LII Options History — March 2007 In March 2007, LII traded between $33.80 and $37.64. ATM implied volatility averaged 38.5%. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.5% (HV 20d: 32.0%). Max pain ranged from $22.50 to $35.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 3.05.
Notable Days 2007-03-22 : Highest Volume — 90 contracts2007-03-07 : Largest IV drop — 76.4% change2007-03-02 : Largest Expected Move — 25.7%Monthly Statistics Metric Avg Min Max Open Close Price $35.51 $33.80 $37.64 $34.32 $35.70 Max Pain $33.53 $22.50 $35.00 $22.50 $35.00 ATM IV 38.5% 21.3% 103.9% 86.7% 27.7% Expected Move 9.7% 6.1% 25.7% 24.8% 7.9% HV 20d 32.0% 19.2% 46.9% 46.5% 28.8% HV 60d 33.6% 32.6% 34.8% 33.6% 32.6% Term Structure -3.9% -43.6% 10.4% -40.5% 0.9% VWIV 24.7% 19.2% 27.4% 25.0% 27.4% Skew 25d 2.2% -5.6% 3.6% 3.6% 2.5% Skew 10d 7.5% -5.4% 42.9% 42.3% 2.1% Call IV 25d 41.8% 25.0% 140.2% 119.7% 28.3% Put IV 25d 44.1% 26.3% 143.5% 123.3% 30.8% Bid-Ask Spread % 98.63 78.98 167.83 133.13 90.59 Gamma HHI 0.46 0.33 0.67 0.41 0.36 Net GEX 5.8K -5.2K 16.4K 8.0K -5.2K Net DEX -436.5K -606.9K -138.9K -482.9K -140.0K Net VEX -1.6K -2.6K -1.2K -1.5K -2.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.05 0.00 40.00 0.00 0.00 Total Volume 12.727 0 90 0 3 Total OI 369.591 261 430 376 415
Daily Data (22 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 2007-03-01 $34.32 $22.50 86.7% 24.8% 46.5% 0.0% 0.0% 3.6% -40.5% 8.0K -482.9K -1.5K 0.00 133.13 0 0 217 159 2007-03-02 $34.19 $22.50 89.6% 25.7% 45.6% 0.0% 0.0% 3.5% -43.6% 8.1K -476.4K -1.5K 0.00 133.24 0 0 217 159 2007-03-05 $33.80 $0.00 100.6% 14.6% 46.0% 0.0% 0.0% 3.4% -18.7% 7.9K -452.1K -1.5K 0.00 167.83 0 0 217 159 2007-03-06 $34.84 $0.00 103.9% 14.6% 46.9% 0.0% 0.0% 2.7% -15.6% 8.2K -507.2K -1.4K 0.00 165.72 3 0 217 159 2007-03-07 $35.00 $0.00 24.5% 7.0% 46.6% 0.0% 0.0% 2.1% 1.9% 7.9K -558.1K -1.2K 0.00 81.85 0 5 215 159 2007-03-08 $35.20 $0.00 24.5% 6.9% 46.6% 0.0% 0.0% 3.3% 1.8% 7.5K -557.9K -1.2K 0.00 84.85 12 0 215 164 2007-03-09 $35.70 $0.00 24.2% 7.2% 19.2% 0.0% 25.0% -5.6% 1.7% 7.9K -601.9K -1.3K 0.00 84.86 7 0 224 164 2007-03-12 $35.46 $35.00 22.9% 7.1% 19.3% 0.0% 0.0% 1.7% 1.9% 11.5K -606.9K -1.3K 0.00 89.59 0 0 231 164 2007-03-13 $33.90 $35.00 26.2% 7.4% 24.9% 0.0% 0.0% 3.5% 0.9% 10.3K -506.0K -1.4K 0.00 86.10 7 0 231 164 2007-03-14 $34.27 $35.00 24.3% 7.6% 25.1% 0.0% 0.0% 3.0% 0.3% 11.7K -525.3K -1.4K 0.00 86.25 0 0 233 164 2007-03-15 $35.09 $35.00 26.7% 7.6% 26.6% 0.0% 0.0% 2.3% 0.6% 15.2K -586.8K -1.3K 1.25 88.13 4 5 233 164 2007-03-16 $35.23 $35.00 26.7% 7.6% 26.6% 0.0% 0.0% 3.0% 0.5% 16.4K -600.3K -1.3K 0.40 87.30 5 2 236 169 2007-03-19 $35.51 $35.00 27.6% 7.9% 26.7% 0.0% 0.0% 2.4% -1.2% 6.5K -373.3K -1.3K 0.00 84.25 12 0 165 96 2007-03-20 $36.45 $35.00 27.2% 7.8% 28.3% 0.0% 0.0% 1.3% 0.9% 6.9K -420.1K -1.4K 1.00 84.59 2 2 175 96 2007-03-21 $36.56 $35.00 27.3% 7.8% 28.3% 0.0% 27.3% 1.7% 0.8% 7.1K -453.7K -1.3K 0.00 85.48 18 0 177 96 2007-03-22 $36.91 $35.00 28.0% 8.0% 28.4% 0.0% 0.0% 2.4% 3.0% 7.5K -477.2K -1.3K 0.00 79.23 0 90 182 96 2007-03-23 $37.64 $35.00 21.3% 6.1% 29.0% 0.0% 0.0% 1.4% 2.3% -1.1K -402.1K -1.7K 0.00 106.50 1 0 182 180 2007-03-26 $37.17 $35.00 22.7% 6.5% 29.5% 0.0% 19.2% 2.6% 10.4% -36 -334.0K -1.9K 40.00 98.12 2 80 182 180 2007-03-27 $36.73 $35.00 27.4% 7.9% 26.7% 0.0% 27.4% 2.5% 2.4% -5.2K -246.9K -2.5K 0.00 91.45 5 0 180 250 2007-03-28 $35.74 $35.00 28.7% 8.2% 28.8% 0.0% 0.0% 2.8% 1.3% -5.2K -154.3K -2.6K 0.00 78.98 15 0 180 250 2007-03-29 $35.72 $35.00 28.1% 8.1% 28.8% 0.0% 0.0% 3.4% 1.2% -5.2K -138.9K -2.4K 0.00 81.92 0 0 165 250 2007-03-30 $35.70 $35.00 27.7% 7.9% 28.8% 0.0% 0.0% 2.5% 0.9% -5.2K -140.0K -2.4K 0.00 90.59 3 0 165 250
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