LII Options History — May 2008

In May 2008, LII traded between $31.86 and $34.98. ATM implied volatility averaged 34.4%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.6% (HV 20d: 29.8%). 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 21 of 21 days. Put/call ratio averaged 1.91.

Notable Days

2008-05-14: Highest Volume — 147 contracts
2008-05-07: Largest IV spike — 30.6% change
2008-05-07: Highest IV Rank — 38.5%
2008-05-08: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.26	$31.86	$34.98	$33.59	$32.22
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	34.4%	27.2%	42.5%	38.6%	29.9%
Expected Move	10.5%	8.5%	11.9%	11.1%	8.6%
HV 20d	29.8%	26.2%	32.7%	30.0%	26.2%
HV 60d	34.3%	33.1%	36.3%	36.3%	33.2%
IV Rank	24.6%	12.2%	38.5%	31.8%	16.9%
IV Percentile	25.6%	13.1%	65.5%	44.8%	13.5%
Term Structure	2.6%	0.3%	16.3%	0.5%	16.3%
VWIV	36.5%	34.6%	38.7%	37.7%	35.2%
Skew 25d	3.5%	-3.1%	9.5%	4.1%	3.5%
Skew 10d	5.0%	-6.3%	13.3%	-0.1%	4.9%
Call IV 25d	35.3%	30.4%	40.9%	37.8%	31.6%
Put IV 25d	38.8%	35.1%	41.9%	41.9%	35.1%
Bid-Ask Spread %	74.52	62.50	89.71	82.70	82.86
Gamma HHI	0.59	0.39	0.82	0.43	0.82
Net GEX	43.5K	18.2K	86.0K	36.3K	35.4K
Net DEX	-310.2K	-923.7K	77.3K	-378.1K	77.3K
Net VEX	-3.0K	-3.9K	-1.8K	-3.9K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.00	11.25	0.07	0.00
Total Volume	21.667	0	147	30	50
Total OI	1,051.905	992	1,178	1,101	996

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
2008-05-01	$33.59	$35.00	38.6%	11.1%	30.0%	31.8%	37.7%	4.1%	0.5%	36.3K	-378.1K	-3.9K	0.07	82.70	28	2	842	259
2008-05-02	$33.64	$35.00	34.6%	9.9%	30.2%	24.9%	34.6%	3.2%	4.1%	31.8K	-304.8K	-3.7K	7.75	89.71	4	31	810	261
2008-05-05	$32.78	$35.00	33.2%	11.1%	31.0%	22.5%	0.0%	1.8%	0.9%	26.3K	-154.9K	-3.3K	0.00	66.91	0	0	810	262
2008-05-06	$32.67	$35.00	32.6%	11.1%	31.0%	21.5%	0.0%	8.6%	1.1%	27.1K	-165.2K	-3.2K	0.00	73.14	0	0	810	262
2008-05-07	$31.86	$35.00	42.5%	11.6%	31.5%	38.5%	38.5%	1.5%	0.9%	18.2K	8.7K	-2.8K	0.02	71.84	49	1	810	262
2008-05-08	$32.19	$35.00	35.2%	11.9%	31.9%	26.0%	0.0%	2.9%	0.3%	22.0K	-45.6K	-3.0K	0.00	73.64	0	0	839	262
2008-05-09	$32.62	$35.00	29.2%	10.7%	30.9%	15.8%	36.4%	6.5%	2.2%	26.2K	-99.6K	-3.0K	0.00	75.34	0	50	839	262
2008-05-12	$33.51	$35.00	27.2%	11.0%	31.9%	12.2%	0.0%	9.5%	1.1%	40.4K	-332.0K	-3.0K	0.00	75.09	2	0	839	218
2008-05-13	$34.27	$35.00	34.3%	11.0%	32.7%	24.4%	0.0%	5.3%	1.7%	50.7K	-549.3K	-3.2K	0.00	70.25	0	1	839	208
2008-05-14	$34.05	$35.00	32.3%	11.0%	30.6%	20.9%	38.7%	-3.1%	1.8%	51.2K	-538.5K	-3.2K	0.01	62.50	145	2	839	209
2008-05-15	$34.98	$35.00	36.5%	10.5%	32.0%	28.2%	36.5%	4.0%	3.5%	79.8K	-923.7K	-3.8K	11.25	73.40	4	45	941	207
2008-05-16	$34.77	$35.00	36.2%	10.4%	32.1%	27.6%	36.2%	3.6%	3.3%	86.0K	-836.6K	-3.8K	0.00	70.50	3	0	945	233
2008-05-19	$34.53	$35.00	36.2%	10.4%	32.2%	27.8%	0.0%	1.4%	1.8%	58.8K	-678.8K	-3.5K	0.00	77.86	0	0	818	175
2008-05-20	$33.93	$35.00	35.2%	10.1%	31.0%	26.0%	35.2%	5.9%	3.1%	51.9K	-435.4K	-3.1K	0.00	82.88	30	0	818	175
2008-05-21	$33.46	$35.00	35.6%	10.2%	26.3%	26.6%	0.0%	4.5%	2.1%	51.9K	-409.9K	-3.1K	0.00	82.80	2	0	837	175
2008-05-22	$32.68	$35.00	35.6%	10.2%	27.5%	26.7%	0.0%	2.8%	1.9%	45.1K	-240.8K	-2.7K	0.00	64.62	0	0	839	175
2008-05-23	$32.33	$35.00	38.1%	10.9%	27.1%	30.9%	0.0%	1.5%	1.4%	39.2K	-122.8K	-2.4K	0.00	65.88	0	0	839	175
2008-05-27	$32.71	$35.00	35.8%	10.3%	26.8%	27.0%	0.0%	3.5%	1.2%	41.6K	-135.8K	-2.3K	0.00	66.53	2	0	839	175
2008-05-28	$32.85	$35.00	34.2%	9.8%	26.9%	24.2%	0.0%	2.7%	2.9%	46.4K	-121.8K	-2.3K	0.00	76.39	0	0	819	175
2008-05-29	$32.73	$35.00	29.7%	8.5%	26.2%	16.6%	35.2%	-0.8%	2.3%	46.8K	-125.9K	-2.3K	0.00	80.09	0	4	819	173
2008-05-30	$32.22	$35.00	29.9%	8.6%	26.2%	16.9%	0.0%	3.5%	16.3%	35.4K	77.3K	-1.8K	0.00	82.86	0	50	819	177