LII Options History — August 2024

In August 2024, LII traded between $533.92 and $588.61. ATM implied volatility averaged 30.1%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 7.7% (HV 20d: 37.8%). Max pain ranged from $450.00 to $560.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 7.35.

Notable Days

  • 2024-08-26: Highest Volume — 868 contracts
  • 2024-08-30: Largest IV drop — 17.9% change
  • 2024-08-05: Highest IV Rank — 64.7%
  • 2024-08-02: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$568.26$533.92$588.61$560.98$588.61
Max Pain$505.91$450.00$560.00$560.00$510.00
ATM IV30.1%23.9%36.2%31.0%23.9%
Expected Move8.9%7.8%10.8%9.3%7.8%
HV 20d37.8%22.8%43.4%39.8%22.8%
HV 60d32.7%31.2%33.3%31.2%32.2%
IV Rank38.1%11.1%64.7%41.9%11.1%
IV Percentile58.5%5.6%94.8%69.4%5.6%
Term Structure0.8%-1.8%3.2%0.1%0.6%
VWIV30.7%22.9%37.2%28.5%29.7%
Skew 25d2.3%0.8%5.3%5.3%5.3%
Skew 10d5.5%-4.8%18.2%3.8%3.8%
Call IV 25d28.6%23.4%34.8%30.5%23.4%
Put IV 25d31.0%28.2%37.8%35.8%28.7%
Bid-Ask Spread %89.6784.3695.0995.0993.82
Gamma HHI0.240.170.410.190.27
Net GEX3.0M1.0M7.4M2.2M3.9M
Net DEX-38.1M-62.8M-13.6M-26.8M-50.5M
Net VEX-104.5K-124.3K-64.8K-74.0K-115.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.350.01110.000.010.29
Total Volume147.591786851127
Total OI2,460.2271,7533,0041,7533,004

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-08-01$560.98$560.0031.0%9.3%39.8%41.9%28.5%5.3%0.1%2.2M-26.8M-74.0K0.0195.0950651,229524
2024-08-02$539.07$560.0035.5%10.8%42.4%62.0%37.2%3.6%-0.8%1.2M-15.8M-68.1K1.8394.4112221,282524
2024-08-05$533.92$450.0036.2%10.5%42.5%64.7%37.0%1.7%0.6%1.0M-13.6M-64.8K13.2084.54151981,275513
2024-08-06$548.87$500.0032.2%9.8%43.4%47.3%0.0%2.1%1.4%1.5M-17.5M-75.3K2.5084.36251,285659
2024-08-07$545.96$500.0030.5%9.7%43.3%40.0%35.4%1.4%3.0%1.4M-17.1M-73.7K1.0084.97991,287658
2024-08-08$558.66$500.0030.8%9.6%42.4%41.0%33.7%1.9%3.2%2.1M-22.5M-72.8K0.0286.40716161,285663
2024-08-09$559.25$500.0029.5%9.2%42.4%35.5%31.2%0.8%2.2%3.5M-38.1M-119.7K0.2988.891442,097676
2024-08-12$558.44$500.0029.7%9.1%42.3%36.1%31.8%1.0%1.6%3.5M-38.6M-111.8K1.1588.5655632,080672
2024-08-13$572.32$500.0030.4%9.3%42.2%39.6%31.1%1.9%2.1%4.6M-48.7M-124.3K0.8887.7533292,133723
2024-08-14$576.93$500.0028.9%8.6%39.1%32.9%29.8%1.1%2.2%6.1M-54.1M-119.6K1.6789.98352,161744
2024-08-15$584.24$500.0029.2%8.4%39.1%34.2%30.4%1.6%0.5%7.4M-62.8M-115.8K1.0090.8930302,167745
2024-08-16$569.51$500.0028.9%8.3%40.3%32.7%29.6%4.1%1.5%3.9M-45.2M-117.8K0.2990.77721,911758
2024-08-19$579.37$500.0030.2%8.6%40.6%38.3%30.2%1.6%0.2%2.3M-43.9M-114.5K1.9190.2511211,617691
2024-08-20$573.18$500.0029.5%8.4%40.6%35.3%22.9%1.5%-0.8%2.3M-40.2M-112.6K17.5089.292351,628711
2024-08-21$580.19$500.0029.3%8.4%35.6%34.4%28.4%2.9%1.5%2.3M-43.4M-111.3K0.0889.633631,630744
2024-08-22$573.75$500.0029.6%8.5%35.7%35.8%31.7%2.6%0.3%2.3M-40.5M-115.3K110.0089.7222201,666746
2024-08-23$583.84$510.0029.3%8.4%32.5%34.3%28.8%2.2%-0.2%2.4M-45.4M-118.4K1.0089.9512121,668826
2024-08-26$581.27$510.0029.5%8.5%32.6%35.5%29.0%1.3%-0.1%2.4M-44.3M-107.7K0.0189.7686171,649820
2024-08-27$579.43$510.0029.1%8.4%32.5%33.8%29.1%2.9%0.1%3.3M-45.6M-120.2K2.0591.7422451,984825
2024-08-28$576.34$510.0029.9%8.6%31.6%37.1%29.8%2.0%-1.8%3.0M-40.7M-123.9K0.0789.8112092,000870
2024-08-29$577.49$510.0029.2%8.0%27.0%34.0%29.1%2.9%0.2%3.2M-43.7M-121.0K5.0092.102102,118877
2024-08-30$588.61$510.0023.9%7.8%22.8%11.1%29.7%5.3%0.6%3.9M-50.5M-115.7K0.2993.822162,119885