LII Options History — January 2024

In January 2024, LII traded between $429.52 and $457.61. ATM implied volatility averaged 32.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 9.6% (HV 20d: 22.9%). Max pain ranged from $410.00 to $440.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.86.

Notable Days

  • 2024-01-12: Highest Volume — 1,633 contracts
  • 2024-01-31: Largest IV drop — 20.0% change
  • 2024-01-08: Highest IV Rank — 36.4%
  • 2024-01-30: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$438.07$429.52$457.61$439.35$430.31
Max Pain$437.86$410.00$440.00$410.00$440.00
ATM IV32.5%25.9%36.9%33.0%25.9%
Expected Move9.4%7.9%10.5%8.5%7.9%
HV 20d22.9%16.8%31.0%22.1%31.0%
HV 60d26.2%24.4%28.7%28.4%25.7%
IV Rank26.0%10.4%36.4%27.1%10.4%
IV Percentile75.2%19.0%94.0%79.0%19.0%
Term Structure-0.4%-2.2%4.0%1.0%0.2%
VWIV33.5%26.7%37.2%31.5%29.0%
Skew 25d3.7%1.6%7.1%6.2%2.2%
Skew 10d9.9%2.4%19.4%7.1%3.1%
Call IV 25d31.0%23.7%32.9%29.1%23.7%
Put IV 25d34.6%25.8%38.1%35.3%25.8%
Bid-Ask Spread %85.2278.0696.6592.1996.65
Gamma HHI0.220.180.340.320.20
Net GEX1.4M213.1K2.8M1.4M337.6K
Net DEX-39.5M-60.7M-27.3M-43.9M-27.3M
Net VEX-214.1K-249.8K-183.4K-183.4K-204.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.0111.571.682.06
Total Volume280.90561,6331,344159
Total OI3,455.6192,8094,1772,9054,011

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$439.35$410.0033.0%8.5%22.1%27.1%31.5%6.2%1.0%1.4M-43.9M-183.4K1.6892.195018431,8981,007
2024-01-03$431.43$425.0035.1%8.2%23.2%32.2%26.7%2.9%-1.5%495.8K-31.1M-228.8K2.3385.336141,9811,425
2024-01-04$432.95$440.0034.8%9.5%22.3%31.5%0.0%7.1%-2.0%452.8K-33.8M-225.3K2.0078.067141,9851,430
2024-01-05$431.09$440.0034.6%9.8%22.0%31.0%0.0%2.0%3.7%321.5K-30.3M-225.8K0.6983.441391,9941,445
2024-01-08$433.75$440.0036.9%9.8%22.1%36.4%0.0%3.9%-2.2%538.6K-34.8M-215.1K11.5780.417811,9641,413
2024-01-09$441.48$440.0034.1%9.4%22.7%29.7%0.0%4.2%-0.7%963.5K-41.3M-215.0K1.1878.9028331,9681,494
2024-01-10$442.91$440.0031.5%9.6%22.1%23.8%36.4%3.5%4.0%1.0M-42.2M-215.6K2.0081.27361,9961,503
2024-01-11$441.70$440.0033.9%9.5%21.6%29.2%0.0%3.9%-0.0%1.0M-41.4M-213.7K5.3386.813161,9971,503
2024-01-12$429.52$440.0032.5%9.1%22.6%26.0%0.0%3.9%-1.2%213.1K-28.3M-217.5K0.0186.491,617161,9981,519
2024-01-16$432.25$440.0031.7%9.0%16.8%24.1%32.4%3.6%0.1%1.4M-44.4M-249.8K0.1087.875252,6771,500
2024-01-17$433.40$440.0032.4%9.3%16.8%25.9%30.1%3.8%-0.1%1.8M-41.6M-229.1K0.7190.59752,4411,504
2024-01-18$439.81$440.0032.0%9.2%17.6%24.8%0.0%3.5%-1.5%2.8M-48.4M-230.2K0.2088.13512,4441,501
2024-01-19$441.99$440.0031.8%9.2%17.6%24.4%35.3%5.3%-0.6%2.6M-52.4M-227.4K0.6587.3626172,4481,502
2024-01-22$457.61$440.0031.2%9.5%21.4%22.9%35.6%3.5%-1.1%2.6M-60.7M-214.6K0.1083.736872,327861
2024-01-23$443.69$440.0031.5%9.8%24.2%23.7%33.6%2.9%-1.6%2.6M-48.8M-219.8K0.0285.021,154252,371872
2024-01-24$432.14$440.0031.8%9.5%25.9%24.5%35.8%2.8%-1.1%1.8M-30.1M-190.4K4.2684.38502131,913896
2024-01-25$439.09$440.0032.0%9.5%26.5%24.9%0.0%3.2%-1.4%1.5M-32.4M-196.6K0.6384.0524151,9551,107
2024-01-26$442.91$440.0031.3%9.7%26.7%23.3%35.2%4.4%-1.2%1.6M-38.1M-195.2K1.3583.711301761,9681,121
2024-01-29$435.54$440.0032.1%10.4%27.3%25.1%36.9%1.6%-0.2%1.5M-32.2M-191.8K0.1882.48329592,0211,137
2024-01-30$446.58$440.0032.3%10.5%28.8%25.6%37.2%2.9%-0.8%2.1M-46.3M-205.7K1.9282.80531022,3011,170
2024-01-31$430.31$440.0025.9%7.9%31.0%10.4%29.0%2.2%0.2%337.6K-27.3M-204.4K2.0696.65521072,3541,657