LII Options History — May 2011 In May 2011, LII traded between $45.76 and $49.45. ATM implied volatility averaged 25.6%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 1.0% (HV 20d: 24.5%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2011-05-26 : Highest Volume — 200 contracts2011-05-18 : Largest IV spike — 26.4% change2011-05-19 : Highest IV Rank — 21.0%2011-05-06 : Largest Expected Move — 8.9%Monthly Statistics Metric Avg Min Max Open Close Price $47.75 $45.76 $49.45 $48.76 $46.61 Max Pain $50.95 $50.00 $55.00 $55.00 $50.00 ATM IV 25.6% 22.4% 28.7% 24.0% 26.4% Expected Move 7.6% 6.4% 8.9% 6.9% 7.6% HV 20d 24.5% 14.7% 29.6% 28.2% 15.0% HV 60d 22.9% 22.2% 24.7% 24.7% 22.2% IV Rank 16.2% 11.2% 21.0% 13.7% 17.5% IV Percentile 23.9% 4.0% 45.2% 10.3% 32.5% Term Structure 0.8% -4.7% 3.2% 1.3% 2.7% VWIV 22.5% 22.5% 22.5% 22.5% 22.5% Skew 25d 4.6% -1.9% 10.0% 6.1% 7.7% Skew 10d 7.8% -1.1% 28.3% 9.4% 28.3% Call IV 25d 22.9% 19.7% 26.4% 23.1% 21.6% Put IV 25d 27.5% 22.2% 30.6% 29.2% 29.3% Bid-Ask Spread % 100.88 95.72 106.21 96.11 101.32 Gamma HHI 0.75 0.43 0.87 0.85 0.47 Net GEX -67.6K -157.3K 4.8K -112.9K -2.1K Net DEX 1.2M 319.0K 2.0M 1.2M 402.8K Net VEX -2.3K -3.6K -995 -3.6K -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 12.143 0 200 0 15 Total OI 684.19 385 793 753 585
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2011-05-02 $48.76 $55.00 24.0% 6.9% 28.2% 13.7% 0.0% 6.1% 1.3% -112.9K 1.2M -3.6K 0.00 96.11 0 0 203 550 2011-05-03 $48.24 $55.00 25.2% 7.2% 28.1% 15.6% 0.0% 3.8% -0.4% -100.4K 1.4M -3.2K 0.00 95.72 0 0 203 550 2011-05-04 $48.09 $55.00 24.2% 6.9% 28.0% 14.1% 0.0% 4.1% -0.0% -99.2K 1.5M -3.1K 0.00 97.26 30 0 203 550 2011-05-05 $49.00 $55.00 23.6% 6.8% 29.2% 13.2% 0.0% -1.1% 1.6% -123.3K 1.2M -3.6K 0.00 97.61 0 0 233 550 2011-05-06 $49.45 $50.00 24.0% 8.9% 29.6% 13.8% 0.0% -1.9% -4.7% -133.9K 1.1M -3.6K 0.00 101.51 0 0 233 550 2011-05-09 $49.23 $50.00 23.3% 7.8% 28.1% 12.6% 0.0% 9.8% -0.0% -150.8K 1.1M -3.5K 0.00 96.64 0 0 233 550 2011-05-10 $49.36 $50.00 23.5% 7.7% 27.8% 13.0% 0.0% 7.8% 0.4% -157.3K 1.1M -3.4K 0.00 98.78 0 0 233 550 2011-05-11 $48.70 $50.00 23.5% 7.5% 28.0% 13.0% 0.0% 5.2% 1.7% -137.6K 1.4M -3.0K 0.00 100.34 0 0 233 550 2011-05-12 $49.05 $50.00 26.4% 7.6% 28.2% 17.5% 0.0% 4.9% 0.9% -153.1K 1.2M -3.2K 0.00 102.28 0 0 233 550 2011-05-13 $48.25 $50.00 24.0% 6.9% 28.1% 13.7% 0.0% 3.4% 2.0% -106.5K 1.7M -2.4K 0.00 101.46 0 0 233 550 2011-05-16 $48.08 $50.00 26.4% 7.6% 27.9% 17.5% 0.0% 4.3% 0.1% -81.7K 1.8M -2.1K 0.00 100.73 0 0 233 550 2011-05-17 $47.51 $50.00 22.4% 6.4% 27.8% 11.2% 0.0% 3.5% 1.7% -46.3K 1.9M -1.8K 0.00 102.05 0 10 233 550 2011-05-18 $47.39 $50.00 28.3% 8.1% 27.6% 20.4% 0.0% 1.1% -0.2% -21.5K 2.0M -1.7K 0.00 100.39 0 0 233 560 2011-05-19 $47.13 $50.00 28.7% 8.2% 24.9% 21.0% 0.0% 3.6% 0.4% -9.2K 2.0M -1.6K 0.00 102.52 0 0 233 560 2011-05-20 $46.69 $50.00 28.4% 8.2% 24.3% 20.7% 0.0% 1.0% 0.7% 2.1K 1.8M -1.5K 0.00 103.14 0 0 233 523 2011-05-23 $46.06 $50.00 26.9% 7.7% 24.4% 18.2% 0.0% 5.7% 3.2% 4.2K 379.3K -1.1K 0.00 104.86 0 0 223 172 2011-05-24 $45.76 $50.00 27.8% 8.0% 15.2% 19.7% 0.0% 3.9% 0.7% 3.6K 355.8K -995 0.00 104.18 0 0 223 162 2011-05-25 $46.33 $50.00 27.5% 7.9% 14.7% 19.2% 0.0% 7.1% 1.5% 4.3K 335.2K -1.1K 0.00 103.37 0 0 223 162 2011-05-26 $46.61 $50.00 27.1% 7.8% 15.0% 18.6% 22.5% 6.7% 1.1% 4.8K 319.0K -1.1K 0.00 106.21 0 200 223 162 2011-05-27 $46.47 $50.00 25.5% 7.3% 15.0% 16.1% 0.0% 10.0% 2.9% -2.4K 395.0K -1.3K 0.00 101.89 0 0 223 362 2011-05-31 $46.61 $50.00 26.4% 7.6% 15.0% 17.5% 0.0% 7.7% 2.7% -2.1K 402.8K -1.2K 0.00 101.32 0 15 223 362
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