LII Options History — May 2007

In May 2007, LII traded between $33.16 and $35.01. ATM implied volatility averaged 24.7%. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.3% (HV 20d: 28.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2007-05-24: Highest Volume — 80 contracts
  • 2007-05-09: Largest IV spike — 24.4% change
  • 2007-05-09: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.06$33.16$35.01$33.20$34.25
Max Pain$34.32$30.00$35.00$35.00$35.00
ATM IV24.7%20.4%27.4%21.1%24.9%
Expected Move7.3%6.1%7.9%6.1%7.1%
HV 20d28.0%15.3%33.9%33.3%15.3%
HV 60d28.7%26.2%36.5%36.5%26.2%
Term Structure1.1%-0.4%2.7%-0.4%0.5%
VWIV25.4%24.1%26.6%26.6%25.1%
Skew 25d-0.7%-5.9%5.0%1.8%-0.4%
Skew 10d-0.0%-6.5%8.9%5.1%-0.9%
Call IV 25d24.5%21.5%29.9%24.1%25.3%
Put IV 25d23.7%19.9%32.5%25.9%24.9%
Bid-Ask Spread %69.4917.64101.3898.3226.82
Gamma HHI0.670.520.900.520.88
Net GEX19.2K11.1K35.8K14.7K32.8K
Net DEX-264.0K-498.9K-102.4K-102.4K-352.2K
Net VEX-2.6K-2.9K-2.2K-2.6K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.002.270.000.00
Total Volume12.22708030
Total OI609.818533712587693

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$33.20$35.0021.1%6.1%33.3%0.0%0.0%1.8%-0.4%14.7K-102.4K-2.6K0.0098.3203333254
2007-05-02$33.68$35.0025.3%7.2%33.7%0.0%0.0%4.9%0.3%14.9K-179.6K-2.7K0.0091.3920333257
2007-05-03$33.89$35.0025.2%7.2%33.6%0.0%0.0%-3.5%1.2%15.0K-188.9K-2.7K0.0089.6500333257
2007-05-04$33.92$35.0020.4%7.5%33.6%0.0%0.0%-3.8%2.1%15.3K-188.1K-2.6K0.0093.5300333257
2007-05-07$33.79$35.0023.2%7.8%33.6%0.0%0.0%5.0%1.4%15.3K-171.9K-2.6K0.0092.2000333257
2007-05-08$34.13$35.0020.8%7.5%33.9%0.0%0.0%-2.8%2.0%16.5K-206.3K-2.6K0.0094.35100333257
2007-05-09$34.20$35.0025.9%7.9%33.4%0.0%0.0%-0.8%0.4%17.0K-273.1K-2.6K0.0095.5600343257
2007-05-10$33.92$35.0027.3%7.8%33.4%0.0%0.0%-2.3%0.5%16.8K-209.1K-2.5K0.00101.3800343257
2007-05-11$33.95$35.0027.4%7.9%33.1%0.0%0.0%-2.2%0.7%17.0K-207.2K-2.5K0.0075.3500343257
2007-05-14$33.75$35.0025.7%7.4%32.5%0.0%0.0%-3.8%1.9%16.1K-167.5K-2.4K0.0096.4700340257
2007-05-15$33.16$35.0026.4%7.6%32.2%0.0%26.6%-5.9%1.4%14.2K-108.1K-2.3K0.0099.1250340255
2007-05-16$33.57$35.0025.4%7.3%32.7%0.0%0.0%-4.2%2.7%16.7K-200.3K-2.3K0.0079.96100342231
2007-05-17$34.10$35.0026.0%7.5%33.3%0.0%26.0%2.6%2.1%23.0K-293.0K-2.4K0.0071.42060345231
2007-05-18$34.24$30.0026.3%7.6%33.5%0.0%0.0%-1.2%1.6%25.2K-352.2K-2.3K0.0092.5100345221
2007-05-21$34.42$30.0025.0%7.2%33.3%0.0%0.0%-0.0%0.8%15.4K-355.4K-2.2K2.2776.692250312221
2007-05-22$34.81$30.0025.0%7.2%17.1%0.0%24.9%0.6%0.5%12.2K-361.5K-2.6K0.0017.6406334271
2007-05-23$35.01$35.0024.1%6.9%16.6%0.0%24.1%1.7%1.3%11.1K-406.7K-2.6K0.0018.59210334277
2007-05-24$34.39$35.0025.1%7.2%17.0%0.0%25.1%-0.4%0.2%15.4K-336.0K-2.7K0.0032.63800355277
2007-05-25$34.67$35.0023.5%6.7%17.2%0.0%0.0%0.5%1.4%35.8K-498.9K-2.9K0.0029.0600435277
2007-05-29$34.21$35.0025.1%7.2%17.3%0.0%0.0%0.0%0.3%31.0K-361.9K-2.7K0.0027.5500416277
2007-05-30$34.07$35.0024.7%7.1%16.0%0.0%0.0%-1.4%0.7%30.5K-286.7K-2.6K0.0028.5900416277
2007-05-31$34.25$35.0024.9%7.1%15.3%0.0%0.0%-0.4%0.5%32.8K-352.2K-2.6K0.0026.8200416277