LII Options History — May 2009

In May 2009, LII traded between $28.68 and $33.09. ATM implied volatility averaged 51.6%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 1.3% (HV 20d: 50.3%). 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 5 of 20 days. Put/call ratio averaged 1.00.

Notable Days

2009-05-08: Highest Volume — 329 contracts
2009-05-12: Largest IV spike — 32.7% change
2009-05-13: Highest IV Rank — 37.6%
2009-05-14: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.04	$28.68	$33.09	$31.73	$31.01
Max Pain	$29.75	$25.00	$30.00	$25.00	$30.00
ATM IV	51.6%	38.0%	63.8%	56.1%	49.1%
Expected Move	15.5%	13.7%	16.8%	16.1%	14.1%
HV 20d	50.3%	40.6%	54.9%	52.5%	45.8%
HV 60d	60.0%	58.6%	60.8%	59.4%	58.6%
IV Rank	25.0%	11.6%	37.6%	31.1%	21.3%
IV Percentile	36.5%	11.1%	66.3%	44.0%	30.2%
Term Structure	-2.8%	-7.1%	3.2%	3.2%	0.3%
VWIV	53.4%	44.0%	65.2%	53.8%	44.0%
Skew 25d	8.4%	2.0%	17.2%	9.1%	2.0%
Skew 10d	10.1%	-0.5%	27.7%	12.9%	-0.5%
Call IV 25d	48.8%	36.4%	53.8%	50.8%	43.2%
Put IV 25d	57.1%	45.2%	62.5%	59.9%	45.2%
Bid-Ask Spread %	73.22	59.63	87.85	85.28	85.54
Gamma HHI	0.52	0.34	0.72	0.61	0.38
Net GEX	9.8K	-21.0K	57.7K	27.4K	-14.4K
Net DEX	97.5K	-1.0M	1.0M	-390.5K	628.4K
Net VEX	-8.3K	-9.6K	-7.0K	-9.6K	-7.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.00	5.00	0.00	0.60
Total Volume	38.75	0	329	0	16
Total OI	1,743.7	1,575	1,949	1,814	1,718

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
2009-05-01	$31.73	$25.00	56.1%	16.1%	52.5%	31.1%	0.0%	9.1%	3.2%	27.4K	-390.5K	-9.6K	0.00	85.28	0	0	910	904
2009-05-04	$33.00	$30.00	50.0%	15.5%	53.9%	24.5%	53.8%	5.2%	-7.1%	22.1K	-747.2K	-9.5K	0.00	59.63	10	0	910	904
2009-05-05	$32.33	$30.00	56.7%	16.6%	54.5%	31.7%	57.5%	6.8%	-5.2%	27.8K	-633.5K	-9.3K	0.00	61.85	2	0	920	904
2009-05-06	$33.09	$30.00	46.4%	15.3%	51.3%	20.6%	59.7%	5.6%	-6.5%	24.9K	-850.1K	-9.4K	0.34	65.02	29	10	919	904
2009-05-07	$31.61	$30.00	55.6%	16.5%	54.9%	30.5%	51.9%	7.5%	-5.8%	31.5K	-449.3K	-9.1K	0.00	66.54	10	0	919	914
2009-05-08	$33.00	$30.00	39.0%	15.1%	51.9%	12.7%	53.0%	5.6%	-5.9%	23.7K	-914.5K	-9.3K	0.03	72.03	319	10	948	914
2009-05-11	$31.90	$30.00	38.0%	16.8%	53.6%	11.6%	0.0%	6.9%	-6.9%	35.6K	-1.0M	-8.8K	0.00	67.37	0	0	1,031	918
2009-05-12	$31.40	$30.00	50.4%	16.6%	53.0%	24.9%	0.0%	7.3%	-6.4%	57.7K	-683.0K	-8.6K	0.60	67.07	10	6	1,031	918
2009-05-13	$30.51	$30.00	63.8%	16.2%	54.4%	37.6%	0.0%	7.0%	-3.7%	23.2K	281.7K	-8.0K	3.50	62.07	10	35	760	924
2009-05-14	$30.45	$30.00	58.7%	16.8%	54.4%	31.9%	65.2%	10.2%	-5.5%	27.3K	250.2K	-8.1K	0.00	65.95	0	20	763	956
2009-05-15	$30.72	$30.00	55.1%	15.8%	54.4%	28.0%	54.8%	7.8%	-0.8%	31.7K	134.3K	-8.1K	0.00	72.69	0	20	763	976
2009-05-18	$31.52	$30.00	57.3%	16.4%	51.9%	30.4%	57.4%	7.2%	-2.6%	-6.4K	402.1K	-8.2K	0.50	68.32	20	10	629	946
2009-05-19	$31.20	$30.00	57.0%	16.3%	49.1%	30.1%	56.4%	6.2%	-3.0%	-7.1K	439.3K	-8.3K	0.00	72.00	0	20	622	956
2009-05-20	$30.14	$30.00	51.4%	14.7%	49.8%	23.9%	50.7%	4.5%	-1.1%	-11.9K	690.7K	-7.5K	5.00	75.45	10	50	622	976
2009-05-21	$29.46	$30.00	52.5%	15.1%	50.5%	25.2%	52.5%	7.2%	-1.3%	-17.9K	967.1K	-7.4K	1.00	73.68	30	30	624	1,009
2009-05-22	$28.68	$30.00	50.2%	14.4%	40.6%	22.6%	50.2%	14.6%	-0.4%	-18.3K	1.0M	-7.1K	0.00	81.39	0	34	644	1,016
2009-05-26	$29.90	$30.00	48.2%	13.8%	43.4%	20.4%	51.1%	16.6%	0.7%	-18.9K	895.3K	-7.2K	0.00	87.73	0	20	644	1,040
2009-05-27	$29.43	$30.00	48.5%	13.9%	43.6%	20.7%	47.9%	12.8%	0.0%	-20.0K	948.1K	-7.0K	0.48	87.85	21	10	644	1,050
2009-05-28	$29.73	$30.00	47.8%	13.7%	42.8%	19.9%	47.8%	17.2%	2.8%	-21.0K	964.4K	-7.2K	0.00	86.95	0	13	664	1,060
2009-05-29	$31.01	$30.00	49.1%	14.1%	45.8%	21.3%	44.0%	2.0%	0.3%	-14.4K	628.4K	-7.5K	0.60	85.54	10	6	664	1,054