LII Options History — June 2010

In June 2010, LII traded between $41.02 and $45.09. ATM implied volatility averaged 35.1%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 6.9% (HV 20d: 42.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2010-06-04: Highest Volume — 66 contracts
  • 2010-06-07: Largest IV spike — 29.8% change
  • 2010-06-08: Highest IV Rank — 100.0%
  • 2010-06-09: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.30$41.02$45.09$43.99$41.57
Max Pain$44.32$40.00$45.00$40.00$45.00
ATM IV35.1%29.1%49.4%35.1%34.4%
Expected Move9.8%8.3%11.9%10.1%9.9%
HV 20d42.1%36.7%49.2%45.9%38.1%
HV 60d38.7%35.8%40.3%35.8%40.3%
IV Rank51.0%30.3%100.0%51.1%48.6%
IV Percentile60.4%31.7%100.0%67.1%63.1%
Term Structure1.7%-3.4%4.8%-0.2%4.8%
VWIV32.3%25.8%40.7%25.8%29.1%
Skew 25d5.0%-3.6%15.9%7.9%4.9%
Skew 10d9.3%-4.3%18.9%12.9%11.0%
Call IV 25d33.8%29.3%41.0%29.7%34.1%
Put IV 25d38.9%31.3%47.3%37.6%39.0%
Bid-Ask Spread %65.8844.8391.3444.8356.92
Gamma HHI0.510.280.830.530.36
Net GEX40.6K-5.7K89.8K63.1K-5.7K
Net DEX-443.2K-1.3M190.3K-996.4K190.3K
Net VEX-3.7K-4.8K-3.0K-4.8K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.0015.000.000.00
Total Volume26.8640661020
Total OI842.9094221,076987545

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$43.99$40.0035.1%10.1%45.9%51.1%0.0%7.9%-0.2%63.1K-996.4K-4.8K0.0044.83100683304
2010-06-02$44.81$40.0034.5%9.9%44.4%48.9%0.0%1.8%0.2%68.4K-1.2M-4.8K0.0079.9600693304
2010-06-03$45.09$40.0032.8%9.4%43.5%43.2%0.0%2.6%1.0%71.6K-1.3M-4.7K0.0079.58100693304
2010-06-04$42.59$45.0034.8%8.5%47.8%50.2%25.8%4.1%1.4%58.0K-569.4K-4.3K0.0091.34066703304
2010-06-07$41.02$45.0045.2%11.7%49.2%86.0%40.7%0.5%-3.4%40.7K-148.8K-3.8K0.0062.63032703324
2010-06-08$41.58$45.0049.4%11.7%41.5%100.0%0.0%7.8%-0.8%41.4K-205.4K-4.1K0.2357.30225703356
2010-06-09$41.54$45.0046.7%11.9%41.5%90.7%0.0%15.9%-1.2%43.6K-257.1K-4.3K0.0050.10200725351
2010-06-10$43.49$45.0038.2%11.0%43.4%61.6%0.0%8.0%0.8%67.3K-748.5K-4.4K0.0056.86420705351
2010-06-11$43.73$45.0035.3%10.1%43.3%51.4%35.3%-3.6%2.7%71.3K-800.4K-4.0K0.3156.923210685351
2010-06-14$43.59$45.0035.5%10.2%42.5%52.3%0.0%4.6%2.1%77.3K-729.8K-3.8K0.8060.122520699361
2010-06-15$44.39$45.0034.5%9.9%43.0%48.8%0.0%5.4%1.6%88.9K-951.0K-3.8K0.7566.802015674371
2010-06-16$44.23$45.0034.7%9.9%43.0%49.5%0.0%4.1%0.5%89.8K-759.0K-3.4K0.0064.6100654383
2010-06-17$43.60$45.0035.1%10.1%42.2%51.1%34.9%4.6%0.2%61.8K-445.9K-3.2K0.0069.79100654383
2010-06-18$43.35$45.0032.9%9.4%39.7%43.4%33.1%5.0%1.0%39.9K-340.4K-3.0K1.7063.891017664383
2010-06-21$44.41$45.0029.6%8.5%40.4%31.9%29.8%6.1%4.3%11.4K-262.3K-3.0K0.2060.775010245177
2010-06-22$43.33$45.0030.3%8.7%41.5%34.4%30.0%4.3%3.2%9.7K-155.1K-3.1K0.0068.04054265187
2010-06-23$43.31$45.0030.1%8.6%41.3%33.7%32.7%6.5%3.4%3.3K-50.1K-3.3K15.0067.88345265231
2010-06-24$42.78$45.0029.8%8.5%41.2%32.6%31.1%5.2%3.8%-3.7K51.4K-3.3K0.0068.10020266271
2010-06-25$43.84$45.0029.1%8.3%37.4%30.3%29.1%5.2%4.8%-1.7K-54.9K-3.4K1.1072.161011266269
2010-06-28$43.91$45.0030.2%8.6%36.7%33.9%0.0%4.8%3.6%1.1K-119.1K-3.4K0.0078.1410276268
2010-06-29$42.36$45.0034.7%9.9%38.4%49.4%0.0%4.8%4.1%-3.6K99.4K-3.2K0.0072.5310277268
2010-06-30$41.57$45.0034.4%9.9%38.1%48.6%0.0%4.9%4.8%-5.7K190.3K-3.0K0.0056.92200277268