LII Options History — October 2007

In October 2007, LII traded between $30.51 and $35.70. ATM implied volatility averaged 38.1%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 7.6% (HV 20d: 30.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.49.

Notable Days

  • 2007-10-18: Highest Volume — 282 contracts
  • 2007-10-11: Largest IV spike — 46.0% change
  • 2007-10-23: Highest IV Rank — 42.7%
  • 2007-10-23: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.83$30.51$35.70$35.09$35.70
Max Pain$30.87$30.00$35.00$35.00$30.00
ATM IV38.1%28.3%54.7%38.0%38.2%
Expected Move11.5%8.4%15.7%10.9%10.9%
HV 20d30.5%22.7%42.9%22.8%40.6%
HV 60d39.4%35.3%42.4%41.4%36.3%
IV Rank23.3%11.9%42.7%23.1%23.4%
IV Percentile77.5%53.6%96.6%77.0%74.6%
Term Structure-0.8%-9.5%11.0%3.4%-6.3%
VWIV41.5%30.4%53.7%38.0%38.0%
Bid-Ask Spread %47.8416.2284.4476.9075.46
Gamma HHI0.520.420.630.480.61
Net GEX50.0K2.9K115.3K49.3K43.3K
Net DEX-467.7K-890.1K133.5K-822.1K-586.0K
Net VEX-3.8K-5.1K-2.2K-4.9K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.002.250.300.17
Total Volume41.2170282100136
Total OI968.3917321,254919881

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$35.09$35.0038.0%10.9%22.8%23.1%38.0%0.0%3.4%49.3K-822.1K-4.9K0.3076.907723750169
2007-10-02$34.28$35.0030.4%8.7%24.1%14.3%30.4%0.0%10.0%58.6K-647.2K-4.8K0.7059.105035789181
2007-10-03$33.98$35.0029.1%8.4%23.8%12.9%0.0%0.0%11.0%63.8K-625.1K-4.7K0.0084.4401836192
2007-10-04$34.25$35.0029.9%8.6%23.8%13.8%0.0%0.0%10.3%66.2K-678.6K-4.9K0.0082.2400836192
2007-10-05$34.94$30.0029.6%11.6%24.7%13.4%0.0%0.0%-1.7%73.5K-890.1K-5.1K1.0024.4811836192
2007-10-08$34.98$30.0032.6%11.8%22.7%16.9%0.0%0.0%-1.9%74.9K-885.8K-4.9K0.0026.6200836192
2007-10-09$34.64$30.0029.5%11.7%23.0%13.3%0.0%0.0%-1.8%79.2K-794.4K-4.7K0.0030.93200836192
2007-10-10$34.29$30.0028.3%11.7%23.1%11.9%0.0%0.0%-0.8%85.7K-701.4K-4.5K0.0029.93010856192
2007-10-11$34.20$30.0041.3%11.8%22.8%27.0%0.0%0.0%-1.9%90.6K-542.9K-4.3K0.0037.03110856202
2007-10-12$34.46$30.0040.9%11.7%22.9%26.5%0.0%0.0%-0.7%92.4K-608.2K-4.3K0.0032.9500846202
2007-10-15$34.68$30.0041.0%11.7%22.8%26.6%0.0%0.0%-2.0%115.3K-701.1K-4.3K0.0035.4500846202
2007-10-16$32.95$30.0041.2%11.8%27.7%26.9%0.0%0.0%-2.2%39.1K-125.3K-3.3K0.0049.47100846202
2007-10-17$32.26$30.0044.3%12.7%28.4%30.6%0.0%0.0%-2.3%21.5K-8.1K-2.8K0.0046.1400836202
2007-10-18$30.60$30.0044.4%12.7%33.1%30.6%44.4%0.0%-2.7%5.0K116.9K-2.3K0.0527.8626913836191
2007-10-19$30.51$30.0043.9%12.6%32.9%30.1%43.9%0.0%-2.5%2.9K133.5K-2.2K0.1825.952851,060194
2007-10-22$31.83$30.0047.3%13.6%37.0%34.0%47.3%0.0%-4.4%17.9K-149.3K-2.5K1.0025.391010610122
2007-10-23$32.02$30.0054.7%15.7%37.1%42.7%53.7%0.0%-9.5%19.5K-211.0K-2.7K2.2516.224090620132
2007-10-24$33.74$30.0038.5%11.0%41.9%23.8%42.1%0.0%-3.6%23.2K-301.1K-3.1K0.6829.263423632205
2007-10-25$34.61$30.0037.7%10.8%42.9%22.9%0.0%0.0%-2.5%31.0K-426.1K-3.4K0.0064.88010634225
2007-10-26$34.51$30.0037.7%10.8%42.9%22.8%0.0%0.0%-2.7%29.8K-386.9K-3.5K0.0067.1210634235
2007-10-29$34.72$30.0038.5%11.0%40.7%23.7%0.0%0.0%-1.8%33.6K-460.1K-3.6K1.1076.431011634235
2007-10-30$34.81$30.0038.7%11.1%39.8%24.0%35.8%0.0%-2.4%33.6K-455.6K-3.6K0.0075.96190638238
2007-10-31$35.70$30.0038.2%10.9%40.6%23.4%38.0%0.0%-6.3%43.3K-586.0K-3.6K0.1775.4611620643238