LII Options History — January 2009

In January 2009, LII traded between $27.79 and $34.50. ATM implied volatility averaged 63.1%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 2.8% (HV 20d: 60.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.46.

Notable Days

2009-01-27: Highest Volume — 70 contracts
2009-01-12: Largest IV spike — 29.7% change
2009-01-27: Highest IV Rank — 43.6%
2009-01-27: Largest Expected Move — 19.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.45	$27.79	$34.50	$33.44	$28.11
Max Pain	$25.25	$25.00	$30.00	$30.00	$25.00
ATM IV	63.1%	51.2%	67.8%	59.8%	65.5%
Expected Move	18.3%	17.1%	19.4%	17.1%	18.8%
HV 20d	60.3%	49.9%	76.6%	76.6%	54.4%
HV 60d	81.6%	78.6%	86.1%	86.1%	78.8%
IV Rank	38.5%	25.8%	43.6%	35.0%	41.1%
IV Percentile	78.2%	61.5%	84.1%	75.8%	81.0%
Term Structure	-1.6%	-4.6%	0.4%	0.4%	-3.3%
VWIV	65.3%	59.4%	70.2%	59.4%	70.2%
Skew 25d	5.4%	2.3%	9.1%	4.6%	4.9%
Skew 10d	14.0%	0.7%	32.0%	0.7%	11.0%
Call IV 25d	60.0%	53.6%	62.8%	59.4%	60.7%
Put IV 25d	65.4%	58.1%	68.1%	64.0%	65.5%
Bid-Ask Spread %	36.93	23.93	80.82	80.82	48.64
Gamma HHI	0.28	0.22	0.36	0.24	0.32
Net GEX	966	-4.8K	10.2K	2.7K	-4.1K
Net DEX	959	-333.9K	233.5K	-227.1K	201.4K
Net VEX	-2.8K	-3.1K	-2.5K	-3.1K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.00	9.67	1.33	0.00
Total Volume	10.35	0	70	7	20
Total OI	636.9	593	693	616	683

Daily Data (20 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
2009-01-02	$33.44	$30.00	59.8%	17.1%	76.6%	35.0%	0.0%	4.6%	0.4%	2.7K	-227.1K	-3.1K	1.33	80.82	3	4	284	332
2009-01-05	$33.86	$25.00	62.5%	17.1%	76.3%	37.9%	59.4%	2.5%	0.2%	2.9K	-267.9K	-3.1K	0.00	36.75	22	0	285	332
2009-01-06	$34.50	$25.00	60.4%	17.2%	76.2%	35.6%	0.0%	5.0%	-1.1%	4.2K	-333.9K	-3.1K	0.08	33.34	12	1	307	332
2009-01-07	$33.25	$25.00	60.1%	17.3%	68.4%	35.3%	0.0%	6.3%	-1.9%	5.3K	-283.8K	-3.1K	0.00	36.01	0	0	319	332
2009-01-08	$33.40	$25.00	57.8%	17.3%	68.3%	32.9%	0.0%	9.1%	-1.4%	5.3K	-266.6K	-3.1K	0.00	29.81	0	0	319	332
2009-01-09	$32.40	$25.00	51.2%	18.1%	69.3%	25.8%	0.0%	4.5%	-0.5%	5.4K	-218.6K	-3.1K	0.00	27.04	0	0	319	332
2009-01-12	$31.17	$25.00	66.5%	18.5%	58.0%	42.1%	0.0%	5.8%	-0.9%	5.6K	-97.2K	-2.9K	0.00	23.93	0	11	319	332
2009-01-13	$30.50	$25.00	63.4%	18.3%	57.8%	38.9%	0.0%	6.2%	-0.6%	3.9K	-30.1K	-2.8K	0.00	27.59	0	0	319	342
2009-01-14	$29.16	$25.00	61.9%	18.8%	60.3%	37.2%	67.9%	5.3%	-2.0%	2.6K	99.4K	-2.7K	9.67	26.07	3	29	319	342
2009-01-15	$29.54	$25.00	64.5%	18.5%	59.9%	40.0%	63.6%	5.3%	-1.2%	4.2K	128.8K	-2.9K	0.00	24.53	2	0	321	371
2009-01-16	$30.46	$25.00	63.3%	18.2%	54.6%	38.8%	0.0%	7.1%	0.3%	10.2K	-25.6K	-2.9K	0.00	28.19	0	0	322	371
2009-01-20	$28.16	$25.00	64.6%	18.5%	61.4%	40.1%	0.0%	4.3%	-1.1%	-4.0K	184.0K	-2.6K	0.00	27.66	0	0	259	334
2009-01-21	$28.70	$25.00	65.8%	18.9%	53.8%	41.4%	0.0%	7.1%	-1.9%	-4.1K	189.7K	-2.6K	0.00	36.86	0	0	259	334
2009-01-22	$27.89	$25.00	64.8%	18.6%	50.1%	40.3%	0.0%	5.2%	-1.1%	-4.3K	206.2K	-2.5K	0.00	37.02	0	0	259	334
2009-01-23	$27.79	$25.00	64.7%	18.6%	50.0%	40.3%	0.0%	5.5%	-1.5%	-4.8K	233.5K	-2.5K	0.00	40.34	0	0	259	334
2009-01-26	$28.26	$25.00	67.0%	19.2%	49.9%	42.7%	0.0%	5.3%	-1.8%	-4.4K	205.5K	-2.5K	0.00	42.88	0	0	259	334
2009-01-27	$29.25	$25.00	67.8%	19.4%	51.1%	43.6%	0.0%	5.9%	-4.6%	-4.0K	166.1K	-2.5K	0.00	37.07	70	0	259	334
2009-01-28	$30.45	$25.00	65.8%	18.9%	53.2%	41.4%	0.0%	5.7%	-4.6%	-791	29.0K	-3.0K	0.60	45.86	5	3	319	334
2009-01-29	$28.80	$25.00	64.7%	18.5%	55.6%	40.2%	70.2%	2.3%	-2.8%	-2.5K	126.6K	-2.8K	0.00	48.16	0	22	324	337
2009-01-30	$28.11	$25.00	65.5%	18.8%	54.4%	41.1%	0.0%	4.9%	-3.3%	-4.1K	201.4K	-2.9K	0.00	48.64	20	0	324	359