LII Options History — February 2007

Name: LII Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, LII traded between $31.30 and $35.72. ATM implied volatility averaged 25.3%. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 13.1% (HV 20d: 38.4%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.40.

Notable Days

2007-02-08: Highest Volume — 63 contracts
2007-02-06: Largest IV spike — 76.9% change
2007-02-06: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.27	$31.30	$35.72	$31.30	$34.32
Max Pain	$22.89	$22.50	$30.00	$30.00	$22.50
ATM IV	25.3%	18.1%	32.0%	26.6%	24.4%
Expected Move	7.2%	6.9%	8.0%	7.6%	7.0%
HV 20d	38.4%	18.2%	46.5%	19.7%	46.5%
Term Structure	0.7%	-2.0%	3.2%	2.6%	0.7%
VWIV	22.5%	10.5%	26.0%	10.5%	24.5%
Skew 25d	4.2%	0.4%	13.5%	13.5%	1.1%
Skew 10d	6.3%	-0.2%	21.1%	15.4%	-0.2%
Call IV 25d	21.9%	12.5%	27.2%	14.9%	26.4%
Put IV 25d	26.1%	23.5%	28.4%	28.4%	27.5%
Bid-Ask Spread %	79.63	54.70	94.28	91.27	80.54
Gamma HHI	0.56	0.42	0.84	0.52	0.45
Net GEX	5.0K	2.4K	8.3K	2.6K	8.3K
Net DEX	-487.2K	-590.9K	-328.5K	-328.5K	-520.0K
Net VEX	-1.0K	-1.4K	-412	-902	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.00	2.50	0.00	1.33
Total Volume	13.263	0	63	0	0
Total OI	360.421	327	402	333	376

Daily Data (19 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
2007-02-01	$31.30	$30.00	26.6%	7.6%	19.7%	0.0%	0.0%	13.5%	2.6%	2.6K	-328.5K	-902	0.00	91.27	0	0	162	171
2007-02-02	$31.43	$22.50	29.1%	7.3%	18.4%	0.0%	0.0%	13.2%	1.2%	3.3K	-343.8K	-858	0.00	86.52	0	0	162	171
2007-02-05	$31.71	$22.50	18.1%	6.9%	18.2%	0.0%	10.5%	10.5%	3.2%	5.4K	-376.8K	-772	0.00	89.16	1	0	162	171
2007-02-06	$31.42	$22.50	32.0%	8.0%	18.7%	0.0%	25.7%	1.8%	0.4%	3.1K	-342.3K	-821	0.00	77.47	8	0	162	171
2007-02-07	$31.44	$22.50	27.8%	7.6%	18.7%	0.0%	0.0%	5.3%	2.1%	2.4K	-332.7K	-818	0.00	91.79	0	0	156	171
2007-02-08	$35.45	$22.50	24.9%	7.2%	45.5%	0.0%	26.0%	1.1%	1.5%	3.7K	-506.8K	-412	0.54	75.45	41	22	156	171
2007-02-09	$35.25	$22.50	24.3%	7.0%	45.5%	0.0%	25.6%	2.9%	1.7%	2.8K	-482.2K	-658	0.00	94.28	15	0	161	193
2007-02-12	$34.90	$22.50	24.3%	7.0%	45.9%	0.0%	0.0%	2.1%	0.5%	2.8K	-469.4K	-667	0.00	93.49	50	0	159	193
2007-02-13	$35.19	$22.50	24.4%	7.0%	45.3%	0.0%	0.0%	0.4%	1.0%	6.2K	-581.4K	-1.2K	0.00	83.39	0	0	209	193
2007-02-14	$35.34	$22.50	24.0%	6.9%	45.2%	0.0%	0.0%	3.0%	1.4%	6.0K	-590.9K	-1.1K	0.00	88.64	0	0	209	193
2007-02-15	$35.44	$22.50	25.2%	7.2%	45.2%	0.0%	0.0%	2.2%	-0.4%	5.9K	-561.6K	-1.1K	0.00	83.25	0	0	199	193
2007-02-16	$35.59	$22.50	24.5%	7.0%	45.2%	0.0%	24.5%	1.8%	0.6%	5.8K	-567.4K	-1.1K	0.00	85.70	33	0	199	193
2007-02-20	$35.72	$22.50	25.3%	7.3%	45.0%	0.0%	0.0%	4.7%	-0.5%	5.7K	-540.5K	-1.1K	0.00	64.69	3	0	190	159
2007-02-21	$35.70	$22.50	25.1%	7.2%	45.2%	0.0%	0.0%	4.4%	-1.3%	5.7K	-552.3K	-1.1K	0.00	63.80	20	0	193	159
2007-02-22	$35.70	$22.50	24.9%	7.1%	45.3%	0.0%	0.0%	4.4%	0.0%	6.4K	-573.6K	-1.2K	2.50	54.70	4	10	203	159
2007-02-23	$35.50	$22.50	24.5%	7.0%	44.5%	0.0%	0.0%	3.7%	0.6%	6.0K	-545.7K	-1.3K	0.00	56.13	0	0	207	169
2007-02-26	$35.48	$22.50	25.0%	7.2%	44.6%	0.0%	0.0%	3.4%	-0.4%	6.1K	-544.7K	-1.3K	0.00	71.36	10	0	207	169
2007-02-27	$34.28	$22.50	26.0%	7.4%	46.5%	0.0%	0.0%	0.7%	-2.0%	6.9K	-495.3K	-1.4K	1.33	81.32	15	20	208	169
2007-02-28	$34.32	$22.50	24.4%	7.0%	46.5%	0.0%	0.0%	1.1%	0.7%	8.3K	-520.0K	-1.3K	0.00	80.54	0	0	217	159