LII Options History — November 2007

In November 2007, LII traded between $32.17 and $35.98. ATM implied volatility averaged 39.4%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 2.1% (HV 20d: 41.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2007-11-08: Highest Volume — 88 contracts
2007-11-13: Largest IV drop — 24.3% change
2007-11-12: Highest IV Rank — 41.2%
2007-11-26: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.38	$32.17	$35.98	$34.77	$33.84
Max Pain	$34.52	$30.00	$35.00	$30.00	$35.00
ATM IV	39.4%	34.9%	53.5%	38.3%	37.5%
Expected Move	10.5%	9.4%	11.8%	11.0%	10.8%
HV 20d	41.5%	35.4%	45.6%	41.8%	43.5%
HV 60d	33.6%	31.3%	36.9%	36.1%	36.8%
IV Rank	24.8%	19.6%	41.2%	23.5%	22.6%
IV Percentile	74.4%	62.6%	96.3%	75.2%	68.3%
Term Structure	1.1%	-2.2%	4.6%	-2.2%	1.5%
VWIV	36.4%	32.2%	39.9%	35.8%	39.7%
Bid-Ask Spread %	46.92	18.71	80.18	75.36	66.02
Gamma HHI	0.48	0.39	0.77	0.42	0.43
Net GEX	53.9K	14.1K	270.7K	51.9K	21.2K
Net DEX	-391.9K	-1.2M	136.4K	-605.8K	-8.9K
Net VEX	-3.5K	-4.1K	-2.6K	-3.7K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.00	5.00	5.00	0.00
Total Volume	33.333	0	88	60	0
Total OI	1,071.714	969	1,256	1,000	1,023

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
2007-11-01	$34.77	$30.00	38.3%	11.0%	41.8%	23.5%	0.0%	0.0%	-2.2%	51.9K	-605.8K	-3.7K	5.00	75.36	10	50	752	248
2007-11-02	$34.82	$30.00	36.0%	10.3%	41.2%	20.9%	35.8%	0.0%	0.3%	53.2K	-568.5K	-4.1K	0.31	54.78	65	20	752	288
2007-11-05	$34.72	$35.00	37.9%	10.5%	41.2%	23.1%	37.0%	0.0%	-0.3%	58.2K	-585.7K	-4.0K	0.20	45.79	5	1	791	308
2007-11-06	$35.48	$35.00	38.2%	10.4%	41.7%	23.4%	0.0%	0.0%	0.0%	64.9K	-740.4K	-4.0K	0.00	38.14	0	17	791	309
2007-11-07	$34.05	$35.00	40.3%	10.0%	44.2%	25.8%	34.8%	0.0%	1.0%	49.6K	-368.0K	-3.6K	2.71	41.18	17	46	791	319
2007-11-08	$35.05	$35.00	45.5%	10.2%	45.4%	32.0%	0.0%	0.0%	1.9%	54.4K	-576.7K	-4.1K	0.13	40.75	78	10	791	348
2007-11-09	$35.05	$35.00	48.3%	11.0%	45.3%	35.2%	38.5%	0.0%	-0.9%	48.9K	-536.9K	-4.0K	0.00	39.67	38	0	758	341
2007-11-12	$34.57	$35.00	53.5%	10.4%	45.6%	41.2%	36.4%	0.0%	0.4%	50.4K	-423.6K	-3.6K	0.00	23.52	22	0	782	341
2007-11-13	$35.69	$35.00	40.5%	10.0%	42.7%	26.1%	34.7%	0.0%	2.1%	80.6K	-795.8K	-3.9K	1.00	41.49	20	20	803	341
2007-11-14	$35.49	$35.00	39.0%	9.4%	41.8%	24.3%	32.2%	0.0%	4.6%	84.8K	-800.3K	-3.9K	0.16	39.94	63	10	823	354
2007-11-15	$35.98	$35.00	35.8%	10.3%	35.9%	20.6%	35.8%	0.0%	0.8%	68.4K	-1.2M	-4.1K	3.25	42.63	4	13	875	364
2007-11-16	$35.14	$35.00	35.0%	10.0%	37.5%	19.7%	0.0%	0.0%	2.2%	270.7K	-819.5K	-3.9K	0.00	37.00	20	0	879	377
2007-11-19	$34.83	$35.00	34.9%	10.0%	35.4%	19.6%	34.9%	0.0%	2.5%	32.6K	-288.0K	-3.6K	1.43	47.10	7	10	702	267
2007-11-20	$33.04	$35.00	37.0%	10.6%	40.8%	22.1%	37.1%	0.0%	0.3%	18.2K	35.5K	-3.0K	1.17	51.60	30	35	707	267
2007-11-21	$32.17	$35.00	40.5%	11.6%	37.3%	26.1%	39.9%	0.0%	1.0%	15.0K	114.4K	-2.7K	0.00	19.86	6	0	727	253
2007-11-23	$33.37	$35.00	37.1%	10.6%	38.6%	22.1%	0.0%	0.0%	0.6%	22.3K	-32.1K	-3.0K	0.00	56.74	0	0	732	253
2007-11-26	$32.30	$35.00	41.0%	11.8%	40.1%	26.7%	39.7%	0.0%	1.6%	14.1K	136.4K	-2.6K	0.82	18.71	40	33	732	253
2007-11-27	$33.31	$35.00	37.1%	10.6%	41.8%	22.1%	0.0%	0.0%	1.8%	18.8K	54.2K	-3.0K	0.00	58.61	10	0	732	286
2007-11-28	$34.68	$35.00	36.1%	10.4%	44.4%	21.0%	0.0%	0.0%	2.2%	31.3K	-216.2K	-3.4K	0.00	80.18	0	0	742	281
2007-11-29	$33.73	$35.00	37.5%	10.7%	44.4%	22.6%	0.0%	0.0%	1.2%	22.6K	-38.4K	-3.1K	0.00	66.16	0	0	742	281
2007-11-30	$33.84	$35.00	37.5%	10.8%	43.5%	22.6%	0.0%	0.0%	1.5%	21.2K	-8.9K	-3.0K	0.00	66.02	0	0	742	281