LII Options History — August 2007

In August 2007, LII traded between $31.55 and $37.39. ATM implied volatility averaged 46.3%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 8.5% (HV 20d: 54.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 2.46.

Notable Days

  • 2007-08-17: Highest Volume — 371 contracts
  • 2007-08-15: Largest IV drop — 20.1% change
  • 2007-08-14: Highest IV Rank — 52.7%
  • 2007-08-17: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.57$31.55$37.39$37.18$35.97
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV46.3%34.1%63.3%34.1%40.8%
Expected Move12.7%9.8%15.2%9.8%11.7%
HV 20d54.8%43.6%64.9%49.6%43.6%
HV 60d42.7%37.3%44.9%37.4%43.8%
IV Rank32.9%18.7%52.7%18.7%26.5%
IV Percentile92.2%85.5%97.4%89.7%85.6%
Term Structure-2.7%-9.8%7.0%7.0%1.2%
VWIV45.3%38.3%54.9%39.4%40.7%
Bid-Ask Spread %73.5160.9789.6777.8383.22
Gamma HHI0.630.430.820.630.70
Net GEX-19.3K-43.4K6.0K-24.8K6.0K
Net DEX319.9K-451.7K1.3M-395.6K-322.1K
Net VEX-3.1K-4.0K-2.4K-3.7K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.0015.830.001.00
Total Volume50.609037120
Total OI801.9574721,074984588

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$37.18$35.0034.1%9.8%49.6%18.7%39.4%0.0%7.0%-24.8K-395.6K-3.7K0.0077.8320376608
2007-08-02$37.39$35.0038.2%10.9%49.6%23.4%0.0%0.0%-1.6%-24.5K-451.7K-3.6K0.0067.8504378608
2007-08-03$35.43$35.0038.6%11.1%53.8%23.9%54.1%0.0%-4.1%-38.7K204.5K-4.0K0.0081.71300378604
2007-08-06$35.00$35.0041.9%11.0%53.8%27.8%38.3%0.0%-4.1%-39.8K343.9K-3.8K0.0067.16022403604
2007-08-07$34.27$35.0041.9%11.1%53.7%27.7%38.6%0.0%-3.5%-41.8K637.3K-3.7K3.5065.131035403616
2007-08-08$33.18$35.0046.9%11.3%55.0%33.5%39.8%0.0%-4.6%-32.4K892.1K-3.3K1.0061.482929403605
2007-08-09$31.55$35.0053.0%14.2%57.4%40.7%47.5%0.0%-6.8%-19.4K1.3M-2.6K1.8365.304684406624
2007-08-10$33.88$35.0060.0%14.7%63.1%48.8%54.1%0.0%-8.5%-28.3K598.0K-3.5K0.3667.98145408607
2007-08-13$34.42$35.0059.5%14.8%63.3%48.3%52.3%0.0%-8.2%-39.8K451.4K-3.3K15.8363.40695396610
2007-08-14$33.61$35.0063.3%14.4%63.8%52.7%49.7%0.0%-6.0%-43.4K860.4K-3.4K0.0060.9770397677
2007-08-15$32.75$35.0050.5%15.0%64.2%37.8%54.9%0.0%-7.4%-31.0K1.3M-2.9K1.2062.1256396677
2007-08-16$32.71$35.0052.1%14.9%64.0%39.6%51.3%0.0%-8.0%-28.8K1.3M-2.8K3.5074.332070401671
2007-08-17$33.56$35.0053.0%15.2%64.4%40.7%0.0%0.0%-9.8%-41.1K964.2K-2.9K11.3776.3330341417625
2007-08-20$33.99$35.0051.4%14.7%64.5%38.8%0.0%0.0%-4.8%-6.6K149.8K-2.5K0.0074.1500201284
2007-08-21$35.17$35.0051.7%14.8%64.9%39.1%0.0%0.0%-6.4%-6.5K40.6K-2.5K0.0064.7500201284
2007-08-22$35.01$35.0042.0%12.1%47.4%27.9%41.6%0.0%1.9%-8.0K42.2K-2.5K0.7475.302720201284
2007-08-23$34.50$35.0041.3%11.8%47.6%27.0%41.3%0.0%2.4%-7.2K102.1K-2.4K0.5082.084020198274
2007-08-24$34.53$35.0039.7%11.4%47.5%25.2%39.7%0.0%2.2%-29316.2K-2.4K3.5077.141035238254
2007-08-27$35.35$35.0041.7%12.0%48.0%27.6%41.7%0.0%-0.2%1.4K-129.7K-2.6K0.0089.56210248254
2007-08-28$35.12$35.0041.0%11.8%47.5%26.7%0.0%0.0%4.6%2.6K-147.4K-2.6K0.0089.67410268254
2007-08-29$35.50$35.0041.6%11.9%46.8%27.4%0.0%0.0%1.1%4.4K-226.3K-2.9K0.0082.99200299254
2007-08-30$35.14$35.0040.7%11.7%46.8%26.4%40.7%0.0%1.6%5.0K-195.3K-3.0K1.0080.362020309254
2007-08-31$35.97$35.0040.8%11.7%43.6%26.5%0.0%0.0%1.2%6.0K-322.1K-3.1K0.0083.2200329259