LII Options History — August 2009 In August 2009, LII traded between $33.74 and $37.20. ATM implied volatility averaged 35.1%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 7.2% (HV 20d: 27.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2009-08-21 : Highest Volume — 152 contracts2009-08-10 : Largest IV drop — 8.9% change2009-08-27 : Highest IV Rank — 10.9%2009-08-27 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $35.60 $33.74 $37.20 $35.51 $35.88 Max Pain $35.00 $35.00 $35.00 $35.00 $35.00 ATM IV 35.1% 32.8% 36.6% 34.3% 36.0% Expected Move 10.1% 9.7% 10.5% 9.8% 10.3% HV 20d 27.9% 25.6% 30.7% 29.0% 30.0% HV 60d 30.9% 27.6% 33.9% 33.9% 28.5% IV Rank 9.4% 7.0% 10.9% 8.6% 10.3% IV Percentile 5.7% 1.2% 11.1% 1.6% 9.9% Term Structure 0.9% -0.6% 2.7% 0.3% 1.1% VWIV 36.4% 32.8% 43.2% 34.3% 32.8% Skew 25d 7.0% -3.1% 14.9% 3.6% -3.1% Skew 10d 9.7% -5.6% 26.4% 5.5% -5.6% Call IV 25d 29.8% 22.7% 37.4% 32.6% 37.4% Put IV 25d 36.8% 29.8% 40.4% 36.2% 34.3% Bid-Ask Spread % 73.45 28.79 99.69 87.10 55.05 Gamma HHI 0.61 0.52 0.77 0.53 0.75 Net GEX 41.5K 27.7K 51.8K 43.6K 34.6K Net DEX -1.9M -2.7M -763.7K -1.8M -2.0M Net VEX -6.4K -7.9K -4.7K -7.9K -5.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 17.048 0 152 2 10 Total OI 1,848.857 1,748 1,910 1,868 1,770
Daily Data (21 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 2009-08-03 $35.51 $35.00 34.3% 9.8% 29.0% 8.6% 34.3% 3.6% 0.3% 43.6K -1.8M -7.9K 0.00 87.10 2 0 1,174 694 2009-08-04 $35.64 $35.00 35.8% 10.3% 28.0% 10.1% 0.0% 4.6% -0.1% 42.5K -1.9M -7.8K 0.00 86.07 0 0 1,176 694 2009-08-05 $35.14 $35.00 35.1% 10.1% 28.8% 9.4% 0.0% 3.8% 0.3% 43.7K -1.7M -7.8K 0.00 71.58 0 0 1,176 694 2009-08-06 $35.01 $35.00 34.1% 9.8% 28.7% 8.3% 0.0% 4.0% -0.6% 44.0K -1.7M -7.7K 0.00 71.80 0 0 1,176 694 2009-08-07 $35.88 $35.00 36.0% 10.1% 29.2% 10.4% 0.0% 4.3% 2.5% 43.3K -2.1M -7.4K 0.00 74.41 0 0 1,176 694 2009-08-10 $35.19 $35.00 32.8% 10.0% 30.2% 7.0% 0.0% 3.8% 0.7% 48.6K -1.7M -7.2K 0.00 74.38 0 0 1,176 694 2009-08-11 $34.58 $35.00 34.6% 10.2% 30.7% 8.9% 0.0% 12.3% 0.5% 47.2K -1.4M -7.2K 0.00 81.03 0 10 1,176 694 2009-08-12 $35.22 $35.00 34.0% 10.0% 26.7% 8.2% 0.0% 13.4% 1.6% 47.2K -1.8M -7.0K 0.00 85.16 0 10 1,176 704 2009-08-13 $35.66 $35.00 34.3% 9.8% 26.1% 8.6% 0.0% 14.9% 1.4% 46.9K -2.0M -6.8K 0.00 84.92 0 10 1,176 714 2009-08-14 $34.74 $35.00 34.0% 9.7% 26.3% 8.2% 0.0% 9.3% 1.7% 49.8K -1.4M -6.9K 0.00 80.90 0 10 1,176 724 2009-08-17 $33.74 $35.00 34.2% 9.8% 27.1% 8.4% 0.0% 10.2% 2.0% 43.4K -763.7K -6.5K 0.00 77.01 0 10 1,176 734 2009-08-18 $34.60 $35.00 35.3% 10.1% 28.0% 9.6% 43.2% 12.8% 0.9% 51.8K -1.3M -6.5K 0.00 80.82 0 36 1,176 734 2009-08-19 $34.68 $35.00 35.2% 10.1% 26.5% 9.5% 0.0% 12.5% 1.2% 47.4K -1.3M -6.5K 0.00 82.43 0 20 1,144 744 2009-08-20 $35.14 $35.00 35.3% 10.1% 25.6% 9.6% 35.2% 3.7% 1.1% 51.3K -1.6M -6.4K 0.00 89.31 20 0 1,144 754 2009-08-21 $36.03 $35.00 36.6% 10.5% 27.0% 10.9% 36.6% 0.0% 1.1% 37.6K -2.3M -6.0K 0.00 99.69 152 0 1,151 754 2009-08-24 $36.87 $35.00 36.4% 10.4% 28.0% 10.7% 0.0% 4.1% 0.4% 31.6K -2.4M -5.3K 0.00 55.44 0 2 1,060 689 2009-08-25 $37.20 $35.00 35.0% 10.0% 27.6% 9.3% 0.0% 3.6% 2.7% 29.7K -2.7M -4.8K 0.00 28.79 2 0 1,060 688 2009-08-26 $37.03 $35.00 36.2% 10.4% 27.7% 10.6% 32.8% 4.3% 0.7% 29.5K -2.6M -4.9K 0.00 47.46 0 64 1,062 688 2009-08-27 $36.81 $35.00 36.6% 10.5% 27.8% 10.9% 0.0% 3.3% -0.3% 30.8K -2.4M -5.0K 0.00 61.84 0 0 1,062 708 2009-08-28 $37.08 $35.00 35.8% 10.3% 27.9% 10.1% 0.0% 14.0% 0.2% 27.7K -2.6M -4.7K 0.00 67.33 0 0 1,062 708 2009-08-31 $35.88 $35.00 36.0% 10.3% 30.0% 10.3% 0.0% -3.1% 1.1% 34.6K -2.0M -5.1K 0.00 55.05 0 10 1,062 708
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