LII Options History — February 2008 In February 2008, LII traded between $35.36 and $39.36. ATM implied volatility averaged 45.7%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 5.6% (HV 20d: 40.2%). 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 8 of 20 days. Put/call ratio averaged 0.13.
Notable Days 2008-02-13 : Highest Volume — 326 contracts2008-02-06 : Largest IV drop — 38.5% change2008-02-05 : Highest IV Rank — 70.2%2008-02-05 : Largest Expected Move — 15.7%Monthly Statistics Metric Avg Min Max Open Close Price $37.68 $35.36 $39.36 $36.83 $37.64 Max Pain $35.00 $35.00 $35.00 $35.00 $35.00 ATM IV 45.7% 34.0% 78.4% 53.1% 40.8% Expected Move 12.4% 11.2% 15.7% 15.2% 11.7% HV 20d 40.2% 35.4% 47.0% 47.0% 35.4% HV 60d 43.1% 40.5% 44.6% 43.7% 40.7% IV Rank 30.8% 16.6% 70.2% 40.8% 24.8% IV Percentile 75.2% 43.7% 98.4% 90.5% 67.9% Term Structure -1.0% -8.8% 1.3% -2.9% -0.3% VWIV 43.3% 39.7% 55.2% 55.2% 40.6% Skew 25d 2.8% 1.2% 4.1% 1.2% 2.8% Skew 10d 2.6% -4.5% 5.4% 3.3% 4.3% Call IV 25d 41.3% 40.1% 43.6% 42.7% 40.5% Put IV 25d 44.1% 43.2% 47.4% 43.9% 43.3% Bid-Ask Spread % 57.77 41.87 76.64 75.08 73.05 Gamma HHI 0.69 0.44 0.93 0.54 0.81 Net GEX 47.5K 27.1K 116.0K 54.8K 33.9K Net DEX -858.0K -1.5M -571.8K -988.7K -592.3K Net VEX -3.4K -4.6K -2.8K -4.6K -2.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.13 0.00 1.00 1.00 0.00 Total Volume 28 0 326 20 54 Total OI 936.75 704 1,227 1,068 745
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 2008-02-01 $36.83 $35.00 53.1% 15.2% 47.0% 40.8% 0.0% 1.2% -2.9% 54.8K -988.7K -4.6K 1.00 75.08 10 10 798 270 2008-02-04 $36.56 $35.00 61.0% 14.9% 44.8% 50.0% 0.0% 3.0% -6.8% 52.0K -903.6K -4.4K 0.00 41.87 0 3 798 270 2008-02-05 $35.36 $35.00 78.4% 15.7% 45.2% 70.2% 55.2% 3.9% -8.8% 41.2K -715.0K -4.3K 0.14 42.80 36 5 798 268 2008-02-06 $37.12 $35.00 48.2% 12.2% 42.2% 33.6% 0.0% 4.1% 1.3% 68.2K -1.0M -4.1K 0.40 44.27 10 4 834 273 2008-02-07 $36.50 $35.00 48.7% 12.1% 42.6% 34.2% 0.0% 3.1% 1.2% 60.3K -823.7K -4.0K 0.00 49.90 0 0 833 273 2008-02-08 $35.45 $35.00 49.6% 12.4% 43.5% 35.3% 0.0% 3.4% -1.2% 48.7K -571.8K -3.7K 0.00 56.29 0 0 833 273 2008-02-11 $36.41 $35.00 49.3% 12.3% 42.9% 34.9% 0.0% 3.1% 0.2% 55.6K -766.9K -3.5K 0.00 54.80 0 0 833 273 2008-02-12 $37.33 $35.00 34.0% 12.2% 43.3% 16.6% 42.0% 2.5% -0.0% 37.5K -941.7K -3.3K 0.00 52.19 2 0 833 273 2008-02-13 $37.53 $35.00 41.2% 12.0% 42.7% 25.2% 42.4% 2.3% -1.0% 41.9K -1.0M -3.3K 0.00 48.59 326 0 833 273 2008-02-14 $38.46 $35.00 42.8% 12.3% 43.3% 27.2% 42.9% 2.9% -1.2% 116.0K -1.5M -4.0K 0.03 50.10 34 1 954 273 2008-02-15 $38.25 $35.00 43.6% 12.5% 36.7% 28.1% 0.0% 2.5% -2.0% 62.4K -1.1M -3.4K 0.00 49.75 0 0 849 274 2008-02-19 $39.36 $35.00 43.0% 12.3% 37.5% 27.4% 0.0% 2.3% -0.5% 29.1K -844.6K -3.0K 0.00 54.01 4 0 445 259 2008-02-20 $38.52 $35.00 43.6% 12.5% 38.8% 28.0% 43.5% 2.0% -1.4% 27.1K -698.7K -3.1K 0.00 53.53 3 0 447 259 2008-02-21 $38.18 $35.00 39.9% 11.4% 37.2% 23.7% 39.7% 2.3% 0.4% 28.6K -630.7K -3.0K 0.00 63.98 40 0 447 259 2008-02-22 $38.25 $35.00 39.2% 11.2% 37.1% 22.9% 0.0% 3.1% 1.1% 33.7K -701.1K -3.0K 0.00 62.65 0 0 476 259 2008-02-25 $38.66 $35.00 39.2% 11.2% 36.4% 22.8% 0.0% 2.8% 1.3% 37.7K -773.1K -2.9K 0.00 65.41 3 0 476 259 2008-02-26 $39.14 $35.00 39.9% 11.4% 35.7% 23.6% 39.8% 2.4% -0.1% 39.3K -841.0K -2.9K 0.00 71.74 0 5 476 259 2008-02-27 $39.14 $35.00 39.8% 11.4% 35.4% 23.6% 0.0% 2.7% 0.0% 40.2K -867.9K -2.8K 0.00 68.83 10 0 476 259 2008-02-28 $38.87 $35.00 39.2% 11.2% 35.6% 22.9% 0.0% 3.4% 0.7% 41.3K -840.2K -2.8K 0.00 76.64 0 0 486 259 2008-02-29 $37.64 $35.00 40.8% 11.7% 35.4% 24.8% 40.6% 2.8% -0.3% 33.9K -592.3K -2.8K 0.00 73.05 54 0 486 259
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