LII Options History — December 2023

In December 2023, LII traded between $413.21 and $448.41. ATM implied volatility averaged 27.6%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 4.0% (HV 20d: 23.6%). Max pain ranged from $380.00 to $420.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.60.

Notable Days

2023-12-13: Highest Volume — 1,580 contracts
2023-12-13: Largest IV spike — 21.2% change
2023-12-21: Highest IV Rank — 22.3%
2023-12-21: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$433.50	$413.21	$448.41	$416.99	$448.03
Max Pain	$407.00	$380.00	$420.00	$380.00	$410.00
ATM IV	27.6%	22.6%	30.9%	24.7%	29.3%
Expected Move	8.0%	7.2%	8.9%	7.2%	7.9%
HV 20d	23.6%	21.1%	25.3%	23.6%	21.7%
HV 60d	29.4%	28.0%	30.6%	29.5%	28.0%
IV Rank	14.4%	2.7%	22.3%	7.6%	18.6%
IV Percentile	36.7%	1.6%	67.1%	9.5%	51.2%
Term Structure	1.1%	-4.0%	5.8%	-0.4%	5.8%
VWIV	28.2%	23.5%	35.4%	25.6%	27.4%
Skew 25d	3.3%	0.4%	7.0%	3.6%	1.8%
Skew 10d	7.5%	-4.2%	18.9%	12.2%	4.4%
Call IV 25d	24.8%	20.2%	30.3%	20.9%	25.1%
Put IV 25d	28.2%	21.8%	34.8%	24.6%	26.9%
Bid-Ask Spread %	86.07	77.92	103.17	103.17	86.84
Gamma HHI	0.28	0.18	0.35	0.31	0.28
Net GEX	1.5M	904.5K	2.3M	2.3M	1.6M
Net DEX	-39.9M	-67.2M	-22.3M	-27.7M	-49.3M
Net VEX	-139.4K	-202.6K	-68.3K	-68.3K	-185.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.01	15.07	0.09	1.95
Total Volume	204.6	24	1,580	564	59
Total OI	3,133.7	2,864	4,728	2,926	2,947

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
2023-12-01	$416.99	$380.00	24.7%	7.2%	23.6%	7.6%	25.6%	3.6%	-0.4%	2.3M	-27.7M	-68.3K	0.09	103.17	518	46	1,052	1,874
2023-12-04	$420.02	$400.00	25.0%	7.4%	23.5%	8.5%	27.8%	1.9%	1.0%	1.6M	-26.6M	-70.7K	0.44	94.21	27	12	1,066	1,843
2023-12-05	$413.21	$400.00	26.2%	7.6%	24.3%	11.1%	23.5%	3.5%	-0.4%	2.0M	-22.3M	-73.4K	0.01	95.05	535	5	1,086	1,851
2023-12-06	$418.52	$400.00	26.4%	7.4%	23.6%	11.8%	25.3%	6.3%	1.1%	1.5M	-25.8M	-78.2K	0.28	91.97	25	7	1,117	1,856
2023-12-07	$418.24	$400.00	25.9%	7.4%	23.7%	10.6%	0.0%	1.9%	1.2%	2.1M	-26.8M	-76.0K	0.10	88.02	39	4	1,136	1,863
2023-12-08	$420.62	$400.00	23.2%	7.3%	22.3%	4.2%	24.2%	1.6%	5.8%	1.7M	-29.6M	-72.9K	1.74	91.31	19	33	1,169	1,866
2023-12-11	$427.54	$400.00	24.6%	7.3%	21.6%	7.6%	23.8%	2.3%	-0.7%	1.5M	-32.7M	-68.4K	0.17	93.49	193	33	1,154	1,828
2023-12-12	$433.91	$400.00	22.6%	7.6%	21.7%	2.7%	30.5%	3.7%	4.4%	904.5K	-37.9M	-75.8K	15.07	81.14	14	211	1,243	1,852
2023-12-13	$424.53	$410.00	27.4%	7.7%	21.1%	14.0%	27.1%	3.6%	-0.8%	1.2M	-29.5M	-92.2K	0.23	85.42	1,288	292	1,251	2,057
2023-12-14	$442.53	$410.00	26.9%	8.2%	24.8%	12.8%	0.0%	0.9%	1.9%	1.1M	-63.3M	-164.9K	0.02	77.92	289	7	2,157	2,285
2023-12-15	$439.50	$410.00	30.4%	8.6%	25.1%	21.1%	30.3%	6.4%	-0.6%	1.4M	-67.2M	-199.1K	0.52	78.75	61	32	2,437	2,291
2023-12-18	$438.19	$420.00	28.5%	8.1%	25.1%	16.6%	30.0%	7.0%	1.2%	1.3M	-41.8M	-198.0K	2.00	81.33	9	18	1,877	987
2023-12-19	$440.07	$420.00	30.3%	8.7%	25.1%	21.0%	30.2%	4.2%	-1.8%	1.4M	-42.8M	-196.6K	0.28	78.97	32	9	1,882	1,002
2023-12-20	$438.45	$420.00	30.0%	8.6%	25.2%	20.2%	35.4%	4.8%	-4.0%	1.3M	-41.0M	-197.9K	1.40	84.91	20	28	1,887	1,010
2023-12-21	$442.41	$420.00	30.9%	8.9%	25.3%	22.3%	27.4%	5.6%	0.6%	1.2M	-42.7M	-198.0K	0.02	79.49	92	2	1,881	1,028
2023-12-22	$444.23	$410.00	29.0%	8.2%	25.2%	17.8%	28.3%	0.4%	1.2%	1.4M	-46.3M	-202.6K	2.31	84.33	16	37	1,963	1,031
2023-12-26	$446.77	$410.00	30.6%	8.8%	24.9%	21.5%	30.6%	0.8%	2.8%	1.4M	-47.8M	-193.2K	3.80	83.50	5	19	1,947	1,000
2023-12-27	$448.41	$410.00	29.4%	8.1%	21.6%	18.6%	34.7%	2.3%	2.0%	1.5M	-49.4M	-190.5K	0.87	81.61	15	13	1,950	1,021
2023-12-28	$447.81	$410.00	30.1%	8.2%	21.7%	20.4%	25.5%	4.1%	0.9%	1.5M	-48.4M	-186.3K	0.65	80.02	17	11	1,905	1,022
2023-12-29	$448.03	$410.00	29.3%	7.9%	21.7%	18.6%	27.4%	1.8%	5.8%	1.6M	-49.3M	-185.0K	1.95	86.84	20	39	1,914	1,033