LII Options History — August 2008

In August 2008, LII traded between $35.45 and $41.00. ATM implied volatility averaged 44.6%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 19.2% (HV 20d: 63.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.62.

Notable Days

2008-08-26: Highest Volume — 432 contracts
2008-08-14: Largest IV spike — 37.6% change
2008-08-07: Highest IV Rank — 37.9%
2008-08-05: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.50	$35.45	$41.00	$35.50	$37.00
Max Pain	$34.29	$30.00	$35.00	$30.00	$35.00
ATM IV	44.6%	32.6%	46.6%	45.1%	44.4%
Expected Move	13.0%	12.7%	13.5%	12.9%	12.7%
HV 20d	63.9%	45.0%	77.1%	76.3%	45.8%
HV 60d	53.4%	50.8%	55.7%	51.1%	55.7%
IV Rank	34.2%	10.7%	37.9%	35.1%	33.6%
IV Percentile	67.2%	5.6%	77.8%	70.6%	64.7%
Term Structure	0.1%	-2.1%	2.5%	0.9%	1.7%
VWIV	47.2%	34.5%	69.6%	69.6%	34.5%
Skew 25d	2.8%	-3.3%	9.0%	-0.3%	-2.6%
Skew 10d	7.3%	-7.5%	24.7%	-7.5%	2.3%
Call IV 25d	42.0%	37.1%	45.6%	44.4%	45.2%
Put IV 25d	44.8%	42.3%	48.2%	44.2%	42.6%
Bid-Ask Spread %	56.98	46.87	70.37	68.89	63.87
Gamma HHI	0.42	0.35	0.59	0.37	0.59
Net GEX	-4.4K	-26.2K	14.2K	14.1K	-26.2K
Net DEX	-1.3M	-2.5M	-539.0K	-1.2M	-539.0K
Net VEX	-5.4K	-6.4K	-4.6K	-5.0K	-6.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.62	0.00	15.00	3.33	0.67
Total Volume	72.048	0	432	13	0
Total OI	1,374.952	1,201	1,504	1,201	1,449

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
2008-08-01	$35.50	$30.00	45.1%	12.9%	76.3%	35.1%	69.6%	0.0%	0.9%	14.1K	-1.2M	-5.0K	3.33	68.89	3	10	735	466
2008-08-04	$35.45	$30.00	46.4%	13.3%	74.5%	37.5%	0.0%	0.0%	-1.1%	14.2K	-1.2M	-4.8K	0.00	47.55	2	0	736	466
2008-08-05	$36.26	$30.00	45.4%	13.5%	74.2%	35.7%	47.1%	0.0%	-1.3%	13.2K	-1.4M	-4.7K	6.11	54.10	36	220	738	466
2008-08-06	$36.24	$35.00	46.1%	13.4%	73.9%	36.9%	0.0%	0.0%	-0.4%	517	-1.2M	-5.8K	0.00	47.90	0	0	774	640
2008-08-07	$36.10	$35.00	46.6%	13.1%	74.0%	37.9%	45.7%	0.0%	0.1%	-203	-1.2M	-5.7K	0.00	47.75	47	0	774	640
2008-08-08	$37.28	$35.00	46.0%	13.4%	73.1%	36.8%	0.0%	0.0%	-2.1%	1.7K	-1.6M	-5.7K	10.00	50.72	1	10	816	640
2008-08-11	$39.08	$35.00	45.2%	13.0%	74.0%	35.2%	45.8%	0.0%	-0.9%	2.4K	-2.1M	-5.1K	0.32	59.41	62	20	816	650
2008-08-12	$39.07	$35.00	43.1%	12.9%	73.0%	31.2%	0.0%	0.0%	-0.5%	4.6K	-2.1M	-5.3K	0.00	57.11	0	0	846	658
2008-08-13	$37.99	$35.00	32.6%	12.9%	73.6%	10.7%	0.0%	0.0%	-1.0%	-2.2K	-1.7M	-5.3K	0.00	56.28	14	0	796	658
2008-08-14	$38.46	$35.00	44.9%	12.9%	68.3%	34.6%	0.0%	0.0%	-0.2%	-1.9K	-1.8M	-5.1K	2.00	57.67	10	20	797	658
2008-08-15	$41.00	$35.00	45.5%	13.1%	71.1%	35.9%	45.5%	0.0%	-0.9%	130	-2.5M	-4.6K	0.00	70.37	47	0	807	677
2008-08-18	$38.28	$35.00	45.7%	13.1%	76.4%	36.1%	44.4%	-0.3%	-0.2%	-9.0K	-1.3M	-5.1K	15.00	50.65	25	375	634	628
2008-08-19	$37.42	$35.00	44.9%	12.9%	77.1%	34.6%	0.0%	0.2%	1.0%	-15.8K	-966.5K	-5.7K	0.00	46.87	0	1	654	721
2008-08-20	$37.17	$35.00	46.5%	13.3%	61.0%	37.8%	46.0%	7.3%	0.6%	-16.4K	-911.9K	-5.7K	0.92	55.04	12	11	654	722
2008-08-21	$37.80	$35.00	45.2%	12.9%	47.9%	35.2%	46.4%	9.0%	-0.4%	-6.1K	-1.2M	-5.2K	0.20	54.36	49	10	660	621
2008-08-22	$38.13	$35.00	44.8%	12.8%	46.1%	34.4%	0.0%	8.8%	-0.3%	-3.5K	-1.3M	-5.0K	0.00	60.45	0	0	688	621
2008-08-25	$37.39	$35.00	44.4%	12.7%	46.0%	33.7%	0.0%	1.3%	2.5%	-6.1K	-1.2M	-5.0K	0.00	61.31	0	61	688	621
2008-08-26	$36.85	$35.00	45.4%	13.0%	45.1%	35.7%	34.5%	-3.3%	2.4%	-9.2K	-997.2K	-5.3K	0.81	62.74	239	193	688	663
2008-08-27	$37.23	$35.00	44.7%	12.8%	45.1%	34.3%	0.0%	0.1%	1.8%	-24.7K	-548.8K	-6.4K	0.00	60.98	10	0	602	852
2008-08-28	$37.84	$35.00	44.8%	12.8%	45.0%	34.4%	0.0%	7.0%	0.2%	-22.7K	-714.3K	-6.3K	0.67	62.53	15	10	602	852
2008-08-29	$37.00	$35.00	44.4%	12.7%	45.8%	33.6%	0.0%	-2.6%	1.7%	-26.2K	-539.0K	-6.1K	0.00	63.87	0	0	597	852