LII Options History — January 2007

In January 2007, LII traded between $29.41 and $30.35. ATM implied volatility averaged 27.7%. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 11.6% (HV 20d: 16.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-01-29: Highest Volume — 42 contracts
  • 2007-01-12: Largest IV spike — 5.1% change
  • 2007-01-10: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.79$29.41$30.35$30.11$30.34
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV27.7%25.1%29.1%26.1%29.1%
Expected Move8.1%7.5%8.7%7.5%8.3%
HV 20d16.1%15.5%16.9%16.0%16.9%
Term Structure-0.6%-2.3%1.5%1.5%0.0%
VWIV29.1%28.5%30.4%30.4%28.6%
Skew 25d4.3%-4.0%9.0%-3.9%8.3%
Skew 10d6.4%-7.5%14.2%-7.5%10.8%
Call IV 25d21.0%17.4%27.0%26.8%18.4%
Put IV 25d25.2%21.6%29.3%22.9%26.7%
Bid-Ask Spread %80.7158.4789.3558.4777.94
Gamma HHI0.800.460.970.810.46
Net GEX17.8K1.9K74.7K15.5K1.9K
Net DEX-278.4K-376.8K-221.3K-286.5K-265.3K
Net VEX-858-988-722-962-988
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume8.8504200
Total OI327.65270380336333

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$30.11$30.0026.1%7.5%0.0%0.0%0.0%-3.9%1.5%15.5K-286.5K-9620.0058.4700189147
2007-01-04$29.61$30.0026.9%7.7%0.0%0.0%0.0%2.2%0.7%14.9K-246.0K-9470.0062.0900189147
2007-01-05$29.41$30.0026.4%8.2%0.0%0.0%0.0%1.6%-1.0%15.0K-229.0K-9430.0085.49100189147
2007-01-08$29.50$30.0025.1%8.2%0.0%0.0%0.0%8.5%-0.7%17.2K-261.7K-8990.0087.3800199147
2007-01-09$29.47$30.0025.5%8.1%0.0%0.0%0.0%8.4%-0.4%17.1K-252.6K-8780.0087.8900199147
2007-01-10$29.65$30.0026.4%8.7%0.0%0.0%30.4%9.0%-2.3%18.3K-274.6K-8760.0079.5110199147
2007-01-11$29.47$30.0027.0%7.7%0.0%0.0%0.0%0.8%0.2%19.3K-259.8K-8430.0088.05200200147
2007-01-12$29.96$30.0028.4%8.1%0.0%0.0%0.0%-4.0%-0.7%22.4K-361.5K-8930.0085.2600220147
2007-01-16$29.58$30.0028.8%8.2%0.0%0.0%0.0%3.1%-0.9%26.3K-309.0K-8430.0086.99150220147
2007-01-17$29.67$30.0028.6%8.2%0.0%0.0%0.0%3.2%-0.7%30.1K-312.3K-8700.0087.46200223147
2007-01-18$29.69$30.0027.3%7.8%0.0%0.0%0.0%3.4%0.6%38.9K-318.6K-8950.0089.3500233147
2007-01-19$29.96$30.0028.3%8.1%0.0%0.0%0.0%5.7%-0.8%74.7K-376.8K-8660.0086.04100233147
2007-01-22$29.85$30.0027.5%7.9%0.0%0.0%0.0%7.2%-1.4%6.3K-276.2K-8120.0075.5650151137
2007-01-23$30.14$30.0028.5%8.2%0.0%0.0%0.0%6.6%-1.7%6.0K-283.8K-7630.0081.8400146137
2007-01-24$30.35$30.0028.5%8.2%0.0%0.0%28.5%7.4%-1.2%6.0K-290.7K-7530.0080.52160146137
2007-01-25$29.80$30.0028.7%8.2%16.0%0.0%0.0%4.8%0.1%5.6K-230.4K-7560.0078.1940133137
2007-01-26$29.88$30.0029.0%8.3%15.5%0.0%0.0%6.8%-2.3%6.0K-232.2K-7310.0077.1800133137
2007-01-29$29.48$30.0028.7%8.2%15.8%0.0%28.7%3.0%-1.8%6.0K-221.3K-7220.0079.83420133137
2007-01-30$29.86$30.0028.6%8.2%16.2%0.0%28.6%3.8%-0.2%8.3K-280.1K-9160.0079.22034162137
2007-01-31$30.34$30.0029.1%8.3%16.9%0.0%0.0%8.3%0.0%1.9K-265.3K-9880.0077.9400162171