LII Options History — August 2011

In August 2011, LII traded between $27.63 and $36.55. ATM implied volatility averaged 43.4%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 13.6% (HV 20d: 57.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 33.92.

Notable Days

  • 2011-08-26: Highest Volume — 502 contracts
  • 2011-08-08: Largest IV spike — 61.7% change
  • 2011-08-08: Highest IV Rank — 58.8%
  • 2011-08-22: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.28$27.63$36.55$36.55$31.22
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV43.4%29.8%52.9%29.8%42.3%
Expected Move12.3%8.5%14.6%8.5%12.1%
HV 20d57.0%44.6%65.6%44.6%64.3%
HV 60d39.0%29.7%46.7%29.7%46.5%
IV Rank44.1%22.8%58.8%22.8%42.3%
IV Percentile87.5%63.1%96.8%63.1%83.7%
Term Structure0.3%-4.7%4.9%2.8%3.2%
VWIV41.0%34.0%48.9%34.0%42.4%
Skew 25d3.6%-9.4%13.0%5.7%9.6%
Skew 10d4.9%-14.6%30.4%30.4%12.5%
Call IV 25d38.4%25.0%48.8%25.0%33.4%
Put IV 25d42.0%30.7%51.3%30.7%43.0%
Bid-Ask Spread %100.7494.88106.68106.68103.81
Gamma HHI0.410.270.780.510.75
Net GEX-21.9K-74.9K-4.4K-74.9K-39.3K
Net DEX1.4M660.3K2.3M2.0M1.2M
Net VEX-1.9K-3.9K-1.1K-3.0K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio33.920.00250.000.000.00
Total Volume44.043050209
Total OI1,083.0436081,3671,3541,169

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$36.55$40.0029.8%8.5%44.6%22.8%0.0%5.7%2.8%-74.9K2.0M-3.0K0.00106.6800542812
2011-08-02$35.00$40.0033.5%9.6%46.2%28.5%0.0%0.6%-4.7%-54.4K2.2M-2.4K0.0097.14100542812
2011-08-03$34.52$40.0034.0%9.7%46.2%29.3%34.0%2.3%-1.9%-47.2K2.2M-2.2K0.00103.7805552811
2011-08-04$33.56$40.0036.5%10.5%46.0%33.3%0.0%-2.1%-3.4%-37.5K2.3M-1.9K0.00105.26075552815
2011-08-05$33.45$40.0032.7%10.2%46.1%27.3%0.0%-0.7%-0.8%-34.8K2.0M-1.8K0.0096.10056552744
2011-08-08$31.31$40.0052.9%12.2%49.9%58.8%35.3%4.2%-2.1%-17.6K1.8M-1.3K0.0099.65050552671
2011-08-09$32.23$40.0041.3%12.7%51.5%40.7%41.0%4.0%-2.6%-19.2K1.7M-1.3K8.2094.881082552621
2011-08-10$29.78$40.0049.1%12.7%54.0%53.0%0.0%11.0%4.9%-9.4K1.7M-1.1K0.25100.884010562632
2011-08-11$31.36$40.0046.4%13.3%59.5%48.7%38.5%6.8%2.6%-13.8K1.3M-1.8K1.9096.051019602546
2011-08-12$31.35$40.0045.1%12.9%59.7%46.8%0.0%3.0%2.8%-11.4K1.3M-1.7K0.0096.7800612546
2011-08-15$32.09$40.0044.1%12.7%61.2%45.2%0.0%3.5%4.5%-12.0K1.3M-1.7K0.0095.4300612546
2011-08-16$31.20$40.0044.0%12.6%60.0%45.0%0.0%2.4%4.1%-6.6K1.3M-1.6K0.0095.3200612546
2011-08-17$30.58$40.0045.4%13.0%59.4%47.1%0.0%2.4%2.0%-6.1K1.3M-1.5K0.0099.0100612546
2011-08-18$28.45$40.0050.4%14.4%62.6%54.9%47.2%6.3%-0.9%-4.9K1.2M-1.3K11.00103.06111612497
2011-08-19$27.63$40.0048.0%13.8%61.7%51.3%48.9%2.5%0.6%-4.4K1.2M-1.2K0.0099.07049613496
2011-08-22$28.05$40.0050.8%14.6%63.0%55.5%0.0%4.8%-3.7%-5.6K815.5K-1.2K0.00100.3300269380
2011-08-23$29.53$40.0046.9%13.4%61.0%49.5%0.0%-9.4%-1.0%-6.1K690.6K-1.3K0.00102.31100269339
2011-08-24$29.94$40.0046.1%13.2%60.5%48.2%0.0%4.1%-0.8%-5.7K664.4K-1.4K0.00103.59010279339
2011-08-25$28.78$40.0045.1%12.9%61.5%46.7%0.0%-5.1%-0.7%-5.4K676.7K-1.3K0.00104.60017279334
2011-08-26$30.29$40.0046.4%13.3%63.3%48.8%0.0%4.9%0.6%-6.2K660.3K-1.4K250.00102.892500279351
2011-08-29$31.50$40.0043.9%12.6%65.6%44.8%0.0%13.0%0.6%-40.8K1.2M-3.8K0.00105.06370281851
2011-08-30$31.12$40.0043.9%12.6%64.3%44.7%0.0%9.5%1.1%-39.6K1.2M-3.9K0.00105.2400318851
2011-08-31$31.22$40.0042.3%12.1%64.3%42.3%42.4%9.6%3.2%-39.3K1.2M-3.9K0.00103.8109318851