LII Options History — August 2012

In August 2012, LII traded between $42.56 and $47.51. ATM implied volatility averaged 31.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 3.1% (HV 20d: 34.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.56.

Notable Days

  • 2012-08-06: Highest Volume — 200 contracts
  • 2012-08-16: Largest IV spike — 74.0% change
  • 2012-08-07: Highest IV Rank — 14.9%
  • 2012-08-08: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.01$42.56$47.51$42.56$47.51
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV31.0%19.1%34.0%33.1%29.6%
Expected Move9.3%8.5%9.9%9.5%8.5%
HV 20d34.1%17.5%41.7%37.2%17.5%
HV 60d37.6%33.4%39.8%38.4%33.6%
IV Rank12.0%0.4%14.9%14.1%10.7%
IV Percentile29.1%0.4%39.7%36.1%18.7%
Term Structure1.9%1.1%2.8%1.1%1.2%
VWIV32.6%28.3%37.6%35.9%28.3%
Skew 25d2.8%-1.0%6.1%2.5%2.1%
Skew 10d8.7%-1.5%18.4%4.6%15.1%
Call IV 25d30.3%26.6%33.4%33.4%29.5%
Put IV 25d33.1%25.7%36.7%36.0%31.6%
Bid-Ask Spread %33.9615.2451.5515.2420.98
Gamma HHI0.450.310.580.310.58
Net GEX9.2K-66.5K49.5K-63.4K49.5K
Net DEX-482.2K-1.9M1.3M1.3M-839.4K
Net VEX-12.3K-13.9K-11.0K-12.4K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.006.000.000.00
Total Volume27.174020050
Total OI1,985.0871,5042,4222,1671,547

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$42.56$45.0033.1%9.5%37.2%14.1%0.0%2.5%1.1%-63.4K1.3M-12.4K0.0015.24058991,268
2012-08-02$42.68$45.0032.5%9.3%36.2%13.5%0.0%2.5%1.8%-64.5K1.3M-12.2K0.0017.261008991,268
2012-08-03$44.65$45.0031.1%8.9%40.3%12.1%0.0%-1.0%2.8%-57.2K372.4K-12.9K6.0040.7410608891,268
2012-08-06$43.91$45.0033.7%9.8%40.6%14.7%0.0%3.1%2.0%-66.5K823.0K-13.0K0.0050.8620008991,328
2012-08-07$45.11$45.0034.0%9.8%41.7%14.9%35.9%3.9%1.7%-4.7K-204.4K-13.9K0.0050.70101,0751,328
2012-08-08$45.18$45.0032.6%9.9%41.6%13.6%37.6%3.9%1.2%-3.4K-264.1K-13.7K0.2351.553171,0741,328
2012-08-09$45.32$45.0031.9%9.8%41.5%12.9%0.0%4.1%1.6%495-372.0K-13.8K0.0041.341101,0871,335
2012-08-10$45.47$45.0032.0%9.8%39.7%13.0%0.0%3.7%1.3%1.8K-484.8K-13.7K0.0042.382001,0871,335
2012-08-13$45.06$45.0029.6%9.8%39.6%10.6%35.3%3.3%1.4%-14.9K-195.9K-12.9K0.0042.901101,0721,335
2012-08-14$45.83$45.0026.5%9.6%39.2%7.6%0.0%3.1%2.5%-14.0K-878.8K-12.8K0.0042.311001,0631,335
2012-08-15$46.18$45.0019.1%9.6%39.0%0.4%0.0%3.1%2.5%1.9K-1.4M-12.1K0.0030.94001,0631,335
2012-08-16$47.03$45.0033.3%9.6%39.6%14.3%33.4%5.7%2.6%26.3K-1.8M-12.1K0.6427.9981521,0631,335
2012-08-17$47.50$45.0032.2%9.2%39.3%13.2%30.3%6.1%2.8%32.6K-1.9M-12.0K0.0426.804821,0501,315
2012-08-20$47.19$45.0031.0%8.9%39.3%12.0%0.0%0.5%1.8%41.2K-728.1K-11.8K0.0038.37100792712
2012-08-21$47.22$45.0031.2%8.9%36.0%12.2%31.3%3.6%2.0%43.0K-754.1K-11.8K2.0033.541020802712
2012-08-22$47.44$45.0031.2%8.9%28.6%12.2%28.8%3.0%2.4%44.7K-831.3K-11.8K0.0039.9050812721
2012-08-23$47.50$45.0030.9%8.9%27.4%12.0%0.0%3.0%2.4%44.1K-831.2K-11.9K0.0034.3900807721
2012-08-24$47.21$45.0031.9%9.1%25.8%12.9%0.0%3.5%1.1%41.9K-742.9K-11.6K0.0033.4900807721
2012-08-27$47.36$45.0031.2%8.9%25.8%12.2%0.0%2.1%1.9%44.5K-779.8K-11.4K0.0020.93200807721
2012-08-28$47.11$45.0031.8%9.1%24.3%12.8%28.3%4.0%1.3%45.1K-705.6K-11.4K0.0021.0410827721
2012-08-29$46.72$45.0031.1%8.9%22.2%12.1%0.0%-0.3%1.9%41.3K-585.0K-11.3K0.0027.8400826721
2012-08-30$46.59$45.0031.0%8.9%22.3%12.0%0.0%-0.3%2.8%40.8K-552.2K-11.0K0.0029.6600826721
2012-08-31$47.51$45.0029.6%8.5%17.5%10.7%0.0%2.1%1.2%49.5K-839.4K-11.3K0.0020.9800826721