LII Options History — April 2008

In April 2008, LII traded between $32.30 and $38.04. ATM implied volatility averaged 43.1%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 5.5% (HV 20d: 37.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.04.

Notable Days

  • 2008-04-08: Highest Volume — 337 contracts
  • 2008-04-23: Largest IV drop — 22.7% change
  • 2008-04-22: Highest IV Rank — 60.6%
  • 2008-04-22: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.13$32.30$38.04$37.16$33.14
Max Pain$36.82$35.00$40.00$35.00$35.00
ATM IV43.1%35.5%55.4%43.6%38.2%
Expected Move12.7%10.7%15.9%12.5%11.0%
HV 20d37.6%29.2%41.5%40.9%29.2%
HV 60d37.9%36.2%41.8%41.8%36.8%
IV Rank39.5%26.5%60.6%40.4%31.2%
IV Percentile64.3%32.5%92.5%75.0%42.9%
Term Structure-1.2%-8.6%4.1%2.7%-0.8%
VWIV46.0%36.5%57.9%43.9%38.6%
Skew 25d4.5%0.7%6.0%5.4%0.7%
Skew 10d2.5%-6.5%10.4%0.5%-6.1%
Call IV 25d40.8%35.0%43.7%40.6%40.2%
Put IV 25d45.3%39.8%48.8%46.0%40.9%
Bid-Ask Spread %52.7328.5078.7276.8374.84
Gamma HHI0.460.370.530.470.43
Net GEX43.5K27.3K58.2K46.3K35.0K
Net DEX-870.8K-1.6M-254.3K-1.4M-340.6K
Net VEX-4.9K-6.3K-3.6K-5.8K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.0025.001.250.00
Total Volume50.50337076
Total OI1,011.9559131,1079131,107

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$37.16$35.0043.6%12.5%40.9%40.4%0.0%5.4%2.7%46.3K-1.4M-5.8K0.0076.8300784129
2008-04-02$38.04$35.0038.9%11.2%41.5%32.4%43.9%6.0%2.8%46.4K-1.6M-5.8K1.2573.461620784129
2008-04-03$38.04$35.0038.3%11.0%41.4%31.4%0.0%4.4%4.1%45.1K-1.5M-6.0K0.0078.7200775149
2008-04-04$37.82$40.0039.2%12.4%41.5%32.8%0.0%4.0%-0.9%45.0K-1.5M-5.9K0.0042.3803775149
2008-04-07$37.50$40.0039.2%13.4%40.8%32.9%0.0%5.1%-2.0%45.3K-1.4M-5.7K0.0044.1000775152
2008-04-08$37.18$40.0035.5%13.2%38.0%26.5%42.9%3.9%-1.7%46.3K-1.3M-5.7K0.0038.823370775152
2008-04-09$36.57$40.0042.5%13.3%37.5%38.6%0.0%3.9%-0.9%58.2K-1.4M-6.3K0.0037.1320927152
2008-04-10$36.03$40.0046.6%13.4%36.8%45.5%0.0%5.6%-2.1%51.5K-1.1M-5.6K0.0033.78110849152
2008-04-11$34.87$40.0044.4%12.7%38.6%41.8%0.0%4.6%0.5%46.1K-794.2K-5.1K0.0048.3300860152
2008-04-14$34.15$40.0047.0%13.5%38.6%46.2%46.8%4.4%-2.4%43.4K-679.0K-4.8K0.3841.7183860152
2008-04-15$33.76$40.0046.3%13.3%38.6%45.1%46.3%5.5%-1.7%42.2K-618.1K-4.6K0.0041.02120868153
2008-04-16$34.87$35.0046.3%13.3%38.5%45.1%46.3%5.6%-1.7%50.5K-801.2K-4.9K0.0043.77150880153
2008-04-17$34.61$35.0048.4%13.9%38.3%48.6%56.7%4.9%-3.1%50.9K-775.4K-4.9K25.0039.38250883153
2008-04-18$34.77$35.0050.8%14.6%38.4%52.8%57.9%5.1%-6.3%52.9K-811.8K-5.0K0.0028.50010885203
2008-04-21$34.84$35.0051.3%14.7%36.7%53.5%0.0%5.1%-5.8%44.9K-819.3K-5.0K0.0034.9203868208
2008-04-22$33.84$35.0055.4%15.9%35.3%60.6%56.3%5.2%-8.6%40.6K-651.2K-4.6K0.7246.992518868208
2008-04-23$32.30$35.0042.8%12.3%37.9%39.1%36.5%3.8%0.7%27.3K-254.3K-3.6K0.0668.6126615884223
2008-04-24$32.71$35.0039.2%11.2%37.0%32.9%39.7%4.6%-0.8%30.3K-308.0K-3.7K0.3065.91103826213
2008-04-25$33.23$35.0037.4%10.7%36.3%29.8%39.9%3.8%-0.1%31.6K-327.8K-3.6K0.3768.513011796216
2008-04-28$33.72$35.0038.0%10.9%33.5%30.8%0.0%5.8%0.4%38.2K-454.2K-3.8K0.0069.2000822216
2008-04-29$33.73$35.0038.0%10.9%30.8%30.9%0.0%1.6%1.3%38.2K-483.8K-3.7K0.5063.0511055792206
2008-04-30$33.14$35.0038.2%11.0%29.2%31.2%38.6%0.7%-0.8%35.0K-340.6K-3.9K0.0074.84760848259