LII Options History — February 2024

In February 2024, LII traded between $418.13 and $472.79. ATM implied volatility averaged 28.1%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 5.7% (HV 20d: 33.8%). Max pain ranged from $380.00 to $430.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 7.89.

Notable Days

2024-02-02: Highest Volume — 509 contracts
2024-02-13: Largest IV spike — 11.9% change
2024-02-05: Highest IV Rank — 19.1%
2024-02-29: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$447.53	$418.13	$472.79	$426.06	$470.56
Max Pain	$412.50	$380.00	$430.00	$380.00	$430.00
ATM IV	28.1%	25.9%	29.5%	28.4%	28.7%
Expected Move	7.9%	7.2%	9.1%	7.3%	9.1%
HV 20d	33.8%	28.4%	38.8%	30.5%	28.4%
HV 60d	27.1%	25.7%	28.3%	25.7%	27.2%
IV Rank	15.7%	10.5%	19.1%	16.5%	17.2%
IV Percentile	40.6%	19.8%	56.0%	41.7%	47.6%
Term Structure	-0.0%	-2.4%	2.5%	0.1%	-1.3%
VWIV	29.9%	26.4%	37.6%	27.4%	28.0%
Skew 25d	1.9%	-2.7%	6.4%	-0.9%	3.4%
Skew 10d	3.4%	-1.5%	10.3%	10.3%	5.9%
Call IV 25d	26.9%	24.3%	29.6%	29.1%	25.1%
Put IV 25d	28.7%	23.8%	32.5%	28.2%	28.5%
Bid-Ask Spread %	93.37	85.86	101.22	85.86	101.22
Gamma HHI	0.32	0.16	0.44	0.19	0.22
Net GEX	2.4M	-274.0K	3.4M	-274.0K	3.4M
Net DEX	-48.1M	-84.9M	-6.4M	-17.4M	-80.9M
Net VEX	-179.7K	-196.7K	-144.9K	-196.7K	-187.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.89	0.00	70.50	1.09	0.67
Total Volume	113.65	5	509	96	25
Total OI	3,624.25	3,399	4,136	4,079	4,136

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
2024-02-01	$426.06	$380.00	28.4%	7.3%	30.5%	16.5%	27.4%	-0.9%	0.1%	-274.0K	-17.4M	-196.7K	1.09	85.86	46	50	2,348	1,731
2024-02-02	$418.13	$380.00	27.3%	7.6%	31.2%	13.7%	37.6%	-0.9%	-0.2%	284.3K	-6.4M	-192.5K	13.14	90.83	36	473	2,380	1,752
2024-02-05	$422.79	$380.00	29.5%	7.8%	31.5%	19.1%	27.2%	1.1%	-2.4%	1.7M	-23.5M	-189.5K	1.12	88.13	25	28	2,229	1,170
2024-02-06	$424.83	$380.00	28.9%	7.7%	31.4%	17.6%	33.5%	4.2%	-0.3%	1.8M	-25.1M	-188.1K	3.00	88.14	5	15	2,249	1,158
2024-02-07	$438.50	$380.00	28.5%	7.6%	32.9%	16.7%	27.8%	1.4%	-2.3%	2.5M	-42.1M	-188.8K	0.43	89.93	21	9	2,254	1,168
2024-02-08	$447.76	$380.00	28.8%	8.3%	33.7%	17.3%	29.1%	-2.7%	1.6%	2.6M	-50.6M	-185.1K	2.24	91.61	21	47	2,272	1,172
2024-02-09	$455.65	$380.00	26.9%	7.7%	34.2%	12.8%	29.8%	5.9%	0.1%	2.8M	-57.6M	-180.4K	70.50	94.18	6	423	2,271	1,211
2024-02-12	$448.82	$430.00	25.9%	7.3%	33.0%	10.5%	26.5%	2.8%	2.5%	2.7M	-47.9M	-188.6K	4.67	96.63	6	28	2,236	1,311
2024-02-13	$430.90	$430.00	29.0%	8.2%	36.3%	17.8%	29.4%	2.0%	1.3%	1.7M	-27.7M	-188.7K	0.05	93.54	22	1	2,238	1,327
2024-02-14	$447.82	$430.00	29.1%	8.4%	38.8%	18.2%	28.6%	1.6%	0.6%	2.4M	-47.0M	-186.3K	0.50	92.85	18	9	2,250	1,326
2024-02-15	$451.01	$430.00	27.4%	7.8%	38.6%	14.0%	0.0%	1.8%	0.1%	2.7M	-50.9M	-181.6K	2.00	93.29	5	10	2,243	1,336
2024-02-16	$448.41	$430.00	28.6%	8.2%	38.6%	16.8%	27.5%	-0.4%	1.0%	2.8M	-49.8M	-178.9K	0.32	93.92	41	13	2,248	1,345
2024-02-20	$446.63	$430.00	28.5%	8.2%	36.5%	16.7%	28.6%	2.1%	0.3%	3.0M	-47.2M	-172.1K	1.00	89.92	31	31	2,243	1,177
2024-02-21	$448.96	$430.00	28.3%	7.8%	34.8%	16.2%	26.4%	2.0%	1.5%	3.1M	-48.6M	-171.4K	0.00	90.95	5	0	2,244	1,206
2024-02-22	$456.88	$430.00	28.3%	7.2%	33.8%	16.2%	36.5%	6.4%	-1.2%	3.0M	-57.6M	-165.2K	4.48	91.96	25	112	2,248	1,206
2024-02-23	$461.61	$430.00	26.8%	7.5%	33.6%	12.5%	28.8%	2.2%	0.1%	3.2M	-63.2M	-164.9K	1.14	97.77	7	8	2,273	1,306
2024-02-26	$463.44	$430.00	27.5%	7.4%	33.5%	14.3%	0.0%	2.0%	0.3%	3.1M	-63.7M	-160.8K	1.00	99.59	18	18	2,257	1,277
2024-02-27	$469.10	$430.00	27.0%	8.1%	32.9%	13.0%	32.0%	1.6%	-0.4%	2.8M	-70.4M	-144.9K	50.50	99.22	8	404	2,273	1,285
2024-02-28	$472.79	$430.00	28.5%	8.8%	31.9%	16.7%	33.9%	1.6%	-1.7%	3.2M	-84.9M	-182.3K	0.02	97.92	218	5	2,778	1,351
2024-02-29	$470.56	$430.00	28.7%	9.1%	28.4%	17.2%	28.0%	3.4%	-1.3%	3.4M	-80.9M	-187.3K	0.67	101.22	15	10	2,784	1,352