LII Options History — November 2024

In November 2024, LII traded between $604.54 and $680.11. ATM implied volatility averaged 29.0%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.6% (HV 20d: 26.4%). Max pain ranged from $590.00 to $610.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.08.

Notable Days

2024-11-26: Highest Volume — 412 contracts
2024-11-12: Largest IV spike — 24.8% change
2024-11-04: Highest IV Rank — 52.8%
2024-11-01: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$631.97	$604.54	$680.11	$604.54	$673.28
Max Pain	$592.00	$590.00	$610.00	$610.00	$600.00
ATM IV	29.0%	24.9%	39.0%	36.3%	26.2%
Expected Move	8.0%	7.1%	10.4%	10.4%	7.5%
HV 20d	26.4%	22.4%	31.9%	22.4%	31.9%
HV 60d	24.2%	22.8%	26.6%	22.8%	24.7%
IV Rank	22.5%	9.8%	52.8%	44.5%	13.8%
IV Percentile	41.3%	7.5%	98.8%	98.0%	18.7%
Term Structure	0.2%	-4.3%	2.7%	-4.3%	0.1%
VWIV	28.4%	25.0%	36.8%	36.8%	27.5%
Skew 25d	2.2%	-1.9%	6.0%	-0.4%	0.7%
Skew 10d	4.3%	-5.8%	11.2%	1.0%	-1.5%
Call IV 25d	26.9%	23.1%	34.6%	34.6%	26.3%
Put IV 25d	29.1%	24.6%	34.2%	34.2%	26.9%
Bid-Ask Spread %	88.88	80.96	93.24	82.03	90.89
Gamma HHI	0.22	0.12	0.33	0.20	0.18
Net GEX	931.6K	135.6K	2.4M	779.5K	372.3K
Net DEX	-16.9M	-25.6M	-9.0M	-12.4M	-21.1M
Net VEX	-70.0K	-96.0K	-49.0K	-96.0K	-58.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.00	3.20	1.00	0.90
Total Volume	66.65	2	412	2	19
Total OI	1,490.2	979	1,812	1,743	1,415

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
2024-11-01	$604.54	$610.00	36.3%	10.4%	22.4%	44.5%	36.8%	-0.4%	-4.3%	779.5K	-12.4M	-96.0K	1.00	82.03	1	1	1,016	727
2024-11-04	$605.31	$590.00	39.0%	9.3%	22.4%	52.8%	30.9%	2.0%	-0.1%	846.6K	-12.2M	-91.5K	2.00	80.96	1	2	1,017	727
2024-11-05	$625.03	$590.00	38.7%	9.2%	23.1%	51.7%	32.9%	6.0%	-0.0%	1.1M	-21.2M	-89.8K	0.00	85.18	97	0	1,018	727
2024-11-06	$606.76	$590.00	31.9%	8.2%	25.5%	31.4%	28.5%	4.4%	1.2%	1.1M	-11.8M	-87.3K	0.60	82.01	5	3	1,050	759
2024-11-07	$617.35	$590.00	27.3%	7.6%	23.8%	17.7%	25.8%	2.1%	2.7%	1.8M	-17.8M	-81.8K	0.03	89.18	317	11	1,050	762
2024-11-08	$630.75	$590.00	26.2%	7.5%	24.4%	14.2%	25.5%	4.7%	2.5%	1.9M	-24.1M	-79.0K	0.92	91.36	12	11	1,003	775
2024-11-11	$630.18	$590.00	27.3%	7.5%	24.4%	17.7%	26.0%	-1.9%	2.7%	2.4M	-25.6M	-70.9K	1.83	92.84	6	11	1,002	781
2024-11-12	$616.88	$590.00	34.1%	7.9%	24.9%	38.0%	26.2%	1.2%	2.0%	1.9M	-17.3M	-73.2K	1.00	89.66	5	5	1,007	790
2024-11-13	$619.86	$590.00	27.4%	7.8%	24.9%	17.8%	27.1%	1.9%	2.2%	2.4M	-18.6M	-70.4K	1.80	89.71	5	9	1,008	792
2024-11-14	$615.91	$590.00	26.7%	7.6%	25.0%	15.7%	27.1%	2.4%	0.1%	1.9M	-15.1M	-68.5K	1.11	90.06	9	10	1,011	794
2024-11-15	$609.21	$590.00	27.7%	7.9%	25.4%	18.8%	29.6%	2.8%	-1.4%	157.2K	-9.0M	-66.8K	0.90	89.91	39	35	1,014	797
2024-11-18	$619.50	$590.00	28.0%	8.0%	25.9%	19.8%	28.9%	2.5%	-1.2%	135.6K	-10.5M	-63.5K	1.22	87.83	27	33	496	483
2024-11-19	$621.75	$590.00	27.3%	7.8%	25.8%	17.7%	28.6%	2.4%	-0.9%	161.3K	-11.4M	-62.5K	2.06	89.14	16	33	512	502
2024-11-20	$622.99	$590.00	28.1%	8.1%	24.9%	20.0%	31.8%	2.6%	-1.7%	152.8K	-11.1M	-64.8K	3.20	89.35	5	16	528	519
2024-11-21	$655.09	$590.00	26.4%	7.6%	30.1%	14.5%	28.4%	3.4%	-1.4%	326.1K	-18.4M	-58.0K	0.47	90.08	58	27	528	533
2024-11-22	$655.38	$590.00	24.9%	7.1%	28.7%	9.8%	27.8%	1.1%	1.5%	282.6K	-18.1M	-55.0K	0.04	92.26	49	2	530	542
2024-11-25	$680.11	$590.00	25.1%	7.2%	31.0%	10.6%	25.0%	1.3%	0.2%	329.6K	-22.6M	-50.7K	0.42	91.28	24	10	542	540
2024-11-26	$668.76	$590.00	25.8%	7.4%	31.8%	12.4%	26.4%	1.1%	0.4%	348.3K	-21.2M	-49.0K	1.31	90.59	178	234	546	546
2024-11-27	$660.84	$600.00	25.6%	7.3%	31.5%	11.9%	26.9%	3.5%	-0.3%	219.1K	-17.7M	-62.7K	0.75	93.24	4	3	682	733
2024-11-29	$673.28	$600.00	26.2%	7.5%	31.9%	13.8%	27.5%	0.7%	0.1%	372.3K	-21.1M	-58.1K	0.90	90.89	10	9	680	735