LII Options History — June 2011

In June 2011, LII traded between $42.72 and $45.00. ATM implied volatility averaged 26.7%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.6% (HV 20d: 20.1%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2011-06-07: Highest Volume — 34 contracts
  • 2011-06-09: Largest IV spike — 36.7% change
  • 2011-06-14: Highest IV Rank — 22.2%
  • 2011-06-14: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.42$42.72$45.00$45.00$43.07
Max Pain$43.64$40.00$50.00$50.00$45.00
ATM IV26.7%20.7%29.4%28.4%26.4%
Expected Move7.9%6.3%8.4%8.1%7.6%
HV 20d20.1%16.6%22.9%18.9%18.8%
HV 60d22.4%21.6%23.3%23.3%22.0%
IV Rank17.9%8.5%22.2%20.6%17.4%
IV Percentile37.2%2.8%57.1%45.6%35.3%
Term Structure3.1%-0.7%15.1%1.0%3.6%
VWIV34.7%27.6%38.2%34.5%38.2%
Skew 25d7.0%-2.4%11.9%-2.4%10.4%
Skew 10d10.5%-4.1%28.5%-4.1%12.7%
Call IV 25d26.9%22.9%32.2%26.5%27.3%
Put IV 25d33.9%24.1%37.6%24.1%37.6%
Bid-Ask Spread %100.2993.52107.2899.70101.23
Gamma HHI0.670.480.770.530.70
Net GEX-23.0K-28.3K-13.8K-13.8K-25.7K
Net DEX491.0K258.3K681.5K561.0K258.3K
Net VEX-1.2K-1.4K-1.0K-1.1K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.001.200.421.20
Total Volume7.318034281
Total OI528.136333706600343

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$45.00$50.0028.4%8.1%18.9%20.6%0.0%-2.4%1.0%-13.8K561.0K-1.1K0.0099.70028223377
2011-06-02$44.85$50.0025.9%7.4%18.9%16.7%0.0%-0.6%2.5%-15.2K586.5K-1.1K0.00104.8100223405
2011-06-03$44.30$40.0027.4%8.3%17.2%19.1%34.5%10.4%1.8%-20.3K621.1K-1.1K0.0093.5203223405
2011-06-06$44.41$40.0025.6%8.3%16.6%16.3%36.3%11.0%1.1%-17.3K609.8K-1.0K0.0096.1901223408
2011-06-07$43.22$40.0024.4%8.2%18.3%14.4%34.2%8.0%-0.7%-25.7K660.9K-1.0K0.4294.902410223409
2011-06-08$43.26$40.0020.7%8.1%18.2%8.5%37.0%9.5%-0.2%-22.1K624.8K-1.2K0.0095.8407247419
2011-06-09$43.20$40.0028.2%8.1%18.1%20.4%0.0%9.2%0.6%-22.6K645.2K-1.2K0.0097.3410247426
2011-06-10$43.31$40.0027.6%7.9%17.7%19.3%0.0%8.9%0.4%-22.1K627.4K-1.2K0.0097.0900247426
2011-06-13$43.31$40.0029.2%8.4%17.4%21.8%0.0%4.4%0.9%-20.9K620.6K-1.1K0.00102.1300247426
2011-06-14$44.36$40.0029.4%8.4%20.3%22.2%33.2%11.9%0.4%-14.1K569.7K-1.1K0.0097.02021247426
2011-06-15$42.99$45.0027.6%7.9%22.4%19.3%27.6%6.5%1.7%-25.4K663.9K-1.1K1.2097.911012247437
2011-06-16$42.99$45.0028.7%8.2%22.4%21.1%36.6%9.0%1.0%-24.3K681.5K-1.3K0.0099.0701257448
2011-06-17$43.37$45.0027.6%7.9%22.9%19.3%38.2%9.4%0.8%-22.2K658.8K-1.2K0.0096.73031257449
2011-06-20$43.00$45.0026.6%7.6%22.9%17.8%0.0%7.2%13.3%-27.3K291.1K-1.4K0.00100.710194239
2011-06-21$43.10$45.0025.6%7.3%22.7%16.3%0.0%7.1%12.9%-25.1K303.0K-1.4K0.00102.620094239
2011-06-22$42.94$45.0025.0%7.2%22.7%15.3%0.0%4.5%15.1%-26.1K309.4K-1.3K0.00104.880094239
2011-06-23$43.17$45.0028.7%8.2%22.2%21.2%0.0%6.1%3.3%-27.2K294.8K-1.3K0.00104.6401094239
2011-06-24$42.87$45.0027.4%7.9%21.9%19.1%0.0%4.4%2.0%-26.6K309.5K-1.3K0.00107.040094249
2011-06-27$42.72$45.0025.9%7.4%21.9%16.7%0.0%8.5%2.8%-28.3K321.1K-1.3K0.00104.620094249
2011-06-28$42.82$45.0028.8%8.3%21.9%21.3%0.0%5.1%-0.3%-26.5K313.2K-1.3K0.00101.120094249
2011-06-29$42.97$45.0022.1%6.3%18.7%10.8%0.0%5.3%3.7%-27.1K270.8K-1.2K0.00107.280094249
2011-06-30$43.07$45.0026.4%7.6%18.8%17.4%0.0%10.4%3.6%-25.7K258.3K-1.1K0.00101.230194249