LII Options History — September 2007

In September 2007, LII traded between $32.80 and $35.73. ATM implied volatility averaged 38.9%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 11.5% (HV 20d: 27.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.45.

Notable Days

2007-09-21: Highest Volume — 179 contracts
2007-09-13: Largest IV spike — 13.9% change
2007-09-04: Highest IV Rank — 27.9%
2007-09-04: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.92	$32.80	$35.73	$35.73	$33.80
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	38.9%	36.0%	42.0%	42.0%	37.4%
Expected Move	11.3%	10.7%	12.0%	12.0%	10.7%
HV 20d	27.3%	20.0%	43.4%	43.4%	20.0%
HV 60d	41.9%	40.7%	44.3%	43.9%	40.7%
IV Rank	24.2%	20.9%	27.9%	27.9%	22.5%
IV Percentile	80.7%	74.6%	89.9%	89.9%	75.3%
Term Structure	2.2%	0.3%	4.7%	0.3%	4.2%
VWIV	38.3%	22.5%	42.1%	42.1%	38.7%
Bid-Ask Spread %	47.90	23.94	80.93	80.93	68.32
Gamma HHI	0.47	0.41	0.69	0.69	0.46
Net GEX	24.1K	5.5K	42.2K	5.9K	42.2K
Net DEX	-166.6K	-586.7K	248.7K	-320.5K	-561.3K
Net VEX	-3.7K	-4.8K	-2.9K	-2.9K	-4.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.00	2.03	0.00	0.00
Total Volume	57.053	0	179	40	0
Total OI	820.158	588	1,095	588	919

Daily Data (19 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
2007-09-04	$35.73	$35.00	42.0%	12.0%	43.4%	27.9%	42.1%	0.0%	0.3%	5.9K	-320.5K	-2.9K	0.00	80.93	40	0	329	259
2007-09-05	$35.22	$35.00	38.1%	10.9%	43.0%	23.3%	38.1%	0.0%	2.9%	5.5K	-221.9K	-3.0K	0.38	42.18	53	20	339	259
2007-09-06	$34.90	$35.00	37.6%	10.8%	41.4%	22.7%	0.0%	0.0%	1.2%	9.9K	-206.2K	-3.2K	0.00	45.02	89	0	381	261
2007-09-07	$34.59	$35.00	36.9%	11.3%	36.7%	21.9%	22.5%	0.0%	1.7%	15.2K	-244.3K	-3.7K	0.00	23.94	0	20	453	261
2007-09-10	$33.71	$35.00	36.3%	11.0%	28.6%	21.2%	38.4%	0.0%	2.6%	13.3K	15.7K	-3.3K	0.13	31.29	30	4	453	279
2007-09-11	$33.55	$35.00	36.0%	11.0%	27.9%	20.9%	0.0%	0.0%	3.0%	16.3K	18.2K	-3.4K	0.00	31.16	6	0	483	279
2007-09-12	$33.25	$35.00	36.6%	11.9%	26.8%	21.6%	41.8%	0.0%	0.5%	15.5K	96.1K	-3.2K	0.40	30.15	50	20	487	279
2007-09-13	$32.98	$35.00	41.8%	12.0%	25.3%	27.6%	0.0%	0.0%	0.8%	18.0K	126.2K	-3.1K	1.50	36.49	10	15	527	284
2007-09-14	$32.94	$35.00	41.8%	12.0%	25.3%	27.6%	0.0%	0.0%	0.3%	17.0K	248.7K	-2.9K	0.00	47.04	101	0	527	289
2007-09-17	$32.80	$35.00	41.0%	11.8%	23.5%	26.7%	41.3%	0.0%	0.7%	22.1K	120.6K	-3.4K	0.00	49.43	20	0	622	289
2007-09-18	$33.78	$35.00	40.7%	11.7%	25.5%	26.3%	0.0%	0.0%	1.4%	26.7K	-38.3K	-3.6K	0.00	40.04	0	0	612	289
2007-09-19	$33.99	$35.00	40.4%	11.6%	22.2%	26.0%	40.4%	0.0%	2.0%	28.1K	39.3K	-3.6K	0.00	42.55	147	0	612	289
2007-09-20	$34.35	$35.00	39.6%	11.3%	22.6%	25.0%	39.6%	0.0%	2.5%	40.6K	-283.5K	-4.5K	1.07	44.50	30	32	744	289
2007-09-21	$33.83	$35.00	40.6%	11.6%	22.6%	26.2%	36.8%	0.0%	1.7%	33.5K	-7.9K	-4.3K	2.03	53.16	59	120	774	321
2007-09-24	$33.70	$35.00	38.4%	11.0%	22.6%	23.7%	41.4%	0.0%	3.1%	32.0K	-392.8K	-4.1K	1.20	46.61	25	30	606	163
2007-09-25	$33.70	$35.00	38.0%	10.9%	20.7%	23.2%	38.7%	0.0%	4.2%	33.7K	-415.8K	-4.0K	0.02	60.94	153	3	626	168
2007-09-26	$33.80	$35.00	37.9%	10.9%	20.7%	23.1%	0.0%	0.0%	4.3%	40.4K	-552.0K	-4.8K	0.00	69.87	7	0	743	169
2007-09-27	$33.88	$35.00	37.2%	10.7%	20.2%	22.3%	0.0%	0.0%	4.7%	42.2K	-586.7K	-4.8K	0.00	66.45	0	0	750	169
2007-09-28	$33.80	$35.00	37.4%	10.7%	20.0%	22.5%	0.0%	0.0%	4.2%	42.2K	-561.3K	-4.6K	0.00	68.32	0	0	750	169