384.17$350.0026.6%9.0%38.0%9.1%31.4%7.0%6.0%1.9M-15.8M-54.3K3.5484.2824851,120761
2023-11-07$392.44$350.0027.5%8.7%38.5%11.2%32.4%5.3%0.6%2.3M-22.4M-58.1K0.1287.43114141,160844
2023-11-08$394.29$350.0027.5%8.1%37.9%11.2%25.8%1.3%1.4%3.0M-24.2M-57.3K1.8687.087131,178856
2023-11-09$387.00$350.0029.4%7.9%37.9%15.9%0.0%4.5%-1.6%2.2M-17.1M-55.4K0.0290.51504101,182864
2023-11-10$395.97$350.0028.8%8.1%35.8%14.5%35.9%2.2%1.3%1.3M-16.6M-42.4K1.0089.322121785867
2023-11-13$393.60$350.0027.6%7.9%35.2%11.7%29.2%-1.3%1.5%500.7K-10.9M-42.4K825.0091.611825567843
2023-11-14$406.56$380.0024.2%7.0%36.8%3.3%26.4%2.1%1.0%-154.3K-11.6M-54.6K0.8986.8746415681,663
2023-11-15$402.86$380.0026.9%7.7%32.8%10.0%25.3%2.0%-3.4%-35.1K-10.4M-54.2K0.1792.372445631,688
2023-11-16$405.97$380.0027.4%7.9%31.1%11.1%0.0%4.4%-2.9%-258.5K-11.9M-55.2K0.1491.3469105721,683
2023-11-17$404.96$380.0023.8%6.7%29.7%2.2%0.0%3.6%2.4%-558.2K-11.8M-58.2K0.3693.0856206151,689
2023-11-20$407.53$380.0021.4%6.3%29.7%0.0%19.9%4.2%2.1%-115.2K-8.1M-50.9K0.4890.5225124851,622
2023-11-21$410.56$380.0024.0%6.9%28.3%6.1%27.3%5.1%1.2%-71.3K-9.5M-47.3K0.2491.3963154861,631
2023-11-22$412.66$380.0023.0%6.3%26.1%3.7%25.0%-1.5%0.8%1.4M-24.6M-65.4K0.9596.4320191,0261,640
2023-11-24$416.65$380.0022.4%6.4%20.9%2.2%0.0%1.9%-2.3%1.3M-27.1M-64.0K0.6396.36851,0451,646
2023-11-27$413.61$380.0021.9%5.8%21.6%1.1%19.0%1.9%0.6%1.9M-26.4M-58.4K0.0599.10255121,0351,558
2023-11-28$401.70$380.0023.8%7.1%25.0%5.5%22.9%4.0%0.1%1.5M-16.9M-64.6K1.50101.9712181,0391,572
2023-11-29$402.90$380.0021.6%6.4%24.3%0.5%20.2%-0.9%1.5%1.7M-18.8M-60.2K18.25102.584731,0491,578
2023-11-30$407.13$380.0025.6%8.3%22.5%9.8%28.6%4.9%0.6%1.3M-19.0M-75.6K21.80101.3251091,0491,772