LII Options History — February 2009

In February 2009, LII traded between $25.19 and $29.93. ATM implied volatility averaged 64.9%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 16.7% (HV 20d: 48.2%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 5.55.

Notable Days

2009-02-10: Highest Volume — 114 contracts
2009-02-05: Largest IV drop — 20.4% change
2009-02-04: Highest IV Rank — 53.4%
2009-02-04: Largest Expected Move — 22.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.54	$25.19	$29.93	$28.25	$25.90
Max Pain	$29.21	$25.00	$30.00	$25.00	$30.00
ATM IV	64.9%	55.7%	77.0%	66.2%	65.2%
Expected Move	18.6%	16.5%	22.1%	19.0%	18.7%
HV 20d	48.2%	37.5%	54.0%	52.3%	37.5%
HV 60d	71.5%	59.2%	78.7%	78.7%	59.2%
IV Rank	40.5%	30.6%	53.4%	41.9%	40.8%
IV Percentile	77.6%	65.9%	92.9%	82.1%	75.8%
Term Structure	-4.0%	-12.1%	0.1%	-3.2%	-2.5%
VWIV	64.6%	41.4%	80.7%	74.2%	41.4%
Skew 25d	5.9%	1.5%	9.3%	5.6%	5.2%
Skew 10d	20.7%	1.5%	33.6%	15.0%	2.8%
Call IV 25d	60.1%	54.3%	65.1%	61.2%	62.0%
Put IV 25d	65.9%	60.3%	69.3%	66.8%	67.2%
Bid-Ask Spread %	69.98	49.84	81.69	49.84	70.06
Gamma HHI	0.38	0.30	0.48	0.36	0.45
Net GEX	-7.8K	-17.2K	-2.3K	-3.3K	-6.7K
Net DEX	362.7K	88.4K	690.4K	184.2K	350.5K
Net VEX	-2.5K	-3.0K	-2.0K	-2.9K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.55	0.00	10.40	5.33	0.00
Total Volume	19.211	0	114	19	0
Total OI	759.579	668	858	703	687

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
2009-02-02	$28.25	$25.00	66.2%	19.0%	52.3%	41.9%	74.2%	5.6%	-3.2%	-3.3K	184.2K	-2.9K	5.33	49.84	3	16	344	359
2009-02-03	$28.79	$25.00	66.6%	19.1%	52.7%	42.3%	0.0%	6.9%	-4.3%	-2.8K	135.5K	-3.0K	0.00	60.54	0	0	344	375
2009-02-04	$28.30	$25.00	77.0%	22.1%	51.8%	53.4%	80.7%	1.9%	-12.1%	-3.1K	146.7K	-3.0K	0.00	79.84	0	5	344	375
2009-02-05	$29.32	$30.00	61.2%	17.6%	53.2%	36.5%	66.2%	8.1%	0.1%	-2.3K	117.2K	-3.0K	8.75	81.69	4	35	344	379
2009-02-06	$29.84	$30.00	55.7%	16.5%	53.7%	30.6%	0.0%	6.0%	-1.3%	-2.7K	88.4K	-3.0K	3.33	65.78	3	10	348	389
2009-02-09	$29.93	$30.00	56.9%	17.3%	53.0%	31.9%	0.0%	6.0%	-2.9%	-4.3K	114.0K	-2.9K	0.00	66.49	0	10	348	399
2009-02-10	$28.50	$30.00	65.1%	17.7%	54.0%	40.7%	61.7%	6.7%	-4.2%	-6.7K	240.2K	-2.8K	10.40	67.23	10	104	348	409
2009-02-11	$28.04	$30.00	64.8%	17.6%	53.8%	40.3%	0.0%	5.1%	-3.7%	-16.0K	485.2K	-2.8K	0.00	68.64	0	0	341	503
2009-02-12	$28.09	$30.00	61.7%	17.7%	51.6%	37.0%	0.0%	9.3%	-3.7%	-17.2K	506.5K	-2.7K	0.00	67.06	0	11	341	503
2009-02-13	$27.73	$30.00	60.8%	17.4%	51.4%	36.1%	0.0%	6.4%	-2.5%	-17.2K	525.1K	-2.7K	0.00	64.54	0	0	341	506
2009-02-17	$27.17	$30.00	67.8%	19.4%	50.2%	43.5%	0.0%	6.6%	-6.3%	-14.9K	585.7K	-2.5K	0.00	64.90	0	9	341	506
2009-02-18	$26.67	$30.00	66.5%	19.1%	42.6%	42.2%	0.0%	8.8%	-6.5%	-8.8K	671.6K	-2.2K	0.00	71.39	0	3	341	515
2009-02-19	$26.36	$30.00	67.0%	19.2%	41.9%	42.7%	0.0%	6.8%	-5.6%	-5.8K	674.1K	-2.2K	5.50	70.55	2	11	341	517
2009-02-20	$26.32	$30.00	66.0%	18.9%	40.9%	41.6%	63.3%	6.6%	-3.2%	-10.0K	690.4K	-2.2K	0.00	74.78	0	101	341	512
2009-02-23	$25.19	$30.00	67.3%	19.3%	43.4%	43.0%	0.0%	1.5%	-3.1%	-6.5K	381.9K	-2.0K	0.00	76.39	0	0	326	342
2009-02-24	$26.39	$30.00	66.8%	19.1%	46.5%	42.5%	0.0%	7.4%	-3.6%	-6.6K	340.4K	-2.1K	0.00	74.47	0	0	326	342
2009-02-25	$26.55	$30.00	65.6%	18.8%	44.5%	41.3%	41.4%	3.5%	-3.9%	-6.5K	320.4K	-2.1K	0.00	74.63	28	0	326	342
2009-02-26	$25.99	$30.00	65.7%	18.8%	41.5%	41.4%	0.0%	3.1%	-3.5%	-6.3K	332.3K	-2.1K	0.00	80.80	0	0	345	342
2009-02-27	$25.90	$30.00	65.2%	18.7%	37.5%	40.8%	0.0%	5.2%	-2.5%	-6.7K	350.5K	-2.1K	0.00	70.06	0	0	345	342