LII Options History — June 2008

In June 2008, LII traded between $28.96 and $32.95. ATM implied volatility averaged 38.0%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 13.9% (HV 20d: 24.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.94.

Notable Days

2008-06-20: Highest Volume — 124 contracts
2008-06-09: Largest IV spike — 16.5% change
2008-06-10: Highest IV Rank — 37.0%
2008-06-24: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.95	$28.96	$32.95	$32.60	$28.96
Max Pain	$30.95	$30.00	$35.00	$35.00	$30.00
ATM IV	38.0%	32.5%	41.6%	32.5%	38.4%
Expected Move	10.9%	9.3%	11.5%	9.3%	11.0%
HV 20d	24.1%	22.1%	26.6%	26.6%	22.1%
HV 60d	30.2%	26.2%	33.3%	33.3%	26.2%
IV Rank	30.7%	21.4%	37.0%	21.4%	31.4%
IV Percentile	37.9%	15.9%	61.1%	15.9%	39.3%
Term Structure	3.2%	-2.6%	5.7%	3.1%	5.5%
VWIV	38.6%	37.4%	39.9%	39.0%	37.8%
Skew 25d	3.4%	-4.9%	8.5%	3.6%	4.6%
Skew 10d	7.2%	-1.7%	16.6%	5.7%	10.1%
Call IV 25d	35.0%	28.7%	38.7%	33.5%	36.0%
Put IV 25d	38.4%	33.8%	42.5%	37.0%	40.6%
Bid-Ask Spread %	72.91	60.72	89.91	79.57	88.28
Gamma HHI	0.73	0.49	0.97	0.74	0.90
Net GEX	10.9K	-21.7K	46.4K	37.3K	17.5K
Net DEX	172.3K	-79.3K	368.5K	67.9K	32.0K
Net VEX	-1.4K	-2.3K	-942	-2.0K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.94	0.00	10.00	0.25	1.00
Total Volume	24	0	124	0	20
Total OI	883.143	310	1,119	1,040	497

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
2008-06-02	$32.60	$35.00	32.5%	9.3%	26.6%	21.4%	0.0%	3.6%	3.1%	37.3K	67.9K	-2.0K	0.00	79.57	0	0	819	221
2008-06-03	$32.95	$35.00	34.9%	10.0%	25.3%	25.4%	0.0%	2.5%	2.4%	46.4K	-79.3K	-2.3K	0.00	63.22	0	1	819	219
2008-06-04	$32.89	$35.00	35.4%	10.1%	25.3%	26.3%	0.0%	0.4%	1.9%	42.8K	-21.0K	-2.1K	0.00	64.40	0	0	819	220
2008-06-05	$32.43	$35.00	38.0%	10.9%	24.1%	30.8%	0.0%	-4.9%	-2.6%	35.0K	89.0K	-1.8K	0.00	67.57	0	0	819	220
2008-06-06	$31.39	$30.00	35.1%	10.8%	26.6%	25.8%	0.0%	6.5%	2.6%	15.0K	279.0K	-1.3K	0.00	63.17	0	23	819	220
2008-06-09	$30.88	$30.00	40.9%	11.2%	26.5%	35.8%	39.0%	7.0%	2.0%	7.2K	353.4K	-1.2K	0.25	68.57	20	5	819	227
2008-06-10	$31.37	$30.00	41.6%	11.1%	25.1%	37.0%	0.0%	8.5%	2.7%	12.9K	273.1K	-1.3K	5.00	64.68	2	10	839	222
2008-06-11	$30.53	$30.00	37.0%	10.9%	24.5%	29.1%	0.0%	1.4%	3.5%	-1.8K	368.0K	-1.0K	0.00	60.72	0	0	839	228
2008-06-12	$30.95	$30.00	38.8%	11.1%	25.5%	32.1%	0.0%	4.1%	2.4%	3.9K	328.8K	-1.1K	10.00	61.34	2	20	839	228
2008-06-13	$31.46	$30.00	38.5%	11.0%	24.0%	31.7%	0.0%	4.6%	3.3%	6.7K	320.2K	-1.2K	0.00	62.24	0	0	839	238
2008-06-16	$31.38	$30.00	39.0%	11.2%	24.0%	32.6%	0.0%	0.0%	2.5%	4.0K	324.6K	-1.1K	0.00	63.49	0	0	839	238
2008-06-17	$31.16	$30.00	38.8%	11.1%	24.0%	32.1%	0.0%	0.0%	2.5%	-8.4K	368.5K	-1.0K	0.00	60.86	0	0	839	238
2008-06-18	$30.86	$30.00	37.8%	10.8%	23.6%	30.4%	37.8%	0.0%	3.6%	-9.0K	364.3K	-942	0.00	71.14	50	0	839	230
2008-06-19	$30.54	$30.00	37.6%	10.8%	23.5%	30.1%	0.0%	0.0%	3.8%	-8.5K	274.4K	-1.1K	0.00	71.07	0	0	889	230
2008-06-20	$30.18	$30.00	39.7%	11.4%	22.6%	33.8%	39.7%	0.0%	2.0%	-21.7K	304.5K	-1.0K	0.20	85.82	103	21	889	230
2008-06-23	$30.36	$30.00	39.9%	11.4%	22.7%	34.0%	39.9%	0.0%	4.4%	6.5K	-10.4K	-1.2K	0.98	86.44	51	50	183	127
2008-06-24	$30.05	$30.00	40.1%	11.5%	22.1%	34.4%	0.0%	0.0%	4.2%	4.2K	20.1K	-1.5K	0.00	85.90	0	3	213	177
2008-06-25	$30.21	$30.00	37.4%	10.7%	22.1%	29.8%	37.4%	0.0%	5.7%	4.6K	3.7K	-1.4K	0.00	85.93	106	0	213	178
2008-06-26	$29.53	$30.00	38.2%	10.9%	23.1%	31.1%	37.8%	0.0%	5.5%	16.9K	-76.8K	-1.7K	0.00	86.77	0	7	314	178
2008-06-27	$29.18	$30.00	37.9%	10.9%	22.9%	30.6%	0.0%	0.0%	5.5%	16.6K	33.8K	-1.6K	0.00	89.91	10	0	314	178
2008-06-30	$28.96	$30.00	38.4%	11.0%	22.1%	31.4%	0.0%	0.0%	5.5%	17.5K	32.0K	-1.5K	1.00	88.28	10	10	319	178