LII Options History — November 2010

In November 2010, LII traded between $39.51 and $43.99. ATM implied volatility averaged 31.5%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 6.8% (HV 20d: 24.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.83.

Notable Days

  • 2010-11-29: Highest Volume — 57 contracts
  • 2010-11-26: Largest IV spike — 97.5% change
  • 2010-11-26: Highest IV Rank — 70.6%
  • 2010-11-26: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.47$39.51$43.99$40.73$43.99
Max Pain$44.05$40.00$45.00$40.00$45.00
ATM IV31.5%21.0%61.9%26.7%33.1%
Expected Move9.4%7.2%17.7%7.7%9.5%
HV 20d24.8%22.6%28.7%26.3%23.7%
HV 60d24.9%24.0%26.6%26.6%24.6%
IV Rank19.0%1.1%70.6%10.9%21.7%
IV Percentile47.7%1.2%98.8%26.2%65.1%
Term Structure1.6%-25.7%11.1%4.7%-2.6%
VWIV31.0%23.6%34.3%27.8%23.6%
Skew 25d2.2%-3.6%17.8%3.6%7.2%
Skew 10d2.8%-6.0%12.4%8.4%12.4%
Call IV 25d29.9%24.2%42.8%28.7%29.1%
Put IV 25d32.1%25.4%60.6%32.4%36.2%
Bid-Ask Spread %86.6766.68145.2785.7875.08
Gamma HHI0.760.430.930.810.43
Net GEX-74.1K-171.3K-5.1K-77.7K-6.4K
Net DEX511.3K-101.5K1.1M741.1K-101.5K
Net VEX-2.9K-3.5K-2.4K-3.5K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.0017.001.000.00
Total Volume11.238057210
Total OI746.095522878803560

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$40.73$40.0026.7%7.7%26.3%10.9%0.0%3.6%4.7%-77.7K741.1K-3.5K0.0085.7802294509
2010-11-02$40.50$40.0025.3%7.2%24.3%8.4%0.0%-3.5%6.6%-84.8K777.4K-3.4K0.0089.38011294507
2010-11-03$40.28$40.0025.7%7.4%24.2%9.1%0.0%4.7%5.6%-88.7K868.0K-3.4K0.0085.1100294518
2010-11-04$41.44$40.0025.8%7.4%25.8%9.2%0.0%-0.0%6.3%-76.2K584.5K-3.4K0.0093.1900294518
2010-11-05$41.66$45.0021.0%9.0%24.4%1.1%0.0%0.9%2.8%-72.7K507.0K-3.3K0.0080.9900294518
2010-11-08$41.75$45.0027.5%9.2%24.0%12.3%0.0%2.0%2.6%-71.1K483.4K-3.2K0.0081.7500294518
2010-11-09$40.85$45.0025.7%9.2%25.0%9.1%27.8%-2.2%2.0%-99.3K701.6K-3.1K0.0081.8903294518
2010-11-10$40.73$45.0025.7%9.0%23.9%9.1%0.0%-0.4%2.6%-106.1K734.7K-3.0K1.0087.091010294518
2010-11-11$40.84$45.0031.6%9.1%23.8%19.2%0.0%5.8%3.2%-104.9K661.6K-3.0K0.0082.4500304528
2010-11-12$40.32$45.0034.1%9.8%24.1%23.4%34.1%-2.9%1.9%-123.9K820.5K-3.0K1.1486.432225304528
2010-11-15$40.31$45.0033.4%9.6%24.1%22.2%0.0%-3.6%2.5%-145.7K754.5K-3.0K0.0082.0600324539
2010-11-16$39.51$45.0033.3%9.5%24.8%22.0%0.0%-0.9%2.6%-129.1K1.1M-2.8K0.0091.7401324539
2010-11-17$40.18$45.0034.3%9.8%25.9%23.7%34.3%4.1%2.4%-171.3K873.6K-2.8K0.0090.4720324539
2010-11-18$41.48$45.0034.5%9.9%28.4%24.2%34.1%0.1%1.7%-68.6K324.4K-2.8K3.5081.391035326539
2010-11-19$42.15$45.0033.2%9.5%28.7%21.8%0.0%0.7%3.8%-37.0K224.6K-2.7K0.0082.0600326552
2010-11-22$42.66$45.0031.7%9.1%27.4%19.3%0.0%5.2%11.1%-22.4K188.1K-2.6K0.0066.68100215307
2010-11-23$42.37$45.0034.5%9.9%23.0%24.1%0.0%2.8%-0.9%-24.2K214.6K-2.6K0.0083.24010225307
2010-11-24$43.03$45.0031.3%9.0%22.7%18.7%31.7%2.4%0.3%-20.7K129.0K-2.6K17.0082.64117225307
2010-11-26$43.15$45.0061.9%17.7%22.6%70.6%0.0%17.8%-25.7%-5.1K12.2K-2.7K0.00145.2700226299
2010-11-29$42.97$45.0031.7%9.1%22.8%19.4%31.8%3.0%0.6%-19.6K96.4K-2.4K0.0485.44552226299
2010-11-30$43.99$45.0033.1%9.5%23.7%21.7%23.6%7.2%-2.6%-6.4K-101.5K-2.6K0.0075.08100259301