LII Options History — December 2024

In December 2024, LII traded between $610.29 and $670.36. ATM implied volatility averaged 27.4%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 2.5% (HV 20d: 29.8%). Max pain ranged from $560.00 to $640.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2024-12-13: Highest Volume — 265 contracts
2024-12-09: Largest IV spike — 11.1% change
2024-12-10: Highest IV Rank — 25.4%
2024-12-19: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$643.33	$610.29	$670.36	$670.36	$610.29
Max Pain	$608.57	$560.00	$640.00	$600.00	$610.00
ATM IV	27.4%	24.9%	30.8%	26.4%	26.6%
Expected Move	7.8%	7.1%	8.7%	7.6%	7.6%
HV 20d	29.8%	25.2%	34.7%	32.1%	25.3%
HV 60d	26.0%	24.8%	27.2%	24.8%	27.2%
IV Rank	14.3%	6.2%	25.4%	11.9%	11.6%
IV Percentile	29.6%	4.8%	66.3%	20.6%	22.2%
Term Structure	2.0%	-1.7%	4.8%	-0.1%	4.2%
VWIV	27.8%	23.2%	37.9%	29.8%	36.7%
Skew 25d	1.9%	-1.3%	5.9%	3.6%	1.3%
Skew 10d	4.7%	-5.1%	18.5%	8.2%	3.8%
Call IV 25d	25.7%	22.2%	29.6%	23.8%	25.0%
Put IV 25d	27.6%	24.1%	31.9%	27.5%	26.3%
Bid-Ask Spread %	90.49	83.35	97.78	91.89	97.37
Gamma HHI	0.17	0.08	0.34	0.16	0.09
Net GEX	256.8K	13.2K	564.0K	291.1K	161.2K
Net DEX	-13.7M	-22.4M	-5.8M	-19.6M	-5.8M
Net VEX	-45.9K	-58.9K	-37.5K	-58.9K	-40.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.00	4.00	1.43	0.00
Total Volume	30.81	3	265	34	5
Total OI	1,171.238	464	1,480	1,411	521

Daily Data (21 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
2024-12-02	$670.36	$600.00	26.4%	7.6%	32.1%	11.9%	29.8%	3.6%	-0.1%	291.1K	-19.6M	-58.9K	1.43	91.89	14	20	670	741
2024-12-03	$663.75	$600.00	27.2%	7.8%	32.5%	14.5%	0.0%	5.9%	-1.6%	260.0K	-18.6M	-56.9K	0.00	93.64	3	0	670	736
2024-12-04	$663.14	$600.00	26.8%	7.7%	30.9%	13.2%	37.9%	2.9%	-1.7%	259.3K	-18.2M	-56.3K	0.00	92.89	0	24	673	736
2024-12-05	$650.53	$640.00	26.4%	7.5%	29.6%	11.9%	25.2%	2.4%	3.8%	147.9K	-15.4M	-56.8K	0.08	85.39	12	1	673	750
2024-12-06	$658.99	$640.00	25.9%	7.3%	29.4%	10.4%	25.5%	2.1%	2.8%	168.2K	-17.0M	-54.4K	0.67	88.20	3	2	674	749
2024-12-09	$637.03	$640.00	28.8%	7.9%	31.3%	19.4%	26.5%	1.1%	1.2%	13.2K	-11.3M	-54.3K	0.26	83.35	31	8	676	750
2024-12-10	$646.21	$640.00	30.8%	8.0%	31.7%	25.4%	27.1%	0.8%	0.9%	162.7K	-14.6M	-53.2K	0.20	83.93	5	1	695	749
2024-12-11	$656.84	$640.00	27.7%	7.9%	31.0%	15.8%	28.3%	0.7%	1.2%	291.6K	-17.8M	-48.0K	0.13	88.30	8	1	696	750
2024-12-12	$657.55	$640.00	26.3%	7.5%	31.0%	11.5%	25.9%	2.2%	2.7%	327.6K	-18.6M	-46.5K	2.00	85.66	5	10	700	751
2024-12-13	$663.38	$640.00	27.0%	7.7%	30.8%	12.7%	25.8%	2.4%	2.5%	319.6K	-20.2M	-44.4K	0.11	88.65	239	26	701	756
2024-12-16	$667.89	$560.00	27.9%	8.0%	30.3%	15.7%	27.2%	2.4%	2.1%	564.0K	-22.4M	-41.5K	0.94	88.26	16	15	714	737
2024-12-17	$659.06	$560.00	28.8%	8.2%	30.6%	18.3%	26.9%	3.9%	1.4%	419.8K	-19.2M	-39.9K	0.67	86.57	12	8	721	748
2024-12-18	$638.48	$560.00	28.9%	8.3%	33.0%	18.9%	30.6%	-1.2%	2.3%	495.9K	-14.2M	-40.6K	0.64	89.85	11	7	721	752
2024-12-19	$620.59	$560.00	30.4%	8.7%	34.7%	23.5%	30.3%	2.5%	-0.4%	67.3K	-9.3M	-39.8K	4.00	88.96	4	16	727	753
2024-12-20	$628.50	$600.00	28.4%	8.1%	29.6%	17.2%	28.5%	2.2%	1.8%	434.9K	-10.9M	-38.2K	0.32	89.23	28	9	726	753
2024-12-23	$624.47	$610.00	26.4%	7.6%	29.6%	11.0%	26.3%	0.6%	3.3%	203.1K	-7.1M	-38.9K	0.33	93.75	15	5	290	174
2024-12-24	$627.72	$610.00	25.8%	7.4%	25.9%	9.0%	25.1%	2.0%	3.2%	206.1K	-7.2M	-37.8K	0.67	95.37	3	2	301	176
2024-12-26	$632.09	$610.00	24.9%	7.1%	25.7%	6.2%	23.2%	2.4%	4.3%	203.6K	-7.4M	-37.5K	0.00	97.78	39	0	301	179
2024-12-27	$617.84	$610.00	26.1%	7.5%	26.5%	9.8%	23.3%	1.0%	4.8%	202.6K	-6.4M	-39.5K	0.00	96.47	8	0	321	179
2024-12-30	$615.23	$610.00	26.9%	7.7%	25.2%	12.3%	26.1%	-1.3%	2.9%	192.9K	-6.2M	-38.9K	0.82	94.80	17	14	327	179
2024-12-31	$610.29	$610.00	26.6%	7.6%	25.3%	11.6%	36.7%	1.3%	4.2%	161.2K	-5.8M	-40.6K	0.00	97.37	5	0	329	192