LII Options History — March 2008

In March 2008, LII traded between $33.49 and $37.67. ATM implied volatility averaged 44.8%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 9.1% (HV 20d: 35.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.43.

Notable Days

2008-03-10: Highest Volume — 619 contracts
2008-03-26: Largest IV spike — 10.5% change
2008-03-06: Highest IV Rank — 49.6%
2008-03-03: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.51	$33.49	$37.67	$36.04	$35.97
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	44.8%	39.0%	49.7%	49.7%	43.8%
Expected Move	12.7%	11.2%	14.2%	14.2%	12.5%
HV 20d	35.7%	32.0%	42.2%	38.6%	42.2%
HV 60d	40.8%	39.9%	41.4%	41.4%	41.3%
IV Rank	40.2%	32.5%	49.6%	35.4%	40.7%
IV Percentile	77.1%	54.8%	86.9%	86.9%	76.2%
Term Structure	-0.3%	-6.1%	2.4%	-1.2%	1.3%
VWIV	42.8%	25.6%	49.3%	47.2%	25.6%
Skew 25d	4.6%	2.3%	6.5%	2.3%	5.8%
Skew 10d	4.5%	-9.2%	8.7%	-9.2%	8.7%
Call IV 25d	40.8%	39.6%	42.2%	42.2%	40.9%
Put IV 25d	45.5%	44.1%	47.1%	44.6%	46.7%
Bid-Ask Spread %	68.18	58.15	79.70	71.41	79.70
Gamma HHI	0.49	0.43	0.70	0.70	0.47
Net GEX	13.8K	-32.2K	45.0K	22.6K	42.2K
Net DEX	-664.4K	-1.4M	362.7K	-333.5K	-1.1M
Net VEX	-4.6K	-6.1K	-2.0K	-2.6K	-5.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	1.73	1.73	0.00
Total Volume	59.15	0	619	284	35
Total OI	1,076.85	761	1,474	761	878

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
2008-03-03	$36.04	$35.00	49.7%	14.2%	38.6%	35.4%	47.2%	2.3%	-1.2%	22.6K	-333.5K	-2.6K	1.73	71.41	104	180	502	259
2008-03-04	$35.84	$35.00	48.9%	14.0%	38.6%	34.5%	49.3%	2.8%	-6.1%	3.1K	-94.9K	-2.8K	0.00	68.92	0	20	473	369
2008-03-05	$35.65	$35.00	48.1%	13.8%	36.7%	33.4%	0.0%	2.9%	-4.8%	-1.1K	-29.4K	-2.7K	0.00	70.80	0	0	473	389
2008-03-06	$35.52	$35.00	49.0%	14.0%	32.0%	49.6%	49.0%	3.5%	-5.5%	-2.2K	-8.6K	-2.6K	0.00	60.55	1	0	473	389
2008-03-07	$34.82	$35.00	47.1%	12.4%	32.2%	46.4%	0.0%	2.6%	0.5%	-9.1K	129.9K	-2.5K	0.00	58.15	0	20	473	389
2008-03-10	$33.49	$35.00	47.0%	12.7%	33.4%	46.3%	0.0%	5.7%	0.5%	-16.9K	362.7K	-2.0K	0.03	58.35	600	19	473	379
2008-03-11	$34.51	$35.00	45.8%	12.8%	33.8%	44.1%	0.0%	6.5%	0.0%	14.9K	-559.9K	-5.8K	0.00	59.59	1	0	1,025	388
2008-03-12	$35.50	$35.00	45.1%	12.7%	34.2%	43.0%	0.0%	5.1%	0.7%	23.3K	-874.7K	-6.1K	0.00	61.75	8	0	1,026	388
2008-03-13	$35.65	$35.00	43.2%	12.4%	34.2%	39.7%	43.1%	5.8%	1.9%	19.0K	-855.2K	-5.9K	1.33	62.12	30	40	1,026	388
2008-03-14	$34.89	$35.00	43.7%	12.5%	33.2%	40.5%	0.0%	0.0%	0.9%	-2.6K	-617.3K	-5.9K	0.00	61.02	0	0	1,046	428
2008-03-17	$34.58	$35.00	45.1%	12.9%	33.3%	42.9%	0.0%	5.8%	-1.1%	-8.6K	-510.4K	-5.5K	0.00	65.11	14	0	1,046	428
2008-03-18	$35.77	$35.00	43.5%	12.5%	34.0%	40.3%	0.0%	5.0%	-0.4%	13.3K	-967.8K	-5.6K	0.00	69.08	0	0	1,049	348
2008-03-19	$35.33	$35.00	42.5%	12.2%	33.6%	38.6%	0.0%	4.9%	1.1%	-3.6K	-927.8K	-5.4K	0.00	71.42	24	0	1,049	348
2008-03-20	$35.38	$35.00	42.9%	12.3%	33.6%	39.2%	0.0%	4.5%	-0.3%	-32.2K	-1.0M	-5.5K	0.00	76.70	0	10	1,071	348
2008-03-24	$36.43	$35.00	43.5%	12.5%	35.5%	40.2%	0.0%	4.8%	-0.2%	43.2K	-1.2M	-5.3K	0.00	72.08	0	0	727	104
2008-03-25	$37.67	$35.00	39.0%	11.2%	37.5%	32.5%	0.0%	0.0%	1.6%	44.6K	-1.4M	-5.4K	1.67	71.44	12	20	727	104
2008-03-26	$36.89	$35.00	43.0%	12.3%	37.8%	39.5%	0.0%	4.6%	1.5%	45.0K	-1.3M	-5.4K	0.00	70.39	0	0	739	94
2008-03-27	$35.65	$35.00	42.3%	12.1%	39.3%	38.1%	25.6%	5.7%	2.4%	42.6K	-1.1M	-5.2K	0.00	76.58	0	35	739	114
2008-03-28	$34.58	$35.00	43.1%	12.3%	40.4%	39.5%	0.0%	5.0%	0.9%	38.9K	-845.8K	-5.2K	0.00	78.54	10	0	739	129
2008-03-31	$35.97	$35.00	43.8%	12.5%	42.2%	40.7%	0.0%	5.8%	1.3%	42.2K	-1.1M	-5.4K	0.00	79.70	35	0	749	129