LII Options History — June 2007

Name: LII Options Analytics - June 2007
Creator: Options Analysis Suite

In June 2007, LII traded between $31.76 and $34.94. ATM implied volatility averaged 25.6%. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 4.5% (HV 20d: 30.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.12.

Notable Days

2007-06-27: Highest Volume — 197 contracts
2007-06-06: Largest IV spike — 32.6% change
2007-06-14: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.37	$31.76	$34.94	$34.94	$34.23
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	25.6%	20.3%	34.5%	23.8%	24.9%
Expected Move	7.3%	5.7%	8.6%	6.8%	7.1%
HV 20d	30.2%	16.7%	40.0%	16.7%	39.3%
HV 60d	28.5%	25.8%	31.1%	26.5%	31.0%
Term Structure	2.6%	0.5%	5.0%	1.5%	5.0%
VWIV	24.9%	24.7%	25.2%	24.7%	25.2%
Skew 25d	5.1%	-3.2%	22.9%	1.8%	-0.9%
Skew 10d	6.9%	-3.8%	31.8%	3.0%	-3.2%
Call IV 25d	25.6%	23.9%	28.6%	24.1%	23.9%
Put IV 25d	30.7%	23.0%	48.7%	25.9%	23.0%
Bid-Ask Spread %	64.92	27.35	100.93	39.00	69.45
Gamma HHI	0.59	0.44	0.93	0.92	0.87
Net GEX	8.2K	-3.1K	41.8K	37.8K	18.2K
Net DEX	-73.1K	-542.7K	168.4K	-542.7K	-239.3K
Net VEX	-2.0K	-3.1K	-1.4K	-2.6K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.12	0.00	0.75	0.00	0.00
Total Volume	23.905	0	197	2	0
Total OI	519.619	290	700	693	547

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
2007-06-01	$34.94	$35.00	23.8%	6.8%	16.7%	0.0%	0.0%	1.8%	1.5%	37.8K	-542.7K	-2.6K	0.00	39.00	2	0	416	277
2007-06-04	$34.68	$35.00	23.8%	7.4%	17.0%	0.0%	0.0%	22.9%	1.7%	41.8K	-409.9K	-2.5K	0.00	80.61	0	5	418	277
2007-06-05	$33.89	$35.00	23.7%	7.1%	19.0%	0.0%	0.0%	-3.2%	2.4%	31.8K	-230.2K	-2.4K	0.00	60.31	30	0	418	282
2007-06-06	$32.63	$35.00	31.4%	5.7%	22.9%	0.0%	0.0%	0.0%	3.6%	17.0K	3.0K	-2.0K	0.75	56.46	8	6	390	282
2007-06-07	$31.79	$35.00	22.1%	7.5%	24.3%	0.0%	0.0%	0.0%	4.1%	3.8K	168.4K	-1.6K	0.15	59.72	66	10	390	276
2007-06-08	$31.78	$35.00	21.6%	8.0%	24.3%	0.0%	0.0%	-0.9%	1.4%	3.1K	32.5K	-1.5K	0.00	62.39	10	0	364	232
2007-06-11	$32.17	$35.00	28.5%	8.5%	24.9%	0.0%	0.0%	0.0%	0.6%	1.2K	-462	-1.6K	0.00	57.44	0	0	364	232
2007-06-12	$31.79	$35.00	27.7%	8.4%	25.0%	0.0%	0.0%	0.0%	1.0%	1.4K	33.2K	-1.5K	0.00	65.20	0	0	364	232
2007-06-13	$31.76	$35.00	34.5%	7.7%	24.4%	0.0%	0.0%	0.0%	3.7%	1.8K	32.8K	-1.4K	0.00	72.05	3	0	364	230
2007-06-14	$32.16	$35.00	30.0%	8.6%	24.5%	0.0%	0.0%	0.0%	0.5%	303	-7.1K	-1.5K	0.00	56.00	10	0	364	230
2007-06-15	$32.11	$35.00	26.4%	7.6%	23.6%	0.0%	0.0%	0.0%	4.3%	387	-21.6K	-1.6K	0.00	63.92	9	0	374	230
2007-06-18	$34.84	$35.00	24.7%	7.1%	38.2%	0.0%	24.7%	0.0%	2.2%	-3.1K	-91.1K	-1.8K	0.37	27.40	35	13	152	138
2007-06-19	$34.62	$35.00	25.0%	7.2%	38.2%	0.0%	25.0%	0.0%	1.8%	-1.5K	-88.7K	-1.9K	0.12	27.85	52	6	169	145
2007-06-20	$34.85	$35.00	24.7%	7.1%	38.1%	0.0%	0.0%	0.0%	2.6%	1.8K	-142.2K	-2.1K	0.00	27.35	0	18	193	151
2007-06-21	$34.38	$35.00	25.2%	7.2%	38.3%	0.0%	0.0%	0.0%	1.7%	709	-54.8K	-2.2K	0.00	88.03	0	9	193	169
2007-06-22	$34.00	$35.00	24.7%	7.1%	38.0%	0.0%	0.0%	0.0%	2.6%	-65	-3.2K	-2.2K	0.00	87.93	0	0	193	178
2007-06-25	$33.28	$35.00	25.3%	7.3%	38.5%	0.0%	0.0%	0.0%	1.9%	-96	75.8K	-2.1K	0.00	89.42	0	10	193	178
2007-06-26	$32.89	$35.00	20.3%	5.8%	38.5%	0.0%	0.0%	0.0%	2.9%	-1.2K	153.4K	-2.0K	0.00	100.93	0	0	193	188
2007-06-27	$33.83	$35.00	24.8%	7.1%	39.9%	0.0%	24.9%	0.0%	4.6%	-1.4K	55.5K	-2.2K	0.01	85.72	196	1	193	188
2007-06-28	$34.14	$35.00	25.2%	7.2%	40.0%	0.0%	25.2%	0.0%	4.3%	18.4K	-258.2K	-3.1K	0.00	86.08	3	0	357	188
2007-06-29	$34.23	$35.00	24.9%	7.1%	39.3%	0.0%	0.0%	0.0%	5.0%	18.2K	-239.3K	-3.0K	0.00	69.45	0	0	359	188