LII Options History — October 2024

In October 2024, LII traded between $588.18 and $619.76. ATM implied volatility averaged 32.8%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 12.3% (HV 20d: 20.5%). Max pain ranged from $580.00 to $610.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.11.

Notable Days

  • 2024-10-09: Highest Volume — 519 contracts
  • 2024-10-07: Largest IV spike — 18.3% change
  • 2024-10-22: Highest IV Rank — 49.6%
  • 2024-10-22: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$602.23$588.18$619.76$594.10$602.95
Max Pain$607.39$580.00$610.00$580.00$610.00
ATM IV32.8%24.9%38.0%27.6%35.9%
Expected Move9.7%7.9%10.9%7.9%10.3%
HV 20d20.5%18.4%22.8%18.6%22.6%
HV 60d28.1%23.2%31.4%31.4%23.2%
IV Rank34.2%10.5%49.6%18.6%43.3%
IV Percentile76.5%9.5%96.8%34.9%96.8%
Term Structure-1.7%-5.5%6.2%6.2%-3.6%
VWIV34.2%27.4%38.5%27.4%35.5%
Skew 25d4.0%1.4%6.4%2.9%3.5%
Skew 10d7.5%-4.1%20.8%-4.1%-0.6%
Call IV 25d32.4%25.3%35.7%25.3%32.4%
Put IV 25d36.4%27.7%39.7%28.2%36.0%
Bid-Ask Spread %74.3160.6394.8794.6580.05
Gamma HHI0.200.150.330.160.19
Net GEX1.8M302.7K3.5M2.5M699.8K
Net DEX-20.5M-38.5M-8.1M-23.3M-10.8M
Net VEX-104.4K-127.9K-88.2K-122.5K-98.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.008.381.620.14
Total Volume98.9130519978
Total OI1,970.7831,1182,3042,1451,737

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-10-01$594.10$580.0027.6%7.9%18.6%18.6%27.4%2.9%6.2%2.5M-23.3M-122.5K1.6294.6537601,404741
2024-10-02$593.01$580.0028.5%8.2%18.4%21.2%28.2%1.4%6.0%2.3M-21.8M-127.9K2.0094.87361,433801
2024-10-03$588.18$610.0028.7%10.0%18.6%21.9%35.1%3.5%-1.8%2.0M-16.4M-122.3K0.0865.431311,434802
2024-10-04$592.98$610.0024.9%9.7%18.7%10.5%36.0%4.9%-1.1%2.5M-21.8M-118.9K0.2570.102871,443803
2024-10-07$592.63$610.0029.5%10.1%18.7%24.2%38.3%6.3%-2.3%2.5M-19.4M-112.8K0.8473.5025211,453809
2024-10-08$609.53$610.0030.3%10.0%20.5%26.6%0.0%4.6%-1.8%3.3M-37.2M-114.2K0.0368.4315851,451824
2024-10-09$611.64$610.0034.3%9.8%20.4%38.7%33.4%5.0%-1.7%3.5M-38.5M-103.5K0.0271.6051181,386824
2024-10-10$594.00$610.0034.1%9.8%22.5%38.0%35.3%2.0%-1.1%2.0M-22.0M-111.0K0.1160.633741,362824
2024-10-11$603.14$610.0033.6%9.6%21.9%36.4%33.5%4.3%-2.4%3.0M-29.9M-104.3K0.2070.251021,379828
2024-10-14$606.21$610.0034.4%9.9%19.6%38.9%36.6%2.8%-0.9%3.1M-31.7M-99.7K1.8370.851152101,386830
2024-10-15$596.33$610.0035.2%10.1%20.4%41.2%36.1%2.3%-2.1%2.0M-20.3M-101.3K1.6069.7315241,340930
2024-10-16$599.83$610.0035.7%10.2%20.5%42.9%34.8%5.9%-2.6%2.3M-23.0M-97.9K0.2164.631941,336944
2024-10-17$603.59$610.0035.9%10.3%19.7%43.5%35.6%3.2%-2.8%2.6M-26.8M-93.9K2.8675.367201,339945
2024-10-18$603.96$610.0035.0%10.0%19.6%40.7%34.4%3.6%-1.9%2.8M-27.0M-91.2K0.0073.931001,340964
2024-10-21$600.07$610.0036.2%10.4%19.3%44.3%38.5%5.3%-4.3%323.7K-8.9M-88.2K1.0071.3344610508
2024-10-22$598.21$610.0038.0%10.9%19.4%49.6%38.3%5.0%-5.5%302.7K-8.1M-88.3K0.7269.26181130612512
2024-10-23$610.43$610.0033.4%9.6%20.8%35.9%31.6%5.1%-2.2%653.1K-14.0M-92.5K0.3776.7524088767637
2024-10-24$619.76$610.0032.8%9.4%21.6%34.2%33.0%6.4%-2.7%878.4K-18.4M-104.9K0.6477.552214988701
2024-10-25$606.63$610.0031.8%9.1%22.5%31.1%31.0%2.1%-1.3%709.1K-13.0M-104.7K0.1975.56163992715
2024-10-28$612.89$610.0032.7%9.4%22.3%33.9%29.7%4.4%-2.8%866.8K-15.3M-102.0K1.3977.512332993713
2024-10-29$610.45$610.0032.3%9.3%21.9%32.6%0.0%5.1%-2.6%858.0K-14.2M-101.1K0.0081.11001,003741
2024-10-30$600.78$610.0034.3%9.8%22.8%38.5%35.2%2.5%-3.3%597.3K-10.3M-100.4K8.3876.12161341,003741
2024-10-31$602.95$610.0035.9%10.3%22.6%43.3%35.5%3.5%-3.6%699.8K-10.8M-98.0K0.1480.05711,015722