LII Options History — December 2007

In December 2007, LII traded between $32.88 and $41.50. ATM implied volatility averaged 40.2%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 2.6% (HV 20d: 42.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.16.

Notable Days

2007-12-20: Highest Volume — 568 contracts
2007-12-11: Largest IV spike — 17.5% change
2007-12-31: Highest IV Rank — 33.6%
2007-12-31: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.82	$32.88	$41.50	$32.88	$41.42
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	40.2%	36.2%	46.9%	36.2%	46.9%
Expected Move	11.4%	10.4%	13.5%	10.4%	13.5%
HV 20d	42.8%	37.6%	46.5%	44.6%	37.7%
HV 60d	39.3%	37.3%	41.1%	37.3%	41.1%
IV Rank	25.8%	21.1%	33.6%	21.1%	33.6%
IV Percentile	77.5%	63.0%	93.2%	63.2%	93.2%
Term Structure	0.2%	-2.7%	2.2%	1.6%	0.1%
VWIV	42.8%	34.8%	53.9%	53.9%	46.4%
Skew 25d	4.2%	3.7%	4.8%	4.8%	4.0%
Skew 10d	4.3%	2.7%	5.6%	5.6%	4.6%
Call IV 25d	38.9%	38.5%	39.1%	38.5%	39.1%
Put IV 25d	43.1%	42.8%	43.4%	43.4%	43.1%
Bid-Ask Spread %	44.31	18.94	73.63	43.34	73.63
Gamma HHI	0.65	0.37	0.97	0.37	0.91
Net GEX	61.7K	13.0K	212.8K	13.0K	79.7K
Net DEX	-1.0M	-2.9M	154.1K	154.1K	-2.3M
Net VEX	-3.5K	-5.3K	-2.5K	-2.5K	-4.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.00	1.00	0.00	0.00
Total Volume	90.95	0	568	10	8
Total OI	1,186.4	996	1,979	1,023	1,095

Daily Data (20 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
2007-12-03	$32.88	$35.00	36.2%	10.4%	44.6%	21.1%	0.0%	0.0%	1.6%	13.0K	154.1K	-2.5K	0.00	43.34	0	10	742	281
2007-12-04	$33.76	$35.00	37.5%	10.8%	45.8%	22.7%	53.9%	0.0%	1.1%	20.0K	14.2K	-2.9K	0.00	58.82	40	0	742	291
2007-12-05	$33.88	$35.00	37.4%	10.7%	45.0%	22.5%	0.0%	0.0%	1.1%	20.7K	3.3K	-2.8K	0.00	53.62	0	0	769	291
2007-12-06	$35.06	$35.00	37.4%	10.7%	44.3%	22.5%	0.0%	0.0%	-0.4%	32.7K	-242.2K	-3.1K	0.00	51.47	10	0	769	291
2007-12-07	$35.39	$35.00	36.5%	10.7%	43.3%	21.4%	0.0%	0.0%	1.0%	36.5K	-338.3K	-3.0K	0.00	31.32	0	0	769	291
2007-12-10	$36.31	$35.00	38.1%	10.8%	44.2%	23.4%	0.0%	0.0%	0.9%	50.3K	-588.4K	-2.9K	0.00	38.80	20	0	769	291
2007-12-11	$34.82	$35.00	44.8%	11.0%	46.5%	31.1%	0.0%	0.0%	-0.0%	32.7K	-235.4K	-3.0K	0.38	37.91	113	43	789	291
2007-12-12	$34.93	$35.00	42.2%	10.8%	45.1%	28.0%	34.8%	0.0%	0.8%	37.5K	-272.1K	-3.1K	0.00	32.78	2	0	874	333
2007-12-13	$35.48	$35.00	38.1%	10.9%	45.4%	23.3%	0.0%	0.0%	-0.0%	41.3K	-429.1K	-3.0K	0.02	37.31	42	1	876	333
2007-12-14	$34.72	$35.00	37.6%	10.8%	45.7%	22.7%	0.0%	0.0%	1.3%	41.9K	-248.4K	-2.9K	0.00	34.56	337	0	901	333
2007-12-17	$35.60	$35.00	39.3%	11.3%	45.9%	24.7%	39.1%	0.0%	-0.8%	60.1K	-686.9K	-2.8K	0.31	46.42	113	35	947	333
2007-12-18	$36.40	$35.00	38.1%	10.9%	46.4%	23.3%	38.1%	0.0%	0.7%	64.8K	-1.3M	-3.0K	0.05	49.99	40	2	1,044	345
2007-12-19	$36.57	$35.00	38.0%	10.9%	41.6%	23.2%	0.0%	0.0%	2.2%	62.7K	-1.4M	-3.0K	1.00	49.20	10	10	1,054	347
2007-12-20	$37.85	$35.00	39.2%	11.2%	41.0%	24.6%	39.8%	0.0%	-1.0%	98.6K	-1.9M	-3.0K	0.06	46.36	537	31	1,064	357
2007-12-21	$38.89	$35.00	39.6%	11.3%	40.3%	25.0%	39.5%	0.0%	0.2%	212.8K	-2.9M	-5.3K	0.05	18.94	205	11	1,591	388
2007-12-24	$39.70	$35.00	40.6%	11.6%	37.6%	26.2%	40.6%	0.0%	-0.5%	88.1K	-1.7M	-5.2K	0.20	29.39	10	2	823	203
2007-12-26	$41.50	$35.00	46.7%	13.4%	38.8%	33.3%	47.1%	0.0%	-1.2%	72.1K	-2.2M	-4.6K	0.16	30.74	87	14	791	205
2007-12-27	$40.26	$35.00	44.9%	12.9%	39.9%	31.2%	47.0%	4.8%	-2.7%	89.5K	-2.0M	-5.1K	0.06	60.84	18	1	868	217
2007-12-28	$41.01	$35.00	45.3%	13.0%	37.8%	31.7%	45.0%	3.7%	-0.2%	79.7K	-2.1M	-4.8K	0.43	60.70	47	20	813	217
2007-12-31	$41.42	$35.00	46.9%	13.5%	37.7%	33.6%	46.4%	4.0%	0.1%	79.7K	-2.3M	-4.8K	0.00	73.63	8	0	858	237