LII Options History — July 2008

In July 2008, LII traded between $28.48 and $37.69. ATM implied volatility averaged 46.2%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 8.3% (HV 20d: 54.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 3.38.

Notable Days

2008-07-28: Highest Volume — 1,127 contracts
2008-07-10: Largest IV spike — 35.2% change
2008-07-22: Highest IV Rank — 54.1%
2008-07-22: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.01	$28.48	$37.69	$30.56	$35.70
Max Pain	$31.15	$30.00	$35.00	$30.00	$30.00
ATM IV	46.2%	35.8%	54.8%	37.8%	46.1%
Expected Move	13.6%	10.5%	15.7%	10.8%	13.2%
HV 20d	54.5%	30.2%	81.7%	30.2%	76.4%
HV 60d	38.9%	28.8%	51.6%	28.8%	51.4%
IV Rank	40.1%	27.1%	54.1%	30.5%	36.9%
IV Percentile	67.7%	15.9%	91.7%	30.6%	73.4%
Term Structure	-1.3%	-6.3%	7.9%	6.3%	0.6%
VWIV	43.6%	31.4%	56.4%	37.8%	31.4%
Bid-Ask Spread %	63.47	45.00	91.37	88.44	68.55
Gamma HHI	0.68	0.34	0.88	0.83	0.34
Net GEX	42.9K	10.7K	112.8K	19.7K	23.5K
Net DEX	-1.3M	-5.3M	240.3K	-234.6K	-1.4M
Net VEX	-3.5K	-5.8K	-1.4K	-1.7K	-4.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.38	0.00	39.67	0.00	39.67
Total Volume	164.227	0	1,127	54	122
Total OI	1,061.864	517	1,902	517	1,083

Daily Data (22 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
2008-07-01	$30.56	$30.00	37.8%	10.8%	30.2%	30.5%	37.8%	0.0%	6.3%	19.7K	-234.6K	-1.7K	0.00	88.44	0	54	329	188
2008-07-02	$28.75	$30.00	38.3%	11.0%	36.4%	31.4%	38.4%	0.0%	5.3%	10.7K	192.1K	-1.5K	0.00	91.37	0	13	329	241
2008-07-03	$29.55	$30.00	36.5%	10.5%	38.2%	28.3%	0.0%	0.0%	7.9%	13.3K	56.4K	-1.7K	0.00	88.66	10	0	329	248
2008-07-07	$28.48	$0.00	40.6%	13.1%	38.6%	35.2%	0.0%	0.0%	-3.5%	11.5K	240.3K	-1.4K	0.00	45.00	10	0	339	248
2008-07-08	$29.41	$0.00	35.8%	13.7%	40.5%	27.1%	0.0%	0.0%	-2.9%	16.4K	106.1K	-1.5K	0.00	50.24	335	0	345	248
2008-07-09	$29.09	$0.00	37.9%	13.8%	40.0%	30.7%	0.0%	0.0%	-3.5%	27.9K	-128.6K	-2.7K	0.00	51.50	0	0	576	248
2008-07-10	$29.59	$0.00	51.3%	14.7%	39.7%	53.6%	0.0%	0.0%	-3.2%	29.7K	-242.2K	-2.7K	0.06	48.41	175	10	576	248
2008-07-11	$28.79	$0.00	52.6%	15.1%	40.3%	49.7%	0.0%	0.0%	-4.6%	34.0K	-305.0K	-3.4K	1.67	60.93	12	20	749	258
2008-07-14	$29.43	$0.00	51.2%	14.7%	40.7%	47.0%	0.0%	0.0%	-2.6%	40.2K	-488.4K	-3.5K	2.30	55.42	20	46	761	278
2008-07-15	$28.79	$0.00	53.9%	15.5%	41.2%	52.3%	0.0%	0.0%	-5.5%	36.5K	-320.9K	-3.2K	3.50	60.88	10	35	742	258
2008-07-16	$30.15	$0.00	54.3%	15.6%	44.9%	53.0%	0.0%	0.0%	-6.3%	47.4K	-798.8K	-3.4K	0.00	54.83	10	0	752	267
2008-07-17	$32.83	$0.00	51.7%	14.8%	54.3%	47.9%	52.2%	0.0%	-3.0%	29.2K	-1.6M	-3.2K	0.00	57.37	20	0	752	267
2008-07-18	$33.11	$35.00	52.0%	14.9%	54.1%	48.6%	51.8%	0.0%	-2.1%	23.4K	-1.7M	-3.1K	10.00	55.74	1	10	772	267
2008-07-21	$33.03	$35.00	52.9%	15.2%	53.8%	50.3%	0.0%	0.0%	-2.1%	22.6K	-995.9K	-3.1K	0.00	60.30	30	0	557	148
2008-07-22	$33.00	$35.00	54.8%	15.7%	53.8%	54.1%	56.4%	0.0%	-3.3%	23.6K	-1.0M	-3.3K	0.02	52.45	1,100	23	587	148
2008-07-23	$37.69	$30.00	44.8%	12.8%	70.2%	34.5%	44.7%	0.0%	-4.2%	88.8K	-5.3M	-4.7K	0.36	72.98	203	73	1,687	166
2008-07-24	$34.03	$30.00	43.2%	12.4%	81.0%	31.4%	36.0%	0.0%	-2.3%	108.9K	-3.1M	-5.8K	0.42	80.92	52	22	1,516	229
2008-07-25	$35.45	$30.00	44.2%	12.7%	81.1%	33.3%	44.2%	0.0%	-2.0%	103.5K	-3.8M	-5.7K	0.00	58.24	22	0	1,568	241
2008-07-28	$34.74	$30.00	45.2%	12.9%	81.5%	35.2%	43.0%	0.0%	1.2%	112.8K	-3.5M	-5.8K	0.10	69.35	1,022	105	1,590	241
2008-07-29	$35.90	$30.00	45.3%	13.0%	81.7%	35.5%	31.4%	0.0%	0.7%	97.3K	-3.9M	-5.8K	2.69	61.48	13	35	1,579	323
2008-07-30	$36.24	$30.00	45.6%	13.1%	80.1%	35.9%	0.0%	0.0%	-0.0%	23.5K	-1.5M	-4.4K	0.00	63.20	0	0	732	351
2008-07-31	$35.70	$30.00	46.1%	13.2%	76.4%	36.9%	0.0%	0.0%	0.6%	23.5K	-1.4M	-4.5K	39.67	68.55	3	119	732	351