LII Options History — April 2009

In April 2009, LII traded between $26.61 and $32.27. ATM implied volatility averaged 60.3%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 5.8% (HV 20d: 66.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.95.

Notable Days

2009-04-22: Highest Volume — 831 contracts
2009-04-07: Largest IV spike — 19.2% change
2009-04-07: Highest IV Rank — 41.8%
2009-04-07: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.20	$26.61	$32.27	$26.61	$31.89
Max Pain	$25.48	$25.00	$30.00	$30.00	$25.00
ATM IV	60.3%	55.5%	66.2%	61.5%	57.9%
Expected Move	17.5%	16.5%	18.6%	17.6%	16.6%
HV 20d	66.1%	55.9%	72.5%	72.5%	56.4%
HV 60d	59.2%	57.5%	60.7%	58.0%	59.5%
IV Rank	35.5%	30.4%	41.8%	36.8%	33.0%
IV Percentile	56.6%	47.2%	78.6%	59.5%	47.2%
Term Structure	-1.5%	-4.3%	1.5%	0.5%	0.8%
VWIV	61.2%	57.6%	63.3%	63.3%	57.6%
Skew 25d	8.3%	4.6%	10.3%	9.5%	6.6%
Skew 10d	11.1%	4.0%	16.1%	13.2%	10.2%
Call IV 25d	55.2%	52.2%	57.3%	53.7%	53.2%
Put IV 25d	63.5%	56.8%	66.0%	63.2%	59.7%
Bid-Ask Spread %	58.98	33.94	87.09	66.87	84.31
Gamma HHI	0.49	0.42	0.58	0.52	0.57
Net GEX	1.8K	-7.0K	23.0K	-4.9K	23.0K
Net DEX	19.3K	-495.2K	339.7K	178.6K	-495.2K
Net VEX	-4.6K	-9.8K	-2.3K	-2.3K	-9.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.00	7.00	0.00	0.00
Total Volume	69.476	0	831	7	0
Total OI	965	573	1,814	573	1,814

Daily Data (21 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
2009-04-01	$26.61	$30.00	61.5%	17.6%	72.5%	36.8%	0.0%	9.5%	0.5%	-4.9K	178.6K	-2.3K	0.00	66.87	7	0	260	313
2009-04-02	$28.39	$30.00	58.6%	16.8%	71.9%	33.7%	0.0%	9.9%	1.5%	-2.0K	19.0K	-2.5K	7.00	62.92	10	70	267	313
2009-04-03	$28.50	$25.00	58.8%	17.3%	71.9%	34.0%	0.0%	9.1%	-1.8%	-4.2K	72.1K	-2.8K	0.00	38.74	0	0	270	383
2009-04-06	$28.23	$25.00	55.5%	17.4%	71.6%	30.4%	0.0%	9.3%	-1.3%	-4.8K	91.1K	-2.8K	0.00	37.77	0	0	270	383
2009-04-07	$27.01	$25.00	66.2%	18.6%	67.6%	41.8%	0.0%	9.1%	-2.4%	-6.8K	177.2K	-2.6K	0.00	33.94	0	20	270	383
2009-04-08	$27.39	$25.00	55.7%	18.4%	67.8%	30.6%	0.0%	8.9%	-1.5%	-7.0K	170.8K	-2.6K	0.00	37.99	20	0	270	389
2009-04-09	$29.32	$25.00	60.3%	17.3%	71.7%	35.5%	0.0%	8.0%	-1.3%	-2.1K	-22.9K	-2.8K	0.00	47.99	10	0	290	389
2009-04-13	$29.08	$25.00	60.6%	17.4%	69.8%	35.9%	0.0%	7.2%	-1.7%	-939	-30.4K	-2.8K	0.00	52.82	0	77	300	389
2009-04-14	$28.37	$25.00	60.7%	17.4%	70.6%	36.0%	0.0%	9.4%	-1.4%	-4.7K	151.6K	-3.2K	0.00	54.22	0	0	300	466
2009-04-15	$28.35	$25.00	60.1%	17.2%	70.6%	35.4%	0.0%	6.6%	-1.0%	-5.9K	167.9K	-3.2K	0.00	54.58	0	0	300	466
2009-04-16	$28.50	$25.00	61.0%	17.5%	68.9%	36.3%	0.0%	9.2%	-2.6%	-3.3K	158.0K	-3.0K	0.00	43.15	0	0	287	449
2009-04-17	$28.58	$25.00	62.4%	17.9%	68.3%	37.8%	0.0%	9.4%	-2.7%	-2.8K	149.7K	-3.0K	0.00	54.97	0	4	287	449
2009-04-20	$27.35	$25.00	64.7%	18.5%	68.8%	40.2%	0.0%	9.2%	-1.0%	-4.3K	230.8K	-2.8K	1.00	48.03	10	10	286	394
2009-04-21	$28.88	$25.00	63.1%	18.1%	62.5%	38.6%	0.0%	10.3%	-4.3%	-2.5K	126.3K	-3.1K	0.00	55.59	0	8	296	404
2009-04-22	$29.77	$25.00	63.3%	18.2%	61.3%	38.8%	63.3%	9.0%	-3.6%	-1.0K	18.7K	-3.2K	1.16	67.41	385	446	296	412
2009-04-23	$29.71	$25.00	62.6%	17.9%	58.9%	38.0%	62.7%	8.3%	-3.9%	7.3K	339.7K	-7.5K	0.36	76.79	86	31	646	853
2009-04-24	$32.27	$25.00	57.6%	16.5%	62.9%	32.6%	57.6%	4.6%	-1.6%	11.0K	-296.9K	-8.5K	0.00	75.80	90	0	715	884
2009-04-27	$31.53	$25.00	57.6%	16.5%	62.1%	32.6%	0.0%	8.2%	1.3%	16.3K	-187.2K	-8.8K	0.00	78.89	0	20	765	884
2009-04-28	$31.37	$25.00	60.1%	17.2%	55.9%	35.3%	0.0%	7.1%	-2.8%	14.5K	-121.1K	-8.6K	0.00	87.09	135	0	765	904
2009-04-29	$32.11	$25.00	58.0%	16.6%	56.1%	33.1%	0.0%	6.3%	-1.6%	22.2K	-491.9K	-9.8K	0.00	78.66	20	0	900	904
2009-04-30	$31.89	$25.00	57.9%	16.6%	56.4%	33.0%	0.0%	6.6%	0.8%	23.0K	-495.2K	-9.8K	0.00	84.31	0	0	910	904