LII Options History — June 2024

In June 2024, LII traded between $486.31 and $548.76. ATM implied volatility averaged 26.9%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 1.3% (HV 20d: 28.2%). Max pain ranged from $440.00 to $510.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.44.

Notable Days

2024-06-12: Highest Volume — 1,048 contracts
2024-06-24: Largest IV spike — 10.7% change
2024-06-28: Highest IV Rank — 42.0%
2024-06-04: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$523.96	$486.31	$548.76	$493.19	$534.77
Max Pain	$498.95	$440.00	$510.00	$440.00	$510.00
ATM IV	26.9%	24.4%	31.0%	26.2%	31.0%
Expected Move	7.4%	6.9%	8.0%	7.8%	7.5%
HV 20d	28.2%	22.1%	31.4%	22.5%	30.2%
HV 60d	25.9%	23.8%	27.2%	24.0%	27.2%
IV Rank	24.1%	12.9%	42.0%	21.0%	42.0%
IV Percentile	37.2%	11.9%	75.4%	29.8%	75.4%
Term Structure	1.0%	-0.5%	6.0%	-0.4%	-0.4%
VWIV	26.7%	23.8%	32.1%	26.9%	25.2%
Skew 25d	2.4%	-1.5%	5.1%	4.4%	1.5%
Skew 10d	2.8%	-3.5%	9.8%	1.1%	0.5%
Call IV 25d	25.0%	21.8%	30.4%	22.5%	30.2%
Put IV 25d	27.4%	24.3%	32.0%	26.9%	31.7%
Bid-Ask Spread %	91.10	83.47	95.86	91.38	92.38
Gamma HHI	0.48	0.32	0.56	0.38	0.55
Net GEX	2.3M	1.9M	3.5M	2.6M	2.1M
Net DEX	-42.5M	-63.4M	-23.5M	-33.0M	-25.6M
Net VEX	-79.6K	-91.3K	-59.8K	-91.3K	-75.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.00	16.00	0.00	0.04
Total Volume	77.789	1	1,048	4	71
Total OI	2,223.316	1,466	2,541	2,414	1,529

Daily Data (19 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
2024-06-03	$493.19	$440.00	26.2%	7.8%	22.5%	21.0%	26.9%	4.4%	-0.4%	2.6M	-33.0M	-91.3K	0.00	91.38	4	0	1,574	840
2024-06-04	$486.31	$440.00	26.4%	8.0%	22.1%	21.7%	32.1%	3.9%	0.1%	2.4M	-29.3M	-89.5K	0.00	89.84	22	0	1,575	840
2024-06-05	$499.62	$440.00	25.4%	7.4%	23.9%	17.7%	26.5%	2.3%	0.8%	2.9M	-38.6M	-86.5K	1.14	88.70	14	16	1,590	838
2024-06-06	$488.36	$510.00	25.9%	7.1%	25.3%	19.6%	0.0%	4.0%	-0.4%	2.7M	-30.9M	-86.2K	0.00	83.47	3	0	1,592	854
2024-06-07	$497.59	$510.00	25.5%	7.3%	25.3%	17.9%	0.0%	3.2%	-0.5%	3.0M	-36.1M	-85.0K	0.16	90.43	19	3	1,593	854
2024-06-10	$506.37	$510.00	25.6%	7.4%	25.8%	18.1%	27.4%	3.3%	0.2%	3.1M	-42.0M	-79.8K	16.00	86.90	1	16	1,602	852
2024-06-11	$503.08	$510.00	25.1%	7.2%	25.3%	16.3%	0.0%	5.1%	1.4%	3.5M	-40.1M	-77.7K	0.00	92.70	0	1	1,602	868
2024-06-12	$530.82	$510.00	25.2%	7.4%	31.1%	16.4%	26.6%	1.2%	0.5%	1.9M	-63.4M	-59.8K	0.01	90.90	1,042	6	1,602	869
2024-06-13	$539.34	$510.00	25.0%	7.2%	31.2%	15.7%	25.8%	2.7%	0.2%	1.9M	-58.8M	-83.0K	0.19	90.94	31	6	1,654	873
2024-06-14	$535.34	$510.00	25.2%	7.2%	30.2%	16.6%	27.6%	4.1%	-0.3%	1.9M	-56.4M	-83.6K	0.00	90.62	48	0	1,666	875
2024-06-17	$541.34	$510.00	26.9%	7.7%	29.9%	24.2%	0.0%	-0.8%	3.0%	1.9M	-59.3M	-80.6K	0.05	92.35	20	1	1,657	864
2024-06-18	$548.76	$510.00	24.4%	6.9%	30.0%	12.9%	0.0%	-1.5%	6.0%	1.9M	-63.2M	-77.3K	0.00	93.00	8	0	1,659	865
2024-06-20	$546.81	$510.00	26.7%	7.4%	30.1%	23.0%	0.0%	0.7%	4.3%	1.9M	-61.9M	-78.1K	2.00	95.46	2	4	1,664	865
2024-06-21	$541.79	$510.00	26.6%	7.3%	30.5%	22.7%	23.8%	1.8%	4.0%	2.0M	-58.6M	-77.2K	5.40	95.86	10	54	1,664	869
2024-06-24	$548.38	$510.00	29.4%	7.8%	30.2%	35.2%	26.7%	4.0%	0.1%	1.9M	-31.1M	-72.2K	0.75	94.62	8	6	1,025	441
2024-06-25	$537.06	$510.00	29.5%	7.4%	31.2%	35.4%	25.4%	3.4%	-0.1%	2.0M	-25.5M	-76.2K	0.25	88.08	40	10	1,033	447
2024-06-26	$532.91	$510.00	30.7%	7.0%	31.4%	40.6%	0.0%	2.2%	0.3%	2.0M	-23.5M	-77.6K	0.00	88.31	11	0	1,067	454
2024-06-27	$543.45	$510.00	30.9%	7.1%	29.5%	41.5%	0.0%	0.7%	0.1%	2.2M	-30.0M	-74.0K	0.00	95.04	1	0	1,073	454
2024-06-28	$534.77	$510.00	31.0%	7.5%	30.2%	42.0%	25.2%	1.5%	-0.4%	2.1M	-25.6M	-75.9K	0.04	92.38	68	3	1,073	456