LII Options History — January 2008

In January 2008, LII traded between $33.09 and $40.55. ATM implied volatility averaged 54.5%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 8.9% (HV 20d: 45.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2008-01-08: Highest Volume — 293 contracts
2008-01-09: Largest IV spike — 23.1% change
2008-01-09: Highest IV Rank — 47.5%
2008-01-15: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.99	$33.09	$40.55	$40.55	$37.14
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	54.5%	46.2%	58.8%	47.0%	52.9%
Expected Move	15.6%	13.2%	16.8%	13.5%	15.2%
HV 20d	45.6%	36.7%	49.7%	36.7%	47.3%
HV 60d	43.4%	41.3%	45.1%	41.3%	43.7%
IV Rank	42.4%	32.7%	47.5%	33.7%	40.5%
IV Percentile	94.2%	89.7%	97.2%	93.2%	89.7%
Term Structure	-5.4%	-8.9%	0.1%	-0.4%	-2.5%
VWIV	54.4%	51.8%	58.6%	51.8%	52.8%
Skew 25d	4.4%	2.4%	6.5%	4.8%	2.4%
Skew 10d	4.7%	1.1%	7.7%	1.3%	3.1%
Call IV 25d	41.7%	38.8%	43.4%	39.3%	42.9%
Put IV 25d	46.2%	44.1%	47.8%	44.1%	45.3%
Bid-Ask Spread %	58.24	38.51	73.33	69.03	72.95
Gamma HHI	0.70	0.48	0.93	0.93	0.55
Net GEX	49.8K	10.1K	95.4K	87.7K	56.2K
Net DEX	-703.8K	-2.0M	101.3K	-2.0M	-1.1M
Net VEX	-4.4K	-5.3K	-3.4K	-4.9K	-4.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.00	7.00	0.29	0.71
Total Volume	41.571	0	293	45	24
Total OI	1,166.81	776	1,426	1,096	1,072

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
2008-01-02	$40.55	$35.00	47.0%	13.5%	36.7%	33.7%	51.8%	4.8%	-0.4%	87.7K	-2.0M	-4.9K	0.29	69.03	35	10	859	237
2008-01-03	$39.81	$35.00	46.2%	13.2%	37.6%	32.7%	52.9%	5.5%	0.1%	92.2K	-1.8M	-4.8K	0.00	68.96	4	0	864	247
2008-01-04	$38.16	$35.00	49.5%	13.2%	41.7%	36.6%	0.0%	5.4%	-2.8%	81.1K	-1.2M	-4.8K	0.00	52.35	17	0	865	247
2008-01-07	$38.98	$35.00	48.7%	13.3%	40.7%	35.6%	0.0%	5.1%	-3.1%	95.4K	-1.4M	-4.5K	0.68	49.87	22	15	859	247
2008-01-08	$36.37	$35.00	47.8%	14.4%	48.5%	34.6%	51.9%	6.5%	-3.1%	73.7K	-778.4K	-4.2K	0.07	48.60	275	18	871	262
2008-01-09	$36.59	$35.00	58.8%	16.8%	47.7%	47.5%	0.0%	4.0%	-8.8%	78.8K	-970.4K	-5.3K	0.10	40.72	21	2	1,106	267
2008-01-10	$35.97	$35.00	58.2%	16.7%	45.6%	46.7%	0.0%	5.4%	-8.9%	68.8K	-766.0K	-4.9K	0.00	42.38	0	20	1,106	267
2008-01-11	$34.84	$35.00	58.0%	16.6%	47.1%	46.5%	0.0%	4.5%	-8.7%	45.5K	-392.2K	-4.5K	0.00	47.18	0	4	1,106	287
2008-01-14	$35.43	$35.00	56.2%	16.1%	47.1%	44.4%	0.0%	4.5%	-5.7%	46.2K	-441.9K	-4.3K	0.00	38.51	10	0	1,106	291
2008-01-15	$34.82	$35.00	58.5%	16.8%	46.9%	47.1%	58.6%	4.3%	-8.9%	33.4K	-295.7K	-4.1K	1.71	49.99	7	12	1,106	291
2008-01-16	$35.07	$35.00	56.8%	16.3%	46.1%	45.1%	0.0%	4.5%	-7.2%	32.8K	-297.9K	-4.1K	0.00	51.75	0	12	1,113	301
2008-01-17	$33.09	$35.00	57.6%	16.5%	49.4%	46.0%	0.0%	4.2%	-7.7%	15.7K	101.3K	-3.5K	0.00	56.90	0	1	1,113	312
2008-01-18	$33.51	$35.00	56.5%	16.2%	49.7%	44.7%	0.0%	4.7%	-6.5%	18.8K	59.1K	-3.6K	7.00	54.97	2	14	1,113	313
2008-01-22	$33.48	$35.00	55.0%	15.8%	47.6%	43.0%	0.0%	5.9%	-5.9%	10.1K	-27.1K	-3.4K	2.50	66.37	2	5	504	275
2008-01-23	$34.83	$35.00	56.0%	16.1%	48.9%	44.2%	0.0%	3.9%	-5.8%	15.2K	-150.2K	-3.6K	0.01	67.08	200	2	506	270
2008-01-24	$34.77	$35.00	56.5%	16.2%	48.0%	44.7%	56.2%	2.9%	-5.7%	26.6K	-395.8K	-4.4K	0.00	67.31	26	0	675	270
2008-01-25	$35.69	$35.00	55.8%	16.0%	45.8%	43.9%	55.6%	3.4%	-6.0%	33.3K	-603.5K	-4.7K	0.00	73.33	101	0	697	270
2008-01-28	$35.14	$35.00	56.3%	16.1%	45.1%	44.5%	0.0%	3.3%	-6.0%	41.0K	-656.8K	-4.6K	0.00	65.28	8	0	798	270
2008-01-29	$35.81	$35.00	55.8%	16.0%	45.2%	43.9%	55.6%	3.8%	-5.9%	45.8K	-796.5K	-4.7K	0.00	66.46	4	0	798	270
2008-01-30	$35.74	$35.00	55.6%	15.9%	44.8%	43.7%	0.0%	3.9%	-3.8%	46.5K	-786.5K	-4.7K	0.00	73.09	0	0	802	270
2008-01-31	$37.14	$35.00	52.9%	15.2%	47.3%	40.5%	52.8%	2.4%	-2.5%	56.2K	-1.1M	-4.8K	0.71	72.95	14	10	802	270