LII Options History — October 2008

In October 2008, LII traded between $25.50 and $33.23. ATM implied volatility averaged 67.2%, placing in the 61.1% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 0.6% (HV 20d: 67.8%). Max pain ranged from $25.00 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.95.

Notable Days

  • 2008-10-22: Highest Volume — 70 contracts
  • 2008-10-06: Largest IV spike — 49.0% change
  • 2008-10-09: Highest IV Rank — 100.0%
  • 2008-10-16: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.61$25.50$33.23$33.23$29.82
Max Pain$29.78$25.00$40.00$40.00$25.00
ATM IV67.2%39.8%97.0%50.5%69.8%
Expected Move19.5%11.4%23.7%14.5%20.0%
HV 20d67.8%53.0%85.7%53.8%85.7%
HV 60d60.9%58.0%66.7%59.5%64.4%
IV Rank61.1%24.7%100.0%45.6%61.2%
IV Percentile93.3%38.5%100.0%84.9%95.6%
Term Structure-7.7%-16.9%7.5%4.8%-10.7%
VWIV67.9%46.6%84.6%64.9%70.5%
Skew 25d6.5%-6.9%12.9%8.5%12.9%
Skew 10d15.9%-10.2%27.7%16.8%25.0%
Call IV 25d65.1%46.3%80.8%46.3%64.1%
Put IV 25d71.6%54.7%86.8%54.7%77.0%
Bid-Ask Spread %70.3842.06117.4384.2069.02
Gamma HHI0.320.220.530.530.24
Net GEX-9.1K-20.3K-2.5K-20.3K-6.0K
Net DEX750.8K213.8K1.1M846.1K426.8K
Net VEX-3.2K-4.2K-2.1K-4.2K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.006.001.000.00
Total Volume21.174070050
Total OI9317511,059987868

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$33.23$40.0050.5%14.5%53.8%45.6%0.0%8.5%4.8%-20.3K846.1K-4.2K0.0084.2000377610
2008-10-02$32.00$40.0050.1%14.4%53.8%44.7%0.0%8.2%7.5%-18.0K1.0M-3.7K0.0078.3400377610
2008-10-03$30.81$40.0039.8%11.4%54.8%24.7%0.0%9.3%7.0%-13.0K1.1M-3.4K1.0099.281010377610
2008-10-06$31.15$40.0059.3%19.5%53.0%62.8%64.9%10.3%-9.9%-14.9K1.0M-3.6K0.0656.59503387620
2008-10-07$29.06$35.0058.4%19.3%56.1%60.9%0.0%3.8%-9.4%-8.6K1.1M-3.0K0.0061.21020387620
2008-10-08$29.80$35.0067.6%20.7%57.1%78.9%72.7%2.4%-10.9%-11.3K973.7K-3.4K0.0054.85500387590
2008-10-09$29.25$30.0097.0%22.9%54.4%100.0%0.0%-6.9%-8.3%-8.2K874.3K-3.6K0.00117.4300434590
2008-10-10$30.25$30.0091.0%23.5%55.9%91.5%0.0%10.8%-12.3%-9.8K822.2K-3.8K0.0087.8000434590
2008-10-13$33.01$30.0054.6%19.5%63.8%39.4%70.2%4.2%-12.1%-20.3K740.9K-4.0K0.0042.06013434590
2008-10-14$30.63$30.0071.4%20.8%63.5%63.4%0.0%2.5%-13.0%-9.7K924.3K-3.5K0.0054.2620434603
2008-10-15$27.72$30.0058.8%20.2%70.2%45.3%0.0%1.1%-10.0%-4.5K1.1M-2.8K0.0062.3903434603
2008-10-16$29.19$30.0082.8%23.7%73.4%79.7%84.6%4.0%-16.9%-5.8K966.5K-3.1K0.5068.744020434578
2008-10-17$29.85$25.0079.6%22.8%71.3%75.1%0.0%4.0%-12.1%-10.5K860.7K-3.4K0.0070.6400467592
2008-10-20$30.93$25.0071.4%20.5%73.2%63.4%69.6%6.9%-11.1%-2.5K213.8K-3.4K0.0055.14250368383
2008-10-21$29.76$25.0075.8%21.7%73.9%69.8%79.5%6.1%-13.5%-2.6K281.5K-3.2K0.0054.9905371383
2008-10-22$29.42$25.0062.5%17.9%73.0%50.6%53.2%8.6%-5.6%-3.4K367.9K-2.9K6.0065.921060371388
2008-10-23$28.66$25.0062.2%17.8%73.1%50.2%62.5%11.0%-3.5%-5.8K506.8K-2.9K0.0070.51035381439
2008-10-24$26.91$25.0069.5%19.9%75.5%60.7%46.6%12.8%-5.5%-6.9K632.6K-2.7K0.0078.71020381469
2008-10-27$25.50$25.0071.3%20.4%75.8%63.2%0.0%4.2%-6.5%-6.6K731.8K-2.1K1.0075.381010381472
2008-10-28$27.55$25.0062.7%18.0%82.2%50.9%72.5%9.5%-4.4%-7.7K665.3K-2.8K0.0071.01031391482
2008-10-29$28.50$25.0069.1%19.8%83.6%60.1%0.0%7.8%-10.8%-6.6K479.2K-3.1K0.0068.9200391467
2008-10-30$27.98$25.0070.9%20.3%82.9%62.7%70.5%7.3%-10.9%-6.7K572.4K-2.9K0.0071.24100391467
2008-10-31$29.82$25.0069.8%20.0%85.7%61.2%0.0%12.9%-10.7%-6.0K426.8K-3.3K0.0069.02050401467