LII Options History — December 2008

In December 2008, LII traded between $25.26 and $32.29. ATM implied volatility averaged 67.8%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded below realized volatility by 28.4% (HV 20d: 96.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 2.30.

Notable Days

  • 2008-12-29: Highest Volume — 206 contracts
  • 2008-12-05: Largest IV drop — 12.7% change
  • 2008-12-04: Highest IV Rank — 58.0%
  • 2008-12-04: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.18$25.26$32.29$25.26$32.29
Max Pain$30.91$30.00$35.00$35.00$30.00
ATM IV67.8%62.7%81.3%73.5%63.0%
Expected Move19.2%18.0%23.3%21.1%18.1%
HV 20d96.2%76.2%106.6%98.1%76.2%
HV 60d84.3%80.4%87.6%80.4%87.0%
IV Rank43.5%38.1%58.0%49.7%38.4%
IV Percentile84.8%78.6%96.8%92.1%78.6%
Term Structure-4.2%-12.1%0.7%-10.0%0.7%
VWIV69.4%63.8%77.1%77.1%63.8%
Skew 25d5.8%-0.2%11.6%1.9%2.8%
Skew 10d9.3%-9.2%24.1%18.5%-5.6%
Call IV 25d64.3%57.7%72.4%72.4%60.4%
Put IV 25d70.0%63.2%81.3%74.3%63.2%
Bid-Ask Spread %69.1745.3381.7478.9480.61
Gamma HHI0.330.220.620.310.26
Net GEX-6.4K-15.0K1.9K-6.5K1.9K
Net DEX345.7K-157.6K710.4K641.0K-157.6K
Net VEX-2.0K-3.1K-1.4K-1.4K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.0011.000.000.00
Total Volume21.86402061010
Total OI702.227369877738606

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$25.26$35.0073.5%21.1%98.1%49.7%0.0%1.9%-10.0%-6.5K641.0K-1.4K0.0078.94100340398
2008-12-02$26.56$35.0073.8%21.1%100.1%50.0%0.0%9.4%-6.5%-7.0K607.4K-1.6K0.0078.2900350398
2008-12-03$27.20$35.0077.4%22.2%100.6%53.8%77.1%11.2%-8.4%-7.3K558.0K-1.8K0.0081.74017350398
2008-12-04$26.94$35.0081.3%23.3%96.8%58.0%76.4%11.6%-12.1%-8.2K583.3K-1.8K11.0081.04111350415
2008-12-05$27.54$30.0070.9%18.9%95.9%46.9%66.0%4.5%-5.3%-8.7K550.2K-1.8K6.6045.331066351415
2008-12-08$30.74$30.0071.8%19.2%103.1%47.8%68.8%2.0%-6.4%-9.5K289.3K-2.2K0.0063.05056361436
2008-12-09$30.57$30.0069.2%18.9%102.5%45.1%0.0%4.5%-5.4%-11.9K363.1K-2.3K0.0063.9200361488
2008-12-10$30.33$30.0071.0%18.6%101.3%47.0%0.0%2.6%-2.9%-12.2K392.2K-2.3K0.0066.34011361488
2008-12-11$27.22$30.0067.3%19.3%105.9%43.0%0.0%6.7%-2.8%-12.4K710.4K-1.9K0.0060.8700361499
2008-12-12$28.20$30.0065.8%18.9%106.1%41.4%69.4%8.9%-6.1%-12.9K650.2K-2.0K0.0056.4970361499
2008-12-15$28.20$30.0065.3%18.7%104.1%40.9%0.0%7.3%-5.7%-12.6K629.8K-1.9K1.0057.761010368499
2008-12-16$27.66$30.0065.1%18.7%104.4%40.7%0.0%6.4%-3.6%-11.2K673.0K-1.8K0.0066.7900378499
2008-12-17$29.83$30.0064.8%18.6%106.6%40.3%0.0%4.2%-4.2%-12.2K471.7K-2.0K0.0057.8201378499
2008-12-18$29.46$30.0065.3%18.7%93.5%41.0%0.0%3.1%-4.7%-15.0K555.7K-1.9K0.0062.8800378499
2008-12-19$31.93$30.0063.9%18.3%93.5%39.4%0.0%5.2%-2.8%265196.9K-1.9K0.0071.7201378499
2008-12-22$29.97$30.0063.9%18.3%94.9%39.4%64.4%5.5%-1.8%-51626.2K-1.7K0.0071.21170186183
2008-12-23$29.54$30.0063.4%18.2%95.5%38.9%0.0%-0.2%-0.5%481-2.6K-1.8K0.0071.4500203183
2008-12-24$30.07$30.0062.7%18.0%90.0%38.1%0.0%8.3%-1.1%615-10.0K-1.8K0.0073.7320203183
2008-12-26$30.66$30.0063.4%18.2%84.9%38.9%0.0%7.8%-1.5%967-37.4K-1.8K0.0075.0600204183
2008-12-29$30.43$30.0065.2%18.7%84.7%40.8%63.8%6.1%-1.5%910-29.1K-1.7K1.9478.0170136204183
2008-12-30$31.30$30.0063.2%18.1%77.2%38.6%0.0%7.5%-0.7%1.2K-55.7K-2.9K2.5078.631025264309
2008-12-31$32.29$30.0063.0%18.1%76.2%38.4%0.0%2.8%0.7%1.9K-157.6K-3.1K0.0080.61100274332