LII Options History — September 2008

In September 2008, LII traded between $33.10 and $39.28. ATM implied volatility averaged 50.1%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 0.1% (HV 20d: 50.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 15.76.

Notable Days

2008-09-22: Highest Volume — 324 contracts
2008-09-29: Largest IV spike — 54.7% change
2008-09-29: Highest IV Rank — 97.0%
2008-09-29: Largest Expected Move — 22.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.01	$33.10	$39.28	$37.81	$33.27
Max Pain	$39.29	$35.00	$40.00	$35.00	$40.00
ATM IV	50.1%	44.6%	76.8%	46.7%	49.5%
Expected Move	14.4%	12.7%	22.0%	13.4%	14.2%
HV 20d	50.2%	46.2%	55.8%	46.3%	55.0%
HV 60d	58.6%	55.4%	61.7%	55.4%	59.8%
IV Rank	44.9%	34.2%	97.0%	38.2%	43.6%
IV Percentile	81.5%	63.5%	99.6%	79.4%	82.9%
Term Structure	-2.8%	-37.8%	5.1%	-2.8%	2.9%
VWIV	50.0%	43.6%	60.4%	44.7%	55.7%
Skew 25d	4.1%	-9.1%	12.5%	1.7%	7.3%
Skew 10d	8.3%	-10.8%	19.6%	8.5%	17.2%
Call IV 25d	44.2%	37.5%	50.1%	42.8%	46.5%
Put IV 25d	48.2%	35.0%	58.9%	44.5%	53.9%
Bid-Ask Spread %	61.23	33.36	153.15	66.56	81.23
Gamma HHI	0.62	0.39	0.84	0.60	0.54
Net GEX	-29.5K	-62.6K	-10.7K	-24.4K	-20.8K
Net DEX	-285.2K	-1.0M	843.5K	-780.0K	843.5K
Net VEX	-5.2K	-5.9K	-4.2K	-5.7K	-4.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	15.76	0.00	120.00	4.76	1.05
Total Volume	78.048	0	324	10	2
Total OI	1,381.667	941	1,733	1,449	991

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
2008-09-02	$37.81	$35.00	46.7%	13.4%	46.3%	38.2%	0.0%	1.7%	-2.8%	-24.4K	-780.0K	-5.7K	0.00	66.56	0	10	597	852
2008-09-03	$38.79	$35.00	44.8%	12.8%	46.5%	34.4%	44.7%	8.9%	0.4%	-20.8K	-992.5K	-5.4K	4.76	66.23	21	100	597	852
2008-09-04	$37.37	$35.00	46.5%	13.3%	48.7%	37.8%	43.6%	2.7%	1.2%	-32.3K	-548.7K	-5.9K	0.00	65.52	0	13	608	911
2008-09-05	$37.01	$40.00	47.1%	13.6%	48.8%	38.9%	47.3%	5.2%	-1.6%	-37.4K	-426.2K	-5.8K	0.00	38.29	0	103	608	893
2008-09-08	$38.31	$40.00	45.7%	12.7%	49.0%	36.3%	44.5%	2.8%	-1.5%	-33.1K	-735.2K	-5.7K	11.40	34.86	5	57	608	975
2008-09-09	$36.79	$40.00	44.9%	13.6%	48.0%	34.7%	0.0%	3.1%	-2.1%	-44.5K	-384.5K	-5.6K	0.00	38.76	2	0	608	935
2008-09-10	$37.13	$40.00	44.6%	13.6%	48.2%	34.2%	0.0%	-1.0%	-1.8%	-41.0K	-544.1K	-5.3K	0.00	37.26	0	0	606	935
2008-09-11	$38.50	$40.00	45.7%	13.1%	49.1%	36.2%	49.7%	-9.1%	-2.0%	-28.5K	-911.0K	-5.1K	120.00	33.81	1	120	606	935
2008-09-12	$39.17	$40.00	46.5%	13.3%	49.3%	37.9%	48.4%	-4.2%	-2.0%	-27.1K	-1.0M	-5.2K	0.00	33.36	0	219	605	1,035
2008-09-15	$37.03	$40.00	50.2%	14.4%	47.3%	45.0%	0.0%	4.0%	-3.3%	-62.6K	-252.0K	-5.5K	0.00	46.13	0	0	605	1,128
2008-09-16	$39.28	$40.00	47.4%	13.6%	46.2%	39.6%	51.3%	4.0%	-3.0%	-21.1K	-942.2K	-5.1K	0.58	38.60	50	29	598	1,128
2008-09-17	$37.76	$40.00	47.4%	13.6%	47.8%	39.6%	0.0%	4.4%	-3.2%	-32.4K	-668.6K	-5.3K	0.00	44.13	0	0	648	1,027
2008-09-18	$36.32	$40.00	61.9%	17.7%	49.7%	67.8%	60.4%	4.5%	-8.4%	-50.2K	-409.4K	-5.1K	0.00	153.15	0	244	648	1,027
2008-09-19	$38.10	$40.00	56.8%	16.3%	52.4%	57.9%	54.5%	6.8%	-8.4%	-24.1K	-719.6K	-5.2K	0.00	90.97	0	280	648	1,034
2008-09-22	$37.99	$40.00	51.1%	14.7%	52.3%	46.8%	50.6%	6.4%	-0.9%	-26.6K	118.6K	-5.1K	3.63	46.17	70	254	295	646
2008-09-23	$37.53	$40.00	50.8%	14.6%	52.0%	46.2%	0.0%	6.8%	1.8%	-18.2K	161.2K	-5.1K	0.00	56.41	2	0	355	593
2008-09-24	$36.01	$40.00	48.8%	14.0%	53.8%	42.3%	49.6%	6.3%	4.9%	-21.3K	456.3K	-4.8K	0.40	58.38	10	4	353	593
2008-09-25	$35.17	$40.00	49.8%	14.3%	54.2%	44.2%	55.7%	4.7%	3.0%	-20.9K	569.8K	-4.7K	1.05	56.25	20	21	357	593
2008-09-26	$34.76	$40.00	49.6%	14.2%	53.8%	43.9%	0.0%	7.4%	5.1%	-20.9K	650.1K	-4.9K	0.00	55.63	0	0	377	614
2008-09-29	$33.10	$40.00	76.8%	22.0%	55.8%	97.0%	0.0%	12.5%	-37.8%	-10.7K	566.4K	-4.8K	0.00	144.04	0	2	377	614
2008-09-30	$33.27	$40.00	49.5%	14.2%	55.0%	43.6%	0.0%	7.3%	2.9%	-20.8K	843.5K	-4.2K	0.00	81.23	0	2	377	614