LII Options History — July 2009

In July 2009, LII traded between $30.41 and $36.04. ATM implied volatility averaged 38.8%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 10.1% (HV 20d: 28.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2009-07-15: Highest Volume — 464 contracts
  • 2009-07-16: Largest IV spike — 61.0% change
  • 2009-07-08: Highest IV Rank — 17.1%
  • 2009-07-06: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.43$30.41$36.04$31.77$34.85
Max Pain$31.59$30.00$35.00$30.00$35.00
ATM IV38.8%26.3%47.6%43.0%34.1%
Expected Move11.8%9.8%14.0%12.3%9.8%
HV 20d28.7%24.7%32.9%24.7%29.9%
HV 60d39.1%35.1%44.0%44.0%35.1%
IV Rank11.0%0.0%17.1%11.9%8.3%
IV Percentile5.8%0.0%25.8%6.3%1.2%
Term Structure-0.6%-4.5%5.3%5.3%0.5%
VWIV40.5%34.5%47.3%43.9%34.9%
Skew 25d6.9%2.9%12.6%8.1%5.0%
Skew 10d13.1%1.3%29.8%12.9%4.9%
Call IV 25d36.8%32.9%41.6%40.5%33.8%
Put IV 25d43.7%37.4%49.3%48.6%38.8%
Bid-Ask Spread %61.3229.3394.4591.6987.70
Gamma HHI0.560.460.740.610.52
Net GEX41.9K10.0K100.4K10.5K41.1K
Net DEX-1.3M-3.3M295.0K41.6K-1.6M
Net VEX-8.8K-10.0K-7.4K-8.1K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.005.000.000.00
Total Volume72.227046400
Total OI1,968.4091,5282,4131,5281,868

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$31.77$30.0043.0%12.3%24.7%11.9%0.0%8.1%5.3%10.5K41.6K-8.1K0.0091.6900857671
2009-07-02$31.66$30.0044.1%12.6%24.7%13.0%0.0%9.3%5.2%10.4K122.0K-8.1K0.0094.45100857671
2009-07-06$31.10$30.0045.9%14.0%25.2%15.2%0.0%7.3%-4.5%10.0K295.0K-7.4K0.1835.3626046867671
2009-07-07$30.68$30.0046.0%13.9%25.3%15.3%0.0%9.5%-3.8%21.9K15.1K-8.7K0.0229.82414101,117714
2009-07-08$30.53$30.0047.6%13.9%25.2%17.1%0.0%7.8%-3.1%77.6K-585.3K-9.3K0.0031.396301,489724
2009-07-09$30.41$30.0044.8%13.4%25.1%13.9%43.9%8.0%-1.8%96.8K-608.9K-9.3K0.4132.84101411,551724
2009-07-10$30.95$30.0042.5%13.4%26.3%11.3%0.0%9.3%-2.5%100.4K-905.9K-9.4K0.0034.46001,614765
2009-07-13$31.62$30.0031.2%13.2%27.8%0.0%46.3%9.6%-2.8%70.9K-1.5M-8.9K5.0049.784201,614765
2009-07-14$32.23$30.0038.7%13.6%26.2%8.3%0.0%12.6%-3.4%47.5K-1.9M-9.2K1.0041.0210101,618775
2009-07-15$33.79$30.0026.3%12.1%30.4%0.0%47.3%6.7%-2.4%33.0K-2.6M-10.0K0.0053.2146401,628785
2009-07-16$34.51$30.0042.3%12.1%30.3%17.0%0.0%6.2%-1.7%32.3K-2.9M-10.0K0.0054.44001,628785
2009-07-17$35.38$30.0041.5%11.9%30.0%16.1%41.5%5.7%-1.2%29.7K-3.3M-9.2K0.0029.331401,558714
2009-07-20$36.04$30.0041.9%12.0%30.1%16.6%0.0%5.0%-1.8%31.5K-1.9M-8.8K0.0037.86001,095659
2009-07-21$35.26$30.0040.6%11.6%30.7%15.2%40.6%5.4%-1.5%34.1K-1.6M-8.7K0.0047.943201,095659
2009-07-22$34.38$30.0034.8%10.0%32.5%9.1%34.8%6.3%1.5%38.5K-1.3M-8.8K2.0078.605101,125659
2009-07-23$35.17$35.0034.5%9.9%32.9%8.7%34.5%4.2%0.7%38.5K-1.7M-8.7K0.3084.941031,130669
2009-07-24$35.41$35.0034.9%10.0%31.5%9.2%34.9%5.3%0.5%40.4K-1.7M-8.6K2.2086.9010221,140672
2009-07-27$35.25$35.0035.0%10.0%30.9%9.2%0.0%6.0%0.7%38.2K-1.6M-8.5K0.0087.26001,144694
2009-07-28$34.82$35.0034.8%10.0%31.0%9.0%0.0%2.9%0.7%38.5K-1.4M-8.5K0.0085.831001,144694
2009-07-29$34.86$35.0035.0%10.0%30.4%9.2%0.0%6.1%0.4%40.2K-1.4M-8.5K0.0087.66001,154694
2009-07-30$34.76$35.0034.4%9.9%30.0%8.6%0.0%4.4%0.8%39.7K-1.5M-8.4K0.0086.662001,154694
2009-07-31$34.85$35.0034.1%9.8%29.9%8.3%0.0%5.0%0.5%41.1K-1.6M-8.3K0.0087.70001,174694