LII Options History — March 2024

In March 2024, LII traded between $463.77 and $500.69. ATM implied volatility averaged 27.9%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.9% (HV 20d: 23.0%). Max pain ranged from $410.00 to $450.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.41.

Notable Days

2024-03-22: Highest Volume — 1,055 contracts
2024-03-15: Largest IV spike — 10.3% change
2024-03-26: Highest IV Rank — 40.2%
2024-03-11: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$479.37	$463.77	$500.69	$472.57	$489.02
Max Pain	$428.50	$410.00	$450.00	$430.00	$450.00
ATM IV	27.9%	25.3%	30.6%	27.6%	29.8%
Expected Move	7.6%	6.5%	8.5%	8.2%	6.5%
HV 20d	23.0%	18.4%	27.9%	27.9%	21.3%
HV 60d	27.0%	26.2%	27.8%	27.2%	27.0%
IV Rank	22.1%	11.6%	40.2%	14.4%	36.7%
IV Percentile	43.3%	15.1%	74.2%	38.9%	67.9%
Term Structure	1.1%	-1.7%	4.6%	-1.1%	0.3%
VWIV	27.3%	22.8%	31.3%	28.3%	22.8%
Skew 25d	3.4%	0.4%	5.8%	2.7%	1.7%
Skew 10d	4.5%	0.9%	9.0%	3.6%	0.9%
Call IV 25d	25.8%	21.7%	30.7%	25.3%	29.7%
Put IV 25d	29.2%	24.2%	33.1%	28.0%	31.4%
Bid-Ask Spread %	91.62	84.85	100.94	100.94	95.15
Gamma HHI	0.19	0.15	0.24	0.24	0.17
Net GEX	3.4M	2.9M	4.3M	3.2M	3.3M
Net DEX	-72.0M	-96.9M	-42.1M	-89.1M	-53.7M
Net VEX	-172.7K	-191.6K	-155.9K	-170.0K	-170.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.02	8.10	0.06	0.71
Total Volume	160.5	2	1,055	448	12
Total OI	3,677.25	2,651	4,561	4,144	2,903

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
2024-03-01	$472.57	$430.00	27.6%	8.2%	27.9%	14.4%	28.3%	2.7%	-1.1%	3.2M	-89.1M	-170.0K	0.06	100.94	422	26	2,792	1,352
2024-03-04	$478.97	$410.00	27.0%	7.6%	26.6%	13.1%	29.2%	3.2%	1.7%	3.0M	-91.4M	-171.6K	8.10	88.57	10	81	2,798	1,309
2024-03-05	$471.26	$410.00	29.4%	8.0%	27.7%	18.7%	27.7%	4.3%	-0.3%	3.3M	-82.6M	-180.0K	0.02	90.56	512	8	2,809	1,385
2024-03-06	$475.22	$410.00	28.0%	7.8%	27.8%	15.3%	0.0%	2.4%	0.3%	3.8M	-90.4M	-191.6K	0.35	89.47	20	7	3,070	1,386
2024-03-07	$482.64	$410.00	27.8%	8.0%	26.3%	15.1%	31.3%	5.4%	2.1%	3.6M	-96.9M	-188.9K	0.33	90.07	27	9	3,088	1,392
2024-03-08	$472.76	$410.00	27.9%	7.7%	27.0%	15.2%	27.8%	1.5%	0.8%	3.8M	-89.3M	-183.1K	0.22	91.61	27	6	3,091	1,398
2024-03-11	$463.77	$410.00	29.8%	8.5%	27.5%	19.7%	29.8%	3.4%	0.1%	4.3M	-76.8M	-181.0K	0.29	87.21	41	12	3,098	1,390
2024-03-12	$470.23	$410.00	27.9%	7.8%	27.2%	15.3%	0.0%	4.0%	-0.3%	4.1M	-84.7M	-177.7K	0.65	90.28	37	24	3,113	1,401
2024-03-13	$471.65	$410.00	27.4%	8.1%	21.9%	14.0%	0.0%	5.1%	1.8%	3.8M	-91.2M	-175.4K	0.00	88.93	0	2	3,124	1,412
2024-03-14	$467.21	$410.00	25.6%	7.2%	18.4%	11.6%	0.0%	4.8%	-0.5%	4.1M	-85.8M	-170.1K	2.00	95.13	9	18	3,124	1,414
2024-03-15	$472.66	$410.00	28.2%	7.8%	18.6%	29.8%	27.0%	4.8%	-1.7%	2.9M	-92.8M	-170.6K	1.50	92.00	8	12	3,129	1,432
2024-03-18	$474.75	$440.00	28.0%	8.1%	18.4%	28.8%	29.0%	0.4%	3.1%	3.0M	-42.1M	-164.7K	4.50	87.77	8	36	1,955	696
2024-03-19	$481.17	$450.00	27.5%	7.9%	18.6%	26.6%	0.0%	5.4%	2.6%	3.0M	-46.1M	-165.7K	1.17	84.85	6	7	1,958	726
2024-03-20	$487.29	$450.00	25.3%	7.3%	18.8%	17.2%	25.4%	5.8%	3.5%	3.1M	-52.5M	-156.3K	0.03	89.62	517	13	1,962	728
2024-03-21	$500.69	$450.00	26.0%	7.3%	20.0%	20.2%	23.2%	3.6%	3.4%	3.0M	-60.5M	-158.7K	3.82	94.23	11	42	1,995	738
2024-03-22	$492.50	$450.00	26.3%	7.1%	21.2%	21.4%	26.3%	0.4%	4.6%	3.0M	-56.2M	-155.9K	0.03	93.80	1,026	29	2,000	747
2024-03-25	$490.71	$450.00	28.4%	6.9%	21.4%	30.7%	0.0%	4.0%	0.8%	3.2M	-55.5M	-177.5K	0.14	94.64	115	16	2,181	707
2024-03-26	$486.21	$450.00	30.6%	7.2%	21.5%	40.2%	0.0%	1.9%	-1.6%	3.0M	-52.0M	-173.2K	0.48	91.23	25	12	2,133	724
2024-03-27	$486.22	$450.00	29.9%	6.5%	21.4%	37.1%	0.0%	2.4%	2.1%	3.3M	-50.9M	-172.1K	2.40	96.31	5	12	2,149	736
2024-03-28	$489.02	$450.00	29.8%	6.5%	21.3%	36.7%	22.8%	1.7%	0.3%	3.3M	-53.7M	-170.4K	0.71	95.15	7	5	2,155	748