LII Options History — September 2024

In September 2024, LII traded between $552.84 and $618.55. ATM implied volatility averaged 32.3%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 5.1% (HV 20d: 27.2%). Max pain ranged from $510.00 to $580.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.62.

Notable Days

2024-09-13: Highest Volume — 1,012 contracts
2024-09-06: Largest IV drop — 36.4% change
2024-09-03: Highest IV Rank — 100.0%
2024-09-06: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$589.27	$552.84	$618.55	$559.24	$600.39
Max Pain	$565.00	$510.00	$580.00	$510.00	$580.00
ATM IV	32.3%	25.0%	54.8%	46.1%	25.5%
Expected Move	8.4%	7.2%	9.5%	9.1%	7.3%
HV 20d	27.2%	26.1%	29.9%	29.9%	26.5%
HV 60d	32.1%	31.2%	33.7%	33.7%	31.3%
IV Rank	34.4%	10.6%	100.0%	100.0%	12.3%
IV Percentile	53.1%	9.5%	100.0%	100.0%	14.3%
Term Structure	3.5%	-0.8%	8.8%	-0.8%	8.8%
VWIV	29.3%	23.2%	34.4%	31.5%	26.3%
Skew 25d	2.9%	-1.0%	7.9%	-0.3%	1.4%
Skew 10d	5.4%	-5.9%	18.7%	-5.9%	2.1%
Call IV 25d	28.1%	22.7%	32.6%	30.2%	26.6%
Put IV 25d	31.0%	26.3%	35.4%	30.0%	28.0%
Bid-Ask Spread %	82.74	71.45	93.72	93.67	93.72
Gamma HHI	0.26	0.17	0.55	0.21	0.17
Net GEX	3.4M	1.6M	7.6M	2.2M	2.8M
Net DEX	-44.4M	-85.3M	-20.4M	-27.9M	-27.9M
Net VEX	-107.7K	-126.3K	-81.8K	-98.5K	-119.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.00	1.77	0.10	1.36
Total Volume	161.85	1	1,012	130	106
Total OI	2,958.7	1,805	3,964	2,986	2,078

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
2024-09-03	$559.24	$510.00	46.1%	9.1%	29.9%	100.0%	31.5%	-0.3%	-0.8%	2.2M	-27.9M	-98.5K	0.10	93.67	118	12	2,107	879
2024-09-04	$556.56	$510.00	51.0%	9.4%	28.4%	100.0%	32.1%	5.5%	-0.5%	1.9M	-23.6M	-95.0K	0.06	92.37	33	2	2,192	885
2024-09-05	$553.35	$580.00	54.8%	9.3%	28.4%	100.0%	31.9%	6.9%	1.4%	1.6M	-20.4M	-92.4K	1.00	75.02	21	21	2,225	886
2024-09-06	$553.60	$570.00	34.9%	9.5%	27.2%	40.3%	34.4%	0.7%	1.5%	1.9M	-24.5M	-97.8K	0.85	71.45	34	29	2,225	894
2024-09-09	$552.84	$570.00	32.8%	9.1%	27.2%	34.1%	31.9%	0.7%	2.2%	2.1M	-24.6M	-96.2K	0.58	74.16	48	28	2,225	894
2024-09-10	$559.11	$570.00	31.5%	8.9%	27.5%	30.3%	23.2%	2.0%	1.9%	2.2M	-26.4M	-89.5K	0.00	74.68	15	0	2,242	921
2024-09-11	$564.40	$570.00	30.5%	8.8%	26.2%	27.3%	31.0%	4.9%	2.7%	2.2M	-27.3M	-83.5K	0.47	75.02	17	8	2,251	921
2024-09-12	$576.40	$550.00	28.9%	8.3%	27.2%	22.3%	30.4%	7.9%	3.3%	3.1M	-37.1M	-81.8K	0.54	75.54	207	112	2,262	926
2024-09-13	$588.73	$550.00	29.4%	8.4%	27.8%	24.0%	29.7%	2.6%	3.2%	4.9M	-56.9M	-106.5K	0.27	78.26	800	212	2,463	1,036
2024-09-16	$605.50	$560.00	29.5%	8.5%	27.7%	24.1%	30.3%	4.9%	1.9%	3.9M	-70.4M	-107.6K	0.02	80.14	423	10	2,350	1,139
2024-09-17	$606.11	$560.00	29.9%	8.6%	27.2%	25.3%	30.5%	3.9%	2.1%	4.8M	-77.5M	-117.6K	0.37	82.61	52	19	2,535	1,140
2024-09-18	$604.67	$560.00	29.2%	8.4%	26.9%	23.2%	29.3%	2.7%	2.6%	5.0M	-76.8M	-114.8K	0.05	85.74	622	32	2,564	1,153
2024-09-19	$615.10	$580.00	28.9%	8.3%	27.1%	22.5%	29.6%	3.4%	6.5%	7.1M	-85.3M	-122.6K	1.16	84.47	25	29	2,666	1,274
2024-09-20	$612.70	$580.00	28.4%	8.1%	26.8%	20.9%	28.4%	1.0%	4.9%	7.6M	-80.1M	-119.7K	1.11	83.36	18	20	2,665	1,299
2024-09-23	$618.55	$580.00	27.8%	8.0%	26.4%	19.2%	28.1%	0.8%	4.6%	2.1M	-39.3M	-115.4K	1.77	81.52	13	23	1,181	624
2024-09-24	$617.80	$580.00	27.3%	7.8%	26.3%	17.7%	28.1%	4.9%	5.0%	2.8M	-43.0M	-125.1K	0.50	84.67	22	11	1,354	640
2024-09-25	$616.69	$580.00	27.0%	7.7%	26.2%	16.6%	27.8%	-1.0%	5.1%	2.9M	-42.0M	-126.3K	0.40	85.72	5	2	1,370	652
2024-09-26	$615.47	$580.00	26.9%	7.7%	26.1%	16.4%	26.9%	1.1%	5.7%	2.9M	-42.1M	-123.4K	0.00	89.73	0	1	1,374	654
2024-09-27	$608.25	$580.00	25.0%	7.2%	26.7%	10.6%	25.3%	3.6%	8.1%	3.1M	-35.2M	-120.6K	1.23	92.86	39	48	1,374	654
2024-09-30	$600.39	$580.00	25.5%	7.3%	26.5%	12.3%	26.3%	1.4%	8.8%	2.8M	-27.9M	-119.6K	1.36	93.72	45	61	1,376	702