LII Options History — June 2009

In June 2009, LII traded between $30.40 and $33.98. ATM implied volatility averaged 44.7%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 6.3% (HV 20d: 38.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.22.

Notable Days

  • 2009-06-05: Highest Volume — 429 contracts
  • 2009-06-02: Largest IV drop — 15.7% change
  • 2009-06-01: Highest IV Rank — 20.4%
  • 2009-06-16: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.58$30.40$33.98$32.22$32.11
Max Pain$32.27$30.00$35.00$30.00$30.00
ATM IV44.7%38.0%49.3%48.4%43.4%
Expected Move13.1%10.9%14.1%13.9%12.4%
HV 20d38.4%24.8%48.6%47.9%24.8%
HV 60d51.6%43.9%58.2%57.6%44.0%
IV Rank13.9%6.1%20.4%20.4%12.3%
IV Percentile17.4%2.4%30.2%29.0%7.9%
Term Structure2.0%-1.1%7.0%2.9%7.0%
VWIV45.6%40.3%49.5%40.8%40.3%
Skew 25d5.1%-8.6%36.0%3.4%7.8%
Skew 10d9.2%-9.3%45.0%1.2%13.8%
Call IV 25d41.8%37.4%45.7%45.7%40.6%
Put IV 25d46.9%32.8%73.4%49.2%48.5%
Bid-Ask Spread %72.5851.3692.9282.4782.14
Gamma HHI0.600.370.880.370.62
Net GEX15.9K-9.5K51.1K-3.1K10.9K
Net DEX-196.2K-915.8K358.6K260.2K-39.9K
Net VEX-8.7K-10.7K-7.3K-7.9K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.000.960.000.00
Total Volume35.455042920
Total OI1,8341,4092,1571,7121,528

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$32.22$30.0048.4%13.9%47.9%20.4%0.0%3.4%2.9%-3.1K260.2K-7.9K0.0082.47206641,048
2009-06-02$33.73$30.0040.8%11.7%48.6%9.4%40.8%5.9%6.2%5.7K-79.9K-8.0K0.6086.371066641,048
2009-06-03$33.93$30.0044.0%12.6%48.0%12.9%44.0%-8.6%3.5%8.5K-196.3K-8.1K0.0092.926006741,048
2009-06-04$33.75$30.0043.1%12.4%47.4%11.9%0.0%5.8%3.5%14.6K-213.1K-8.2K0.0090.43207241,048
2009-06-05$33.82$35.0041.5%13.2%44.0%10.1%0.0%-6.5%-0.1%17.6K-266.6K-8.0K0.0159.8942637241,048
2009-06-08$33.89$35.0042.4%13.4%41.5%11.1%0.0%-6.1%-0.5%42.3K-915.8K-10.7K0.0051.36001,1061,051
2009-06-09$33.93$35.0042.2%13.1%39.3%10.9%0.0%-5.8%-0.5%41.0K-817.3K-10.2K0.0060.73001,0561,051
2009-06-10$33.93$35.0040.5%13.2%38.7%9.0%49.5%-4.7%-0.6%44.1K-800.6K-10.1K0.0060.81401,0561,051
2009-06-11$33.98$35.0045.9%13.2%36.8%15.2%0.0%-2.9%-0.1%48.6K-860.4K-10.0K0.0058.091001,0591,051
2009-06-12$33.73$35.0045.7%13.1%37.0%14.9%0.0%36.0%-1.1%51.1K-705.3K-9.6K0.0063.07501,0641,051
2009-06-15$32.56$35.0045.4%13.0%39.6%14.5%0.0%0.0%0.5%23.4K-286.3K-9.1K0.0068.890351,0641,051
2009-06-16$31.99$35.0049.3%14.1%39.3%19.0%49.0%7.7%0.3%8.5K-160.2K-8.7K0.0069.110101,0641,041
2009-06-17$31.52$35.0049.2%14.1%39.5%18.8%0.0%0.0%0.7%-5.3K-2.8K-8.3K0.0068.702001,0641,051
2009-06-18$31.01$35.0047.7%13.7%37.9%17.2%47.7%9.4%2.0%4.0K32.5K-8.0K0.9670.3726251,0561,047
2009-06-19$30.93$30.0047.9%13.7%36.8%17.4%0.0%8.4%0.9%-9.5K108.0K-7.8K0.6765.65321,0821,072
2009-06-22$30.40$30.0048.1%13.8%35.9%17.6%48.0%8.9%0.8%3.7K357.6K-7.3K0.7376.91118756653
2009-06-23$30.93$30.0046.7%13.4%33.4%16.0%0.0%0.0%1.3%3.9K358.6K-7.6K0.1081.8110010764661
2009-06-24$31.43$30.0044.1%12.6%33.1%13.0%0.0%9.9%5.4%8.7K109.9K-8.4K0.0077.6600855671
2009-06-25$32.43$30.0045.3%13.0%34.5%14.4%40.3%10.0%3.3%10.3K-79.3K-8.9K0.0074.9720855671
2009-06-26$31.96$30.0044.6%12.8%32.1%13.7%0.0%9.0%4.0%9.8K-29.7K-8.7K0.0078.1800857671
2009-06-29$32.55$30.0038.0%10.9%29.7%6.1%0.0%9.4%3.7%11.0K-89.8K-8.7K0.0076.2900857671
2009-06-30$32.11$30.0043.4%12.4%24.8%12.3%0.0%7.8%7.0%10.9K-39.9K-8.5K0.0082.1400857671