LII Options History — November 2008

In November 2008, LII traded between $19.89 and $30.06. ATM implied volatility averaged 78.4%, placing in the 64.2% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded below realized volatility by 3.4% (HV 20d: 81.8%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.23.

Notable Days

2008-11-04: Highest Volume — 110 contracts
2008-11-17: Largest IV spike — 72.2% change
2008-11-17: Highest IV Rank — 100.0%
2008-11-17: Largest Expected Move — 34.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.82	$19.89	$30.06	$30.06	$27.64
Max Pain	$32.89	$25.00	$35.00	$25.00	$35.00
ATM IV	78.4%	64.5%	120.4%	68.6%	64.5%
Expected Move	21.7%	18.5%	34.5%	19.7%	18.5%
HV 20d	81.8%	68.0%	96.3%	85.6%	96.3%
HV 60d	68.0%	62.8%	78.5%	64.0%	78.5%
IV Rank	64.2%	40.0%	100.0%	59.4%	40.0%
IV Percentile	95.6%	86.9%	100.0%	94.4%	86.9%
Term Structure	-12.9%	-45.2%	-2.8%	-8.6%	-2.8%
VWIV	71.5%	67.1%	77.0%	68.8%	77.0%
Skew 25d	12.0%	0.8%	61.4%	11.2%	12.6%
Skew 10d	21.3%	0.5%	81.1%	25.2%	27.4%
Call IV 25d	66.6%	56.7%	76.7%	64.5%	56.7%
Put IV 25d	78.6%	67.0%	127.1%	75.7%	69.2%
Bid-Ask Spread %	78.08	65.78	109.59	72.07	87.40
Gamma HHI	0.31	0.24	0.38	0.27	0.33
Net GEX	-3.9K	-7.7K	-1.6K	-5.2K	-7.7K
Net DEX	615.4K	324.7K	803.9K	324.7K	523.4K
Net VEX	-1.8K	-3.1K	-817	-3.1K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.23	0.00	1.00	0.00	0.00
Total Volume	13.421	0	110	20	0
Total OI	869.842	728	962	826	738

Daily Data (19 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
2008-11-03	$30.06	$25.00	68.6%	19.7%	85.6%	59.4%	68.8%	11.2%	-8.6%	-5.2K	324.7K	-3.1K	0.00	72.07	20	0	391	435
2008-11-04	$29.54	$25.00	67.9%	19.5%	82.1%	58.4%	67.9%	4.9%	-7.8%	-3.8K	338.1K	-3.0K	0.83	73.10	60	50	411	435
2008-11-05	$27.32	$25.00	78.9%	22.6%	86.1%	74.1%	0.0%	8.6%	-16.8%	-1.6K	438.5K	-2.7K	0.00	81.00	0	0	464	419
2008-11-06	$26.23	$25.00	79.6%	22.8%	86.9%	75.1%	75.0%	6.0%	-9.4%	-2.2K	522.7K	-2.3K	0.00	83.81	10	0	464	419
2008-11-07	$26.78	$35.00	78.3%	19.0%	86.3%	73.3%	0.0%	5.1%	-9.9%	-1.9K	539.8K	-2.3K	0.00	69.43	7	0	474	419
2008-11-10	$26.08	$35.00	81.4%	19.3%	79.1%	77.7%	0.0%	5.0%	-9.9%	-2.4K	582.0K	-2.0K	0.00	73.71	10	0	476	419
2008-11-11	$25.13	$35.00	79.1%	19.4%	76.2%	74.4%	0.0%	5.1%	-10.9%	-2.9K	653.7K	-1.8K	0.00	75.70	0	0	486	418
2008-11-12	$23.39	$35.00	83.5%	19.5%	72.4%	80.8%	67.1%	0.8%	-9.3%	-3.0K	701.3K	-1.4K	0.00	78.60	18	0	486	418
2008-11-13	$24.06	$35.00	69.8%	20.0%	70.2%	61.2%	72.9%	9.5%	-13.1%	-3.5K	712.4K	-1.4K	1.00	75.12	12	12	483	417
2008-11-14	$22.95	$35.00	70.0%	20.1%	70.4%	61.3%	0.0%	6.2%	-9.7%	-4.0K	732.8K	-1.3K	0.00	65.78	10	0	495	427
2008-11-17	$22.67	$35.00	120.4%	34.5%	68.0%	100.0%	0.0%	61.4%	-45.2%	-3.2K	637.9K	-1.6K	0.00	109.59	0	0	505	427
2008-11-18	$23.52	$35.00	74.9%	21.5%	69.8%	51.1%	0.0%	12.6%	-12.1%	-4.0K	748.4K	-1.3K	0.00	71.14	0	10	505	427
2008-11-19	$20.69	$35.00	85.9%	24.6%	81.1%	62.9%	0.0%	8.9%	-19.9%	-3.4K	772.6K	-834	0.00	69.43	0	20	505	437
2008-11-20	$19.89	$35.00	84.3%	24.2%	81.5%	61.3%	0.0%	12.8%	-18.5%	-2.8K	786.2K	-817	0.00	86.86	0	1	505	457
2008-11-21	$21.76	$35.00	78.1%	22.4%	88.1%	54.6%	0.0%	11.5%	-15.1%	-5.0K	803.9K	-1.1K	0.00	74.67	0	5	505	456
2008-11-24	$22.30	$35.00	77.4%	22.2%	87.4%	53.9%	77.0%	17.6%	-10.0%	-4.1K	665.9K	-1.1K	0.00	77.92	0	10	340	388
2008-11-25	$24.63	$35.00	73.5%	21.1%	90.5%	49.6%	0.0%	14.7%	-8.1%	-5.9K	654.1K	-1.5K	0.00	77.38	0	0	340	398
2008-11-26	$26.99	$35.00	73.6%	21.1%	96.0%	49.8%	0.0%	14.1%	-8.1%	-7.2K	555.1K	-1.9K	0.00	80.71	0	0	340	398
2008-11-28	$27.64	$35.00	64.5%	18.5%	96.3%	40.0%	0.0%	12.6%	-2.8%	-7.7K	523.4K	-2.0K	0.00	87.40	0	0	340	398