LII Options History — May 2012

In May 2012, LII traded between $40.59 and $44.28. ATM implied volatility averaged 29.2%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 9.6% (HV 20d: 38.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-05-17: Highest Volume — 57 contracts
  • 2012-05-10: Largest IV spike — 57.1% change
  • 2012-05-17: Highest IV Rank — 15.7%
  • 2012-05-17: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.93$40.59$44.28$43.84$42.89
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV29.2%18.8%34.8%27.7%31.0%
Expected Move8.6%7.8%10.0%8.0%8.9%
HV 20d38.8%25.8%46.2%44.7%30.7%
HV 60d33.0%31.8%35.1%31.9%34.4%
IV Rank9.8%0.0%15.7%7.1%12.0%
IV Percentile26.6%0.0%47.2%18.3%33.3%
Term Structure0.4%-2.0%2.7%1.2%0.1%
VWIV31.8%29.5%35.3%30.7%29.5%
Skew 25d2.8%-3.9%7.8%5.8%1.1%
Skew 10d6.4%-5.3%49.3%9.4%4.3%
Call IV 25d27.9%24.3%32.3%26.5%31.0%
Put IV 25d30.7%23.3%33.0%32.3%32.1%
Bid-Ask Spread %94.6591.26100.2694.6597.96
Gamma HHI0.670.470.820.820.60
Net GEX37.3K14.5K55.1K42.5K36.8K
Net DEX-275.2K-547.5K47.4K-509.8K-89.8K
Net VEX-2.5K-2.8K-2.4K-2.4K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume11.455057210
Total OI554.636461630461630

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$43.84$40.0027.7%8.0%44.7%7.1%0.0%5.8%1.2%42.5K-509.8K-2.4K0.0094.6502293168
2012-05-02$44.28$40.0027.3%7.8%44.7%6.6%0.0%-1.1%1.5%44.4K-547.5K-2.4K0.0097.22250293170
2012-05-03$43.58$40.0027.2%7.8%44.7%6.5%0.0%-3.9%-0.4%46.0K-492.0K-2.5K0.00100.26010318170
2012-05-04$43.12$40.0027.4%8.2%44.4%6.7%0.0%6.1%0.8%41.7K-414.8K-2.5K0.0096.3100318180
2012-05-07$43.76$40.0028.0%8.1%43.6%7.4%0.0%7.1%0.7%47.1K-493.1K-2.5K0.0096.30010318180
2012-05-08$43.11$40.0021.3%8.3%42.6%0.6%30.7%3.9%0.8%42.2K-382.5K-2.4K0.0092.88020318190
2012-05-09$42.98$40.0018.8%8.3%42.5%0.0%0.0%4.5%0.3%42.8K-383.8K-2.4K0.0091.91053318190
2012-05-10$43.29$40.0029.5%8.4%42.2%10.5%0.0%4.5%0.6%43.0K-377.9K-2.8K0.0091.6600318233
2012-05-11$43.87$40.0029.8%8.5%41.9%10.8%0.0%7.8%-0.4%47.7K-479.7K-2.8K0.0091.2600318233
2012-05-14$42.85$40.0028.9%8.3%43.3%10.0%0.0%4.7%0.5%39.5K-310.8K-2.6K0.0091.8300318233
2012-05-15$43.04$40.0029.7%8.5%43.3%10.7%0.0%3.7%-0.1%41.8K-333.1K-2.6K0.0092.9800318233
2012-05-16$42.66$40.0029.2%8.4%43.1%10.2%0.0%2.4%1.3%39.3K-290.3K-2.5K0.0095.37011318233
2012-05-17$40.96$40.0034.8%10.0%45.8%15.7%35.3%-0.7%-0.5%22.7K-68.2K-2.4K0.0094.50057318244
2012-05-18$40.59$40.0034.1%9.8%45.3%15.1%29.5%6.5%-0.0%14.5K47.4K-2.5K0.0097.9080318289
2012-05-21$41.97$40.0032.7%9.4%46.2%13.7%0.0%1.9%-0.2%21.3K-41.4K-2.5K0.0091.8440301289
2012-05-22$42.43$40.0032.9%9.4%26.9%13.9%0.0%2.4%-1.2%27.6K-111.3K-2.6K0.0092.29011299289
2012-05-23$42.64$40.0031.0%8.9%26.8%12.0%0.0%2.7%0.5%28.4K-102.8K-2.6K0.0092.01100299300
2012-05-24$43.02$40.0030.3%8.7%26.6%11.4%0.0%2.4%0.4%34.4K-153.9K-2.7K0.0092.1500309300
2012-05-25$42.90$40.0030.0%8.6%25.8%11.1%0.0%2.2%1.2%34.7K-146.3K-2.7K0.0094.5700309300
2012-05-29$44.12$40.0029.0%8.3%27.6%10.1%0.0%-3.7%2.7%55.1K-349.0K-2.6K0.0097.39011309300
2012-05-30$42.45$40.0032.5%9.3%30.7%13.5%0.0%1.7%-2.0%27.6K-22.9K-2.4K0.0098.97010309311
2012-05-31$42.89$40.0031.0%8.9%30.7%12.0%0.0%1.1%0.1%36.8K-89.8K-2.5K0.0097.96100309321