LII Options History — March 2009

In March 2009, LII traded between $23.87 and $29.30. ATM implied volatility averaged 62.3%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 2.1% (HV 20d: 60.2%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 3.20.

Notable Days

  • 2009-03-09: Highest Volume — 100 contracts
  • 2009-03-25: Largest IV drop — 9.1% change
  • 2009-03-04: Highest IV Rank — 42.0%
  • 2009-03-04: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.88$23.87$29.30$24.26$26.46
Max Pain$27.27$22.50$30.00$30.00$30.00
ATM IV62.3%56.5%66.3%66.3%60.8%
Expected Move17.7%16.2%19.0%19.0%17.4%
HV 20d60.2%42.5%75.2%42.7%75.2%
HV 60d56.8%51.0%61.8%59.8%58.1%
IV Rank37.7%31.5%42.0%42.0%36.1%
IV Percentile65.2%53.6%79.8%79.8%57.5%
Term Structure-1.9%-4.8%0.6%-4.8%0.6%
VWIV62.3%58.4%65.5%64.8%58.7%
Skew 25d10.0%-10.2%29.3%-10.2%6.2%
Skew 10d11.4%-34.5%40.3%-34.5%10.5%
Call IV 25d53.9%44.4%72.8%72.8%55.0%
Put IV 25d63.9%55.4%74.3%62.6%61.1%
Bid-Ask Spread %48.6530.5680.5368.9160.17
Gamma HHI0.500.380.700.570.52
Net GEX-5.9K-14.4K86-6.8K-4.8K
Net DEX288.9K-27.0K476.5K437.1K173.0K
Net VEX-2.0K-2.3K-1.6K-1.7K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.0018.000.200.00
Total Volume14.3640100240
Total OI696.091502891687573

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$24.26$30.0066.3%19.0%42.7%42.0%64.8%-10.2%-4.8%-6.8K437.1K-1.7K0.2068.91204345342
2009-03-03$24.14$30.0065.0%18.6%42.5%40.6%0.0%5.6%-3.6%-5.7K426.8K-1.7K0.0077.34010365346
2009-03-04$25.58$30.0066.3%19.0%47.7%42.0%0.0%24.7%-2.3%-6.4K358.8K-2.0K0.0080.5300365356
2009-03-05$24.09$30.0065.0%18.6%51.3%40.6%65.1%6.3%-3.5%-6.0K444.5K-1.8K0.0078.9802365356
2009-03-06$24.27$30.0064.6%17.8%49.1%40.2%0.0%14.5%-1.6%-6.2K451.1K-1.7K0.0034.2600365355
2009-03-09$23.87$30.0065.0%17.4%48.1%40.6%0.0%8.9%-0.4%-6.4K461.6K-1.6K0.0037.571000365355
2009-03-10$26.02$30.0065.2%17.4%59.1%40.8%0.0%29.3%-1.0%-5.6K326.7K-2.1K0.0033.6200445355
2009-03-11$26.13$30.0065.2%17.6%57.1%40.8%0.0%23.8%-1.2%-5.5K304.0K-2.1K0.0032.6800445355
2009-03-12$26.38$30.0061.2%17.5%57.1%36.5%0.0%18.2%-1.2%-5.6K295.4K-2.1K0.0030.5600445355
2009-03-13$25.32$30.0060.5%17.3%58.7%35.7%65.5%-1.7%-1.3%-6.6K387.4K-1.9K0.0043.6101445355
2009-03-16$25.22$22.5061.6%17.7%58.6%36.9%0.0%7.8%-3.3%-7.3K374.4K-1.8K0.0036.30200445356
2009-03-17$25.14$22.5061.4%17.6%58.3%36.7%0.0%9.1%-2.5%-8.0K381.0K-1.8K0.0042.00020465356
2009-03-18$26.33$22.5062.0%17.8%60.6%37.4%58.4%9.1%-2.8%-7.7K285.0K-2.1K1.0041.8011465376
2009-03-19$25.79$22.5060.9%17.5%60.9%36.2%61.3%8.7%-0.9%-12.9K278.0K-1.9K0.0038.79050465376
2009-03-20$24.82$25.0061.2%17.6%62.3%36.5%0.0%7.8%-2.1%-14.4K476.5K-1.9K0.0041.9900465426
2009-03-23$27.37$25.0062.2%17.8%69.8%37.6%0.0%8.2%-0.7%-2.3K93.6K-2.1K0.0038.4600243259
2009-03-24$26.36$25.0062.1%17.8%69.5%37.5%0.0%0.0%-2.4%-3.0K126.7K-2.1K0.0041.0700243259
2009-03-25$27.76$25.0056.5%16.2%71.8%31.5%0.0%8.6%-0.7%-1.7K64.5K-2.2K0.0044.5600243259
2009-03-26$29.30$25.0056.6%16.2%73.5%31.5%0.0%7.1%-0.9%86-27.0K-2.3K0.0046.4000243259
2009-03-27$28.29$25.0058.7%16.8%74.9%33.9%58.7%7.9%-2.3%-1.1K26.6K-2.3K18.0053.48354243259
2009-03-30$26.43$30.0062.6%17.9%75.2%38.0%0.0%9.2%-3.3%-5.6K209.2K-2.2K0.0067.18300243313
2009-03-31$26.46$30.0060.8%17.4%75.2%36.1%0.0%6.2%0.6%-4.8K173.0K-2.3K0.0060.1700260313