LII Options History — August 2010

In August 2010, LII traded between $41.80 and $46.44. ATM implied volatility averaged 33.3%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 0.3% (HV 20d: 32.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.15.

Notable Days

  • 2010-08-17: Highest Volume — 365 contracts
  • 2010-08-24: Largest IV spike — 58.0% change
  • 2010-08-26: Highest IV Rank — 100.0%
  • 2010-08-26: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.94$41.80$46.44$45.31$42.39
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV33.3%25.2%54.4%29.3%43.0%
Expected Move9.6%7.2%15.6%8.4%12.3%
HV 20d32.9%28.3%36.3%33.8%28.4%
HV 60d34.5%30.5%38.1%38.1%30.5%
IV Rank42.9%16.8%100.0%31.0%66.7%
IV Percentile54.9%8.7%100.0%34.5%97.6%
Term Structure-1.0%-17.8%14.6%1.7%-9.6%
VWIV37.7%25.6%61.2%26.0%33.7%
Skew 25d8.5%0.3%30.5%7.6%10.4%
Skew 10d12.8%-0.9%45.6%10.7%11.1%
Call IV 25d32.6%24.1%57.0%26.3%29.5%
Put IV 25d41.2%26.2%65.3%33.9%39.9%
Bid-Ask Spread %104.1879.52141.9185.01122.91
Gamma HHI0.490.340.700.470.55
Net GEX27.9K9.2K65.6K21.9K48.4K
Net DEX-295.9K-769.2K126.0K-562.1K-132.1K
Net VEX-4.4K-5.7K-3.4K-3.8K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.009.509.500.00
Total Volume45.4550365210
Total OI910.6826651,2626701,262

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$45.31$45.0029.3%8.4%33.8%31.0%26.0%7.6%1.7%21.9K-562.1K-3.8K9.5085.01219388282
2010-08-03$45.25$45.0029.3%8.4%33.6%30.9%0.0%6.0%2.0%21.6K-546.4K-3.8K0.0084.40010386279
2010-08-04$45.74$45.0029.2%8.4%32.0%30.7%29.0%3.3%0.6%23.9K-637.0K-3.7K5.5087.85211386289
2010-08-05$45.53$45.0029.3%8.4%32.1%30.9%0.0%3.6%-0.4%22.8K-577.4K-3.7K0.0087.7800386299
2010-08-06$45.71$45.0027.9%8.4%31.9%26.0%0.0%4.5%2.1%23.4K-582.9K-3.6K0.0079.52037386298
2010-08-09$46.44$45.0026.7%8.1%32.3%21.9%25.7%0.3%4.4%23.0K-769.2K-3.6K0.0083.6620386320
2010-08-10$45.53$45.0029.6%8.7%32.3%32.0%0.0%5.7%1.6%19.9K-592.2K-3.7K0.0089.8100384320
2010-08-11$43.56$45.0026.4%8.6%35.9%20.8%0.0%8.8%1.9%15.7K-189.2K-3.6K0.0090.6400384320
2010-08-12$42.64$45.0033.6%9.6%36.3%45.8%33.6%5.9%0.8%9.2K24.0K-3.5K0.71121.732115384320
2010-08-13$42.93$45.0028.4%8.2%34.0%28.0%0.0%5.6%2.3%14.3K126.0K-3.4K0.0088.3302404328
2010-08-16$43.16$45.0029.1%8.4%34.1%30.4%0.0%2.9%1.6%12.5K69.7K-3.4K0.0097.4300404330
2010-08-17$44.45$45.0036.6%10.5%34.9%55.9%39.4%30.5%-11.7%15.3K-258.8K-3.6K0.79114.54204161404330
2010-08-18$44.99$45.0042.1%12.1%35.1%75.1%42.1%8.3%-4.5%36.1K-618.1K-5.7K5.00116.361050592481
2010-08-19$44.06$45.0034.0%9.8%34.8%47.2%60.5%11.5%-1.7%48.5K-403.0K-5.3K0.67141.913020602511
2010-08-20$44.03$45.0037.3%10.7%34.2%58.3%61.2%8.3%-11.4%45.8K-268.8K-5.1K2.00117.111020612520
2010-08-23$43.56$45.0025.2%7.2%34.3%16.8%25.6%2.7%6.3%65.6K-402.8K-5.1K0.0894.6512610582455
2010-08-24$42.40$45.0039.8%11.4%32.2%67.1%37.3%5.5%-8.6%46.5K-183.4K-5.2K0.00115.660166636465
2010-08-25$42.32$45.0041.6%11.9%31.2%73.4%33.7%7.6%-7.9%25.3K45.5K-5.3K1.00130.651010636564
2010-08-26$41.80$45.0054.4%15.6%31.2%100.0%0.0%21.3%-17.8%10.7K42.5K-5.6K0.50129.952010646574
2010-08-27$42.67$45.0027.7%7.9%31.5%21.7%0.0%24.2%14.6%24.1K-12.8K-5.2K0.00123.9900666584
2010-08-30$42.23$45.0031.5%9.0%28.3%32.9%0.0%2.7%11.3%40.1K-81.9K-5.3K0.0088.09220666584
2010-08-31$42.39$45.0043.0%12.3%28.4%66.7%0.0%10.4%-9.6%48.4K-132.1K-5.4K0.00122.9100678584