LII Options History — March 2011

In March 2011, LII traded between $48.06 and $52.58. ATM implied volatility averaged 23.6%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.4% (HV 20d: 22.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.78.

Notable Days

  • 2011-03-30: Highest Volume — 122 contracts
  • 2011-03-10: Largest IV spike — 33.5% change
  • 2011-03-16: Highest IV Rank — 13.0%
  • 2011-03-16: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.64$48.06$52.58$48.06$52.58
Max Pain$49.35$45.00$50.00$45.00$50.00
ATM IV23.6%15.2%26.2%23.3%15.2%
Expected Move6.8%4.4%7.5%6.7%4.4%
HV 20d22.2%19.5%25.2%25.2%20.3%
HV 60d21.8%20.0%22.5%20.0%22.3%
IV Rank9.0%0.0%13.0%8.2%0.0%
IV Percentile10.2%0.0%28.6%2.8%0.0%
Term Structure2.7%-0.3%10.7%0.9%10.7%
VWIV24.1%23.7%24.6%23.7%23.9%
Skew 25d3.3%-3.7%17.4%3.1%8.9%
Skew 10d4.8%-10.6%39.8%6.1%27.7%
Call IV 25d20.4%14.2%24.1%23.5%14.2%
Put IV 25d23.8%20.3%37.5%26.6%23.1%
Bid-Ask Spread %100.8996.05107.0898.54107.08
Gamma HHI0.700.470.900.700.47
Net GEX55.4K-7.8K149.2K46.5K-7.8K
Net DEX-562.8K-1.1M-168.9K-219.1K-276.2K
Net VEX-3.5K-4.0K-3.1K-3.8K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.005.001.000.00
Total Volume11.3480122810
Total OI617.652374758747518

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$48.06$45.0023.3%6.7%25.2%8.2%23.7%3.1%0.9%46.5K-219.1K-3.8K1.0098.5444482265
2011-03-02$48.27$45.0023.8%6.8%23.1%9.1%0.0%-3.7%0.4%48.2K-250.4K-3.9K0.00100.0700479265
2011-03-03$49.47$45.0024.4%7.0%24.8%10.1%24.4%0.2%-0.3%63.9K-495.0K-4.0K0.2796.05154479265
2011-03-04$49.19$50.0023.2%6.8%24.2%8.1%0.0%5.4%2.7%65.9K-438.9K-3.9K0.0098.4500489265
2011-03-07$49.21$50.0024.4%6.8%19.5%10.1%23.9%5.9%2.5%68.6K-433.3K-3.8K0.0099.2130489265
2011-03-08$50.98$50.0024.8%6.9%23.1%10.7%24.3%-1.5%2.0%79.3K-892.5K-4.0K5.0099.89315492265
2011-03-09$51.84$50.0018.4%7.0%22.6%0.3%0.0%1.8%1.4%71.3K-1.1M-3.6K0.0099.3700492250
2011-03-10$51.13$50.0024.6%7.0%21.6%10.4%0.0%-0.5%1.9%84.7K-959.6K-3.7K0.00100.0700492250
2011-03-11$51.57$50.0024.7%7.1%21.8%10.6%24.6%0.3%2.2%72.5K-1.1M-3.5K0.0099.92260492250
2011-03-14$51.15$50.0024.7%7.1%22.0%10.6%0.0%-0.7%2.2%93.4K-1.1M-3.5K0.00100.1200508250
2011-03-15$50.73$50.0025.8%7.4%22.0%12.4%0.0%3.8%3.4%120.9K-981.2K-3.5K0.00101.1860508250
2011-03-16$49.99$50.0026.2%7.5%22.1%13.0%0.0%0.9%2.2%127.4K-742.2K-3.5K0.00100.1350502250
2011-03-17$50.13$50.0025.5%7.3%22.1%11.9%0.0%1.2%2.2%149.2K-766.6K-3.4K0.00101.2800502250
2011-03-18$50.97$50.0025.2%7.2%23.0%11.4%0.0%-0.9%1.6%93.5K-1.1M-3.2K0.0099.0200502250
2011-03-21$51.55$50.0024.6%7.1%23.3%10.4%0.0%6.0%1.9%17.7K-317.0K-3.1K0.00101.7700213161
2011-03-22$51.08$50.0023.7%6.8%22.6%9.0%0.0%4.6%2.6%17.9K-293.1K-3.1K0.00102.1000213161
2011-03-23$50.75$50.0024.0%6.9%21.4%9.5%0.0%3.7%2.0%18.2K-246.9K-3.1K0.00101.83022213161
2011-03-24$51.02$50.0023.9%6.8%21.1%9.2%23.9%5.5%2.1%13.5K-241.4K-3.3K0.00102.00022213183
2011-03-25$50.82$50.0022.7%6.5%21.1%7.3%0.0%3.7%3.3%7.0K-192.2K-3.4K0.00103.1200213205
2011-03-28$50.78$50.0023.8%6.8%21.1%9.1%0.0%3.7%3.7%7.1K-168.9K-3.3K0.00102.0200213205
2011-03-29$51.14$50.0024.7%7.1%20.7%10.6%0.0%17.4%1.8%7.5K-201.0K-3.2K0.00101.2800213205
2011-03-30$52.21$50.0021.9%6.3%21.6%5.9%0.0%8.2%9.1%8.0K-378.9K-3.2K0.00106.050122213205
2011-03-31$52.58$50.0015.2%4.4%20.3%0.0%0.0%8.9%10.7%-7.8K-276.2K-3.7K0.00107.08100213305