LII Options History — April 2007 In April 2007, LII traded between $33.58 and $36.75. ATM implied volatility averaged 27.7%. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.2% (HV 20d: 25.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.10.
Notable Days 2007-04-24 : Highest Volume — 81 contracts2007-04-23 : Largest IV drop — 12.7% change2007-04-16 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $35.42 $33.58 $36.75 $35.99 $33.81 Max Pain $34.25 $30.00 $35.00 $35.00 $35.00 ATM IV 27.7% 25.9% 30.4% 27.5% 27.4% Expected Move 8.1% 7.4% 8.7% 7.9% 7.8% HV 20d 25.5% 17.9% 33.3% 28.4% 33.1% HV 60d 33.6% 32.4% 36.8% 32.4% 36.2% Term Structure 1.3% -1.5% 9.9% 2.3% -0.3% VWIV 26.1% 19.0% 29.0% 27.5% 28.2% Skew 25d 2.0% -1.4% 7.2% 2.8% 3.1% Skew 10d 1.8% -7.0% 11.9% 3.1% 6.7% Call IV 25d 26.7% 21.2% 28.5% 28.3% 24.0% Put IV 25d 28.7% 21.0% 31.2% 31.2% 27.1% Bid-Ask Spread % 77.35 53.73 95.06 91.56 91.70 Gamma HHI 0.40 0.33 0.60 0.36 0.51 Net GEX 1.0K -6.2K 14.0K -6.2K 14.0K Net DEX -240.9K -464.9K -41.2K -153.4K -204.6K Net VEX -2.4K -2.8K -2.2K -2.3K -2.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.10 0.00 0.72 0.00 0.00 Total Volume 16.15 0 81 12 3 Total OI 486.5 418 590 418 590
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 2007-04-02 $35.99 $35.00 27.5% 7.9% 28.4% 0.0% 27.5% 2.8% 2.3% -6.2K -153.4K -2.3K 0.00 91.56 12 0 168 250 2007-04-03 $35.53 $35.00 26.5% 7.6% 27.0% 0.0% 0.0% 2.6% 3.0% -3.4K -166.1K -2.3K 0.00 86.97 0 0 180 250 2007-04-04 $35.90 $35.00 27.4% 7.9% 27.2% 0.0% 0.0% 2.6% 1.6% -3.6K -190.5K -2.3K 0.00 86.72 2 0 180 250 2007-04-05 $35.66 $35.00 27.3% 7.8% 27.3% 0.0% 0.0% 3.1% 2.0% -3.2K -175.1K -2.3K 0.00 95.06 0 0 182 250 2007-04-09 $35.62 $30.00 26.0% 8.3% 26.8% 0.0% 29.0% 2.0% 2.2% -2.9K -171.5K -2.3K 0.00 82.84 13 0 182 250 2007-04-10 $35.58 $30.00 26.3% 8.7% 26.7% 0.0% 0.0% 2.9% -0.1% -1.6K -188.9K -2.3K 0.00 53.73 0 0 192 250 2007-04-11 $34.99 $30.00 26.2% 8.4% 21.8% 0.0% 28.9% 2.8% 0.1% -817 -147.6K -2.3K 0.48 71.14 21 10 192 250 2007-04-12 $35.19 $35.00 29.2% 8.4% 21.6% 0.0% 0.0% 3.3% -0.7% -1.6K -160.4K -2.4K 0.00 70.36 10 0 204 260 2007-04-13 $35.58 $35.00 29.7% 8.5% 20.3% 0.0% 0.0% 2.1% -0.7% -758 -224.8K -2.4K 0.00 61.79 30 0 214 260 2007-04-16 $36.10 $35.00 30.4% 8.7% 20.8% 0.0% 0.0% 2.1% -1.5% 1.3K -350.7K -2.5K 0.00 72.88 15 0 244 260 2007-04-17 $36.62 $35.00 27.9% 8.0% 21.2% 0.0% 24.2% -0.8% 4.7% 979 -464.9K -2.4K 0.00 71.09 22 0 258 260 2007-04-18 $36.35 $35.00 29.0% 8.3% 19.3% 0.0% 0.0% -0.5% 1.8% 801 -411.9K -2.4K 0.00 68.31 3 0 246 260 2007-04-19 $36.52 $35.00 29.1% 8.3% 19.4% 0.0% 0.0% 0.1% 1.9% -426 -428.5K -2.3K 0.25 74.85 4 1 246 260 2007-04-20 $36.41 $35.00 29.6% 8.5% 19.1% 0.0% 0.0% -1.4% 0.2% -882 -395.3K -2.3K 0.00 73.81 0 0 244 261 2007-04-23 $36.75 $35.00 25.9% 7.4% 17.9% 0.0% 19.0% 0.9% 9.9% -3.0K -384.8K -2.2K 0.00 77.40 10 0 227 261 2007-04-24 $33.91 $35.00 28.1% 8.1% 33.3% 0.0% 28.2% 7.2% -0.2% 2.4K -41.2K -2.3K 0.72 81.62 47 34 231 261 2007-04-25 $33.58 $35.00 27.7% 8.0% 33.2% 0.0% 0.0% 4.8% -0.3% 5.4K -66.5K -2.5K 0.00 88.43 56 0 260 257 2007-04-26 $34.18 $35.00 27.3% 7.8% 32.9% 0.0% 0.0% 0.6% -0.7% 11.3K -202.4K -2.7K 0.00 61.88 20 0 303 257 2007-04-27 $34.21 $35.00 26.2% 7.5% 33.0% 0.0% 0.0% -0.3% 0.7% 12.2K -289.1K -2.8K 0.00 84.88 10 0 323 257 2007-04-30 $33.81 $35.00 27.4% 7.8% 33.1% 0.0% 0.0% 3.1% -0.3% 14.0K -204.6K -2.8K 0.00 91.70 0 3 333 257
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