LII Options History — March 2010

In March 2010, LII traded between $43.21 and $45.50. ATM implied volatility averaged 26.0%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 6.8% (HV 20d: 19.2%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.27.

Notable Days

  • 2010-03-03: Highest Volume — 524 contracts
  • 2010-03-19: Largest IV spike — 9.6% change
  • 2010-03-08: Highest IV Rank — 10.0%
  • 2010-03-02: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.35$43.21$45.50$43.22$44.32
Max Pain$40.65$35.00$45.00$35.00$45.00
ATM IV26.0%24.3%27.9%26.3%24.9%
Expected Move7.4%7.0%7.8%7.5%7.1%
HV 20d19.2%15.9%23.1%22.9%20.8%
HV 60d21.3%21.0%22.0%21.6%21.2%
IV Rank5.4%1.5%10.0%6.1%2.8%
IV Percentile4.6%0.4%12.7%2.8%2.4%
Term Structure0.7%-0.4%2.5%-0.0%1.1%
VWIV25.8%24.3%26.7%24.3%26.2%
Skew 25d2.4%1.7%3.9%2.4%2.0%
Skew 10d3.7%-0.7%7.1%6.8%5.1%
Call IV 25d24.9%24.0%26.0%25.6%24.7%
Put IV 25d27.3%26.7%28.4%28.0%26.7%
Bid-Ask Spread %67.6351.3984.1470.4683.62
Gamma HHI0.740.460.880.460.80
Net GEX108.1K64.7K168.4K68.5K103.5K
Net DEX-1.9M-2.8M-1.3M-1.4M-1.4M
Net VEX-5.9K-8.1K-3.5K-3.5K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.001.000.000.00
Total Volume67.4780524027
Total OI1,078.5658601,398860911

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$43.22$35.0026.3%7.5%22.9%6.1%0.0%0.0%-0.0%68.5K-1.4M-3.5K0.0070.4600583277
2010-03-02$43.44$35.0027.3%7.8%22.9%8.5%0.0%0.0%-0.4%64.9K-1.5M-3.5K0.0063.67010583277
2010-03-03$43.21$35.0026.8%7.7%23.1%7.3%0.0%0.0%0.3%64.7K-1.4M-3.5K0.0071.365240583287
2010-03-04$43.29$35.0026.9%7.7%21.5%7.5%0.0%0.0%-0.2%116.7K-2.2M-7.8K0.6371.7040251,051287
2010-03-05$43.77$40.0025.8%7.7%18.8%4.9%0.0%0.0%2.3%118.9K-2.4M-8.1K0.0053.312001,071307
2010-03-08$44.56$40.0027.9%7.5%16.3%10.0%0.0%0.0%0.3%128.2K-2.8M-8.0K0.0053.4750001,091307
2010-03-09$44.52$40.0026.1%7.4%16.4%5.6%0.0%0.0%1.3%96.2K-2.3M-5.7K0.5054.6463848307
2010-03-10$44.15$40.0026.2%7.4%16.5%5.9%0.0%0.0%1.1%105.3K-2.3M-6.3K0.0062.18360911310
2010-03-11$44.40$40.0026.0%7.5%16.5%5.5%0.0%0.0%1.7%106.3K-2.3M-6.1K0.0051.3900899310
2010-03-12$45.00$40.0024.9%7.1%15.9%2.8%0.0%0.0%2.5%132.2K-2.5M-6.0K1.0052.7411899310
2010-03-15$45.50$40.0025.5%7.3%16.1%4.1%0.0%0.0%1.2%154.3K-2.7M-5.6K0.0060.4902900310
2010-03-16$45.09$40.0025.8%7.4%16.7%5.0%0.0%2.4%0.7%151.8K-2.6M-5.9K0.0061.3300900311
2010-03-17$44.56$40.0025.9%7.4%17.3%5.1%0.0%2.3%0.2%157.4K-2.4M-5.8K0.3168.617222900311
2010-03-18$44.39$40.0024.3%7.0%17.3%1.5%24.3%2.9%2.3%168.4K-2.2M-5.8K0.0073.25220909311
2010-03-19$43.42$40.0026.7%7.6%18.6%6.9%26.7%1.7%-0.2%83.9K-1.9M-5.9K0.0066.831850931311
2010-03-22$44.34$40.0025.9%7.4%20.0%5.1%26.2%3.9%-0.1%87.6K-1.3M-6.3K0.8673.7276696202
2010-03-23$45.40$45.0026.2%7.5%20.5%5.8%26.2%2.1%-0.0%93.1K-1.7M-6.1K0.1969.33275696205
2010-03-24$44.71$45.0025.7%7.4%21.4%4.7%0.0%2.0%0.6%90.8K-1.5M-6.2K0.0074.4800696205
2010-03-25$44.47$45.0025.9%7.4%21.1%5.1%0.0%2.9%-0.2%93.0K-1.5M-6.2K0.0069.5410696205
2010-03-26$44.64$45.0024.9%7.1%21.0%2.8%0.0%1.8%0.9%98.3K-1.5M-6.0K0.0081.8800696205
2010-03-29$44.59$45.0026.0%7.5%19.5%5.5%0.0%0.0%0.3%99.7K-1.5M-6.0K0.0084.1400696205
2010-03-30$45.10$45.0026.3%7.5%19.7%6.0%0.0%2.7%-0.2%102.7K-1.6M-6.0K0.0083.32010696205
2010-03-31$44.32$45.0024.9%7.1%20.8%2.8%0.0%2.0%1.1%103.5K-1.4M-5.9K0.0083.62027696215