LII Options History — July 2024

In July 2024, LII traded between $526.59 and $586.77. ATM implied volatility averaged 31.9%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 1.7% (HV 20d: 30.1%). Max pain ranged from $510.00 to $550.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 2.88.

Notable Days

  • 2024-07-11: Highest Volume — 521 contracts
  • 2024-07-24: Largest IV drop — 11.8% change
  • 2024-07-10: Highest IV Rank — 55.9%
  • 2024-07-22: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$556.11$526.59$586.77$526.59$586.77
Max Pain$543.18$510.00$550.00$510.00$550.00
ATM IV31.9%29.7%34.2%31.0%29.7%
Expected Move8.9%6.9%9.9%6.9%8.6%
HV 20d30.1%22.9%37.1%30.9%36.0%
HV 60d27.3%25.5%30.1%26.6%29.9%
IV Rank45.8%36.2%55.9%41.9%36.5%
IV Percentile76.1%60.3%88.5%75.0%61.1%
Term Structure-1.2%-3.4%-0.4%-0.4%-0.8%
VWIV33.2%25.0%46.8%25.0%31.6%
Skew 25d2.6%-1.5%4.8%1.9%4.0%
Skew 10d4.4%-1.4%9.4%2.3%5.5%
Call IV 25d31.1%27.8%34.1%30.3%29.6%
Put IV 25d33.7%29.0%36.4%32.2%33.6%
Bid-Ask Spread %89.0982.5997.2097.2093.31
Gamma HHI0.310.120.590.550.21
Net GEX2.1M1.1M2.9M2.1M2.3M
Net DEX-33.6M-51.3M-14.7M-20.3M-41.9M
Net VEX-74.1K-82.0K-63.3K-74.5K-74.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.880.0038.000.080.40
Total Volume100.68215211428
Total OI1,727.1361,5401,9641,5401,738

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-07-01$526.59$510.0031.0%6.9%30.9%41.9%0.0%1.9%-0.4%2.1M-20.3M-74.5K0.0897.201311,088452
2024-07-02$536.32$510.0030.6%7.3%31.0%40.1%25.0%3.0%-0.7%2.4M-26.9M-74.9K0.1796.27611,097453
2024-07-03$544.65$510.0030.5%7.3%30.5%39.7%0.0%4.4%-1.1%2.4M-31.6M-72.5K0.2596.04411,101453
2024-07-05$544.32$550.0031.4%8.6%29.5%43.6%0.0%3.0%-0.5%2.6M-31.4M-69.9K0.6083.72531,102455
2024-07-08$545.76$550.0033.2%9.1%27.7%51.8%0.0%2.6%-1.7%2.5M-31.5M-65.3K0.5783.85741,094450
2024-07-09$538.50$550.0033.6%9.2%28.0%53.4%0.0%3.8%-1.3%2.5M-27.7M-65.7K0.0082.59011,095454
2024-07-10$544.60$550.0034.2%9.0%27.7%55.9%30.6%4.3%-2.8%2.5M-31.3M-63.3K0.0083.4350501,095455
2024-07-11$562.92$550.0033.3%9.3%29.3%52.1%32.5%1.8%-0.8%2.1M-43.2M-69.1K0.0284.9251291,224455
2024-07-12$560.75$550.0032.1%8.5%23.3%46.7%27.9%2.6%-3.4%2.5M-41.8M-82.0K0.3487.8532111,298464
2024-07-15$565.41$550.0032.3%9.1%22.9%47.7%0.0%2.4%-0.7%2.3M-44.3M-78.0K1.0084.48221,304467
2024-07-16$579.93$550.0032.3%9.2%23.9%47.6%32.9%3.5%-0.6%1.8M-51.3M-72.2K0.0184.4951361,304469
2024-07-17$555.01$550.0032.3%9.3%29.2%47.7%0.0%-1.5%-1.8%2.6M-41.1M-79.1K0.1787.342441,413467
2024-07-18$551.74$520.0033.4%9.6%28.9%52.6%33.6%3.9%-0.5%2.9M-36.8M-80.0K0.0084.44021,409466
2024-07-19$557.33$550.0034.0%9.8%29.0%55.3%0.0%-0.4%-0.7%2.0M-41.7M-76.2K38.0087.5941521,409468
2024-07-22$560.85$550.0032.9%9.9%28.8%50.1%38.5%1.7%-1.5%1.5M-27.0M-75.8K0.3690.132281,161568
2024-07-23$568.27$550.0034.0%9.8%28.9%55.3%37.2%3.3%-1.8%1.7M-32.7M-75.3K10.2289.909921,202576
2024-07-24$539.13$550.0030.0%8.8%34.0%37.6%0.0%-1.1%-1.1%1.1M-14.7M-74.6K0.4289.6557241,236690
2024-07-25$547.66$550.0029.7%8.8%34.3%36.4%31.2%2.8%-1.8%1.3M-19.1M-77.1K0.6893.8928191,265699
2024-07-26$572.75$550.0029.7%8.7%37.1%36.2%30.8%1.5%-0.4%1.2M-34.3M-73.8K0.0893.518371,263698
2024-07-29$570.90$550.0029.7%8.9%36.5%36.2%46.8%4.7%-0.8%2.2M-33.5M-80.1K0.0092.33071,209506
2024-07-30$574.16$550.0031.4%9.1%35.8%43.8%0.0%4.8%-1.7%2.2M-35.5M-77.2K1.3393.05341,212513
2024-07-31$586.77$550.0029.7%8.6%36.0%36.5%31.6%4.0%-0.8%2.3M-41.9M-74.1K0.4093.312081,215523