LII Options History — November 2011 In November 2011, LII traded between $29.16 and $33.57. ATM implied volatility averaged 49.5%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 4.7% (HV 20d: 54.2%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2011-11-15 : Highest Volume — 36 contracts2011-11-03 : Largest IV drop — 28.3% change2011-11-16 : Highest IV Rank — 41.4%2011-11-16 : Largest Expected Move — 16.9%Monthly Statistics Metric Avg Min Max Open Close Price $31.77 $29.16 $33.57 $31.12 $33.13 Max Pain $29.29 $25.00 $30.00 $25.00 $30.00 ATM IV 49.5% 36.3% 58.9% 55.5% 39.6% Expected Move 14.6% 11.0% 16.9% 15.9% 11.4% HV 20d 54.2% 42.1% 60.2% 59.7% 48.7% HV 60d 62.3% 60.0% 65.9% 65.8% 61.9% IV Rank 32.6% 20.0% 41.4% 38.2% 23.2% IV Percentile 85.5% 65.9% 96.8% 94.4% 65.9% Term Structure -0.6% -7.7% 6.8% -0.4% 6.8% VWIV 47.9% 41.8% 53.9% 41.8% 53.9% Skew 25d 8.7% 2.4% 16.6% 11.5% 6.8% Skew 10d 10.1% 0.6% 31.5% 3.7% 17.8% Call IV 25d 43.0% 35.9% 47.4% 41.8% 41.3% Put IV 25d 51.7% 48.0% 63.1% 53.3% 48.0% Bid-Ask Spread % 107.31 103.26 114.83 110.19 107.02 Gamma HHI 0.35 0.26 0.45 0.37 0.45 Net GEX 6.8K 1.1K 16.5K 16.5K 5.2K Net DEX -1.2M -1.9M 106.9K -1.6M -67.6K Net VEX -1.6K -2.0K -1.4K -2.0K -1.5K 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 3.333 0 36 0 0 Total OI 820.143 439 1,041 989 441
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 2011-11-01 $31.12 $25.00 55.5% 15.9% 59.7% 38.2% 0.0% 11.5% -0.4% 16.5K -1.6M -2.0K 0.00 110.19 0 0 750 239 2011-11-02 $32.22 $25.00 53.8% 15.4% 60.2% 36.6% 0.0% 7.8% -1.8% 11.6K -1.7M -1.9K 0.00 114.83 0 10 750 239 2011-11-03 $33.18 $25.00 38.5% 11.0% 59.1% 22.1% 0.0% 5.5% 5.3% 8.2K -1.9M -1.8K 0.00 114.76 0 0 750 249 2011-11-04 $33.25 $30.00 45.1% 14.4% 57.8% 28.3% 0.0% 11.1% -4.1% 8.8K -1.9M -1.8K 0.00 105.68 1 0 750 249 2011-11-07 $33.05 $30.00 41.3% 13.0% 55.1% 24.7% 0.0% 10.0% 6.5% 9.3K -1.9M -1.7K 0.00 105.57 0 10 751 249 2011-11-08 $33.57 $30.00 36.3% 12.9% 55.0% 20.0% 41.8% 11.2% -3.7% 8.0K -1.9M -1.6K 0.00 103.26 10 0 751 259 2011-11-09 $31.68 $30.00 46.3% 16.8% 58.7% 29.5% 0.0% 8.7% -7.7% 9.3K -1.7M -1.7K 0.00 103.59 0 0 747 259 2011-11-10 $31.84 $30.00 52.1% 14.9% 58.3% 35.0% 0.0% 3.5% -1.4% 9.3K -1.7M -1.6K 0.00 106.48 0 1 747 259 2011-11-11 $33.09 $30.00 48.4% 13.9% 59.6% 31.5% 0.0% 6.6% 1.7% 8.1K -1.9M -1.6K 0.00 109.19 0 0 747 260 2011-11-14 $33.11 $30.00 49.5% 14.2% 57.2% 32.6% 0.0% 7.1% 1.0% 7.9K -1.9M -1.6K 0.00 106.49 0 0 747 260 2011-11-15 $32.69 $30.00 47.5% 13.6% 56.8% 30.7% 0.0% 6.7% 0.2% 8.4K -1.8M -1.6K 0.00 107.56 0 36 747 260 2011-11-16 $31.76 $30.00 58.9% 16.9% 57.4% 41.4% 0.0% 10.7% -5.3% 6.8K -1.7M -1.8K 0.00 104.35 0 0 747 294 2011-11-17 $30.95 $30.00 54.5% 15.6% 57.3% 37.3% 0.0% 14.8% -3.5% 8.9K -1.6M -1.7K 0.00 105.16 0 0 747 294 2011-11-18 $31.37 $30.00 52.8% 15.1% 57.3% 35.6% 0.0% 2.9% -1.6% 7.3K -1.6M -1.7K 0.00 106.82 0 0 747 294 2011-11-21 $30.91 $30.00 54.4% 15.6% 56.3% 37.2% 0.0% 13.5% 0.3% 2.2K 41.8K -1.6K 0.00 107.74 0 0 207 232 2011-11-22 $30.60 $30.00 53.0% 15.2% 46.8% 35.8% 0.0% 10.0% 2.1% 2.1K 56.8K -1.6K 0.00 107.09 0 0 207 232 2011-11-23 $29.58 $30.00 53.9% 15.4% 48.0% 36.7% 53.9% 2.4% -3.5% 1.1K 106.9K -1.5K 0.00 105.15 0 2 207 232 2011-11-25 $29.16 $30.00 53.4% 15.3% 42.2% 36.2% 0.0% 16.6% -1.6% 1.4K 101.5K -1.4K 0.00 107.92 0 0 207 234 2011-11-28 $30.26 $30.00 52.7% 15.1% 45.1% 35.6% 0.0% 6.7% -1.2% 1.5K 98.7K -1.4K 0.00 107.04 0 0 207 234 2011-11-29 $30.71 $30.00 52.4% 15.0% 42.1% 35.3% 0.0% 8.6% -1.5% 2.0K 73.5K -1.4K 0.00 107.59 0 0 207 234 2011-11-30 $33.13 $30.00 39.6% 11.4% 48.7% 23.2% 0.0% 6.8% 6.8% 5.2K -67.6K -1.5K 0.00 107.02 0 0 207 234
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