LII Options History — July 2007

In July 2007, LII traded between $32.74 and $38.30. ATM implied volatility averaged 32.7%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 2.1% (HV 20d: 34.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.51.

Notable Days

2007-07-13: Highest Volume — 391 contracts
2007-07-12: Largest IV spike — 48.8% change
2007-07-20: Highest IV Rank — 29.4%
2007-07-20: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.71	$32.74	$38.30	$34.30	$38.30
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	32.7%	20.0%	43.4%	25.9%	35.3%
Expected Move	9.7%	7.3%	12.4%	7.4%	10.1%
HV 20d	34.8%	20.6%	48.6%	39.3%	48.2%
HV 60d	31.6%	26.6%	36.9%	30.9%	36.8%
IV Rank	17.8%	2.2%	29.4%	8.6%	20.0%
IV Percentile	73.5%	0.8%	97.1%	42.1%	91.0%
Term Structure	-2.7%	-9.1%	4.4%	3.1%	-6.0%
VWIV	35.6%	28.1%	42.0%	29.5%	36.1%
Bid-Ask Spread %	86.11	71.33	100.57	88.99	80.76
Gamma HHI	0.81	0.58	0.90	0.87	0.58
Net GEX	-4.6K	-31.2K	21.6K	19.4K	-16.9K
Net DEX	12.4K	-692.3K	788.7K	-228.5K	-692.3K
Net VEX	-3.4K	-4.2K	-2.4K	-3.0K	-3.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.51	0.00	17.62	0.00	0.00
Total Volume	38.667	0	391	0	12
Total OI	767.143	547	972	547	972

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
2007-07-02	$34.30	$35.00	25.9%	7.4%	39.3%	0.0%	0.0%	0.0%	3.1%	19.4K	-228.5K	-3.0K	0.00	88.99	0	0	359	188
2007-07-03	$34.01	$35.00	25.4%	7.3%	38.5%	0.0%	0.0%	0.0%	3.3%	19.5K	-212.1K	-2.9K	0.00	90.43	0	1	359	188
2007-07-05	$34.20	$35.00	25.5%	7.3%	35.8%	8.6%	0.0%	0.0%	4.4%	18.9K	-207.2K	-2.8K	0.00	87.90	0	1	359	189
2007-07-06	$34.25	$35.00	23.8%	8.5%	34.2%	6.6%	29.5%	0.0%	-1.6%	19.4K	-239.2K	-2.8K	0.00	81.34	10	0	359	188
2007-07-09	$33.92	$35.00	24.6%	8.3%	34.5%	7.6%	0.0%	0.0%	-1.2%	21.4K	-170.3K	-2.7K	0.00	81.85	0	0	369	188
2007-07-10	$33.11	$35.00	20.8%	8.3%	35.6%	3.2%	0.0%	0.0%	-1.3%	19.8K	10.6K	-2.4K	0.00	100.57	0	0	369	188
2007-07-11	$33.08	$35.00	20.0%	8.0%	35.3%	2.2%	28.1%	0.0%	-0.4%	21.6K	8.5K	-2.4K	0.00	93.62	3	0	369	188
2007-07-12	$33.67	$35.00	29.8%	8.5%	35.7%	13.7%	0.0%	0.0%	-0.8%	20.9K	-80.3K	-2.5K	0.25	80.40	40	10	369	188
2007-07-13	$33.97	$35.00	36.5%	10.5%	35.6%	21.5%	36.6%	0.0%	-4.3%	15.9K	-140.3K	-2.6K	17.62	78.22	21	370	359	196
2007-07-16	$34.22	$35.00	38.9%	11.1%	35.6%	24.2%	0.0%	0.0%	-6.4%	-21.6K	455.8K	-4.2K	0.00	82.00	10	0	380	538
2007-07-17	$34.57	$35.00	38.9%	11.1%	20.6%	24.2%	38.9%	0.0%	-5.9%	-21.1K	287.0K	-4.2K	7.50	76.90	4	30	384	538
2007-07-18	$34.10	$35.00	37.7%	10.8%	21.1%	22.8%	37.7%	0.0%	-3.4%	-23.5K	578.1K	-4.2K	0.00	80.57	0	10	380	568
2007-07-19	$34.50	$35.00	39.4%	11.3%	21.4%	24.8%	0.0%	0.0%	-5.6%	-26.2K	459.9K	-4.2K	0.00	86.46	0	3	380	568
2007-07-20	$33.80	$35.00	43.4%	12.4%	22.1%	29.4%	0.0%	0.0%	-8.5%	-21.3K	670.6K	-4.0K	0.00	85.16	0	24	380	570
2007-07-23	$33.47	$35.00	42.8%	12.3%	22.0%	28.7%	0.0%	0.0%	-9.1%	-19.6K	594.8K	-3.8K	0.00	87.40	0	12	340	519
2007-07-24	$32.74	$35.00	42.0%	12.0%	22.1%	27.9%	42.0%	0.0%	-7.0%	-18.3K	788.7K	-3.5K	0.38	71.33	80	30	340	529
2007-07-25	$37.00	$35.00	37.3%	10.7%	48.6%	22.4%	37.8%	0.0%	-4.2%	-23.9K	-283.4K	-3.8K	1.84	87.51	32	59	325	559
2007-07-26	$37.00	$35.00	32.2%	9.2%	47.9%	16.5%	0.0%	0.0%	1.7%	-31.2K	-336.9K	-3.9K	0.00	95.31	20	0	330	608
2007-07-27	$37.09	$35.00	33.3%	9.5%	47.9%	17.7%	33.4%	0.0%	0.5%	-27.9K	-422.2K	-3.8K	0.00	91.31	30	0	350	608
2007-07-30	$37.70	$35.00	32.6%	9.4%	48.1%	16.9%	0.0%	0.0%	-4.1%	-22.3K	-581.7K	-3.5K	0.00	100.32	0	0	364	608
2007-07-31	$38.30	$35.00	35.3%	10.1%	48.2%	20.0%	36.1%	0.0%	-6.0%	-16.9K	-692.3K	-3.3K	0.00	80.76	12	0	364	608