LII Options History — September 2009

In September 2009, LII traded between $34.97 and $37.75. ATM implied volatility averaged 35.2%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 10.6% (HV 20d: 24.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2009-09-10: Highest Volume — 200 contracts
2009-09-18: Largest IV drop — 15.0% change
2009-09-08: Highest IV Rank — 14.2%
2009-09-09: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.33	$34.97	$37.75	$35.54	$36.12
Max Pain	$34.72	$30.00	$35.00	$35.00	$35.00
ATM IV	35.2%	30.4%	39.7%	36.1%	34.0%
Expected Move	10.1%	8.7%	11.0%	10.3%	9.7%
HV 20d	24.7%	19.1%	30.2%	30.2%	20.2%
HV 60d	27.5%	26.4%	28.7%	28.6%	26.6%
IV Rank	9.5%	4.4%	14.2%	10.4%	8.2%
IV Percentile	8.5%	0.4%	15.5%	10.7%	3.6%
Term Structure	1.7%	-0.7%	3.8%	0.9%	2.5%
VWIV	34.9%	29.8%	43.3%	36.1%	34.5%
Skew 25d	7.3%	3.2%	16.4%	4.4%	3.2%
Skew 10d	12.9%	5.9%	27.6%	5.9%	11.3%
Call IV 25d	30.3%	29.1%	32.2%	30.2%	32.2%
Put IV 25d	37.6%	34.3%	46.3%	34.6%	35.4%
Bid-Ask Spread %	59.24	43.86	80.80	64.50	80.80
Gamma HHI	0.63	0.44	0.90	0.75	0.46
Net GEX	21.1K	2.0K	47.8K	36.1K	4.3K
Net DEX	-1.5M	-3.3M	-57.9K	-1.7M	-150.7K
Net VEX	-3.3K	-5.0K	-2.2K	-5.0K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.00	2.50	0.33	1.00
Total Volume	55.19	0	200	8	20
Total OI	1,373.619	518	1,962	1,775	718

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
2009-09-01	$35.54	$35.00	36.1%	10.3%	30.2%	10.4%	36.1%	4.4%	0.9%	36.1K	-1.7M	-5.0K	0.33	64.50	6	2	1,062	713
2009-09-02	$35.37	$35.00	36.3%	10.4%	29.8%	10.7%	0.0%	5.1%	0.9%	35.5K	-1.7M	-4.9K	0.00	63.76	0	0	1,057	715
2009-09-03	$35.55	$35.00	36.2%	10.4%	29.8%	10.5%	29.8%	16.4%	1.8%	33.7K	-1.7M	-4.7K	0.00	65.20	0	10	1,057	715
2009-09-04	$35.34	$0.00	36.7%	10.7%	28.5%	11.0%	0.0%	0.0%	-0.4%	36.7K	-1.6M	-4.8K	0.00	46.19	0	120	1,057	725
2009-09-08	$35.42	$0.00	39.7%	11.0%	27.6%	14.2%	0.0%	0.0%	-0.4%	43.1K	-1.7M	-4.1K	0.00	43.86	0	0	1,057	699
2009-09-09	$34.97	$0.00	38.3%	11.0%	27.3%	12.8%	43.3%	0.0%	-0.7%	46.1K	-1.5M	-4.0K	2.50	44.23	4	10	1,057	699
2009-09-10	$35.60	$30.00	34.4%	9.9%	27.2%	8.7%	34.4%	0.0%	2.4%	47.8K	-1.9M	-3.8K	0.00	51.65	0	200	1,053	709
2009-09-11	$36.30	$35.00	34.6%	9.9%	27.7%	8.8%	34.7%	3.2%	2.9%	29.1K	-2.4M	-3.7K	0.10	52.68	99	10	1,053	819
2009-09-14	$36.45	$35.00	35.1%	10.1%	25.8%	9.4%	33.9%	0.0%	1.6%	29.4K	-2.6M	-3.2K	0.18	55.93	57	10	1,083	819
2009-09-15	$36.79	$35.00	35.8%	10.3%	23.1%	10.1%	36.4%	0.0%	2.0%	21.2K	-3.2M	-2.6K	0.00	53.78	0	1	1,114	819
2009-09-16	$37.63	$35.00	32.4%	9.3%	22.8%	6.5%	0.0%	0.0%	0.9%	10.8K	-3.3M	-2.2K	0.00	55.89	13	0	1,063	819
2009-09-17	$37.22	$35.00	35.8%	10.3%	23.4%	10.1%	33.4%	0.0%	0.9%	12.8K	-3.2M	-2.3K	0.34	55.75	94	32	1,076	819
2009-09-18	$37.75	$35.00	30.4%	8.7%	23.4%	4.4%	0.0%	0.0%	3.0%	10.8K	-3.3M	-2.4K	0.00	65.13	200	0	1,113	849
2009-09-21	$37.51	$35.00	33.8%	9.7%	22.3%	8.0%	34.2%	0.0%	1.3%	7.3K	-303.7K	-2.4K	1.03	51.86	30	31	277	241
2009-09-22	$36.88	$35.00	35.0%	10.0%	21.8%	9.3%	33.2%	0.0%	3.6%	6.2K	-226.1K	-2.6K	0.00	57.53	58	0	307	267
2009-09-23	$36.50	$35.00	34.9%	10.0%	21.8%	9.2%	0.0%	0.0%	3.0%	8.9K	-220.6K	-2.8K	0.00	62.69	0	10	365	267
2009-09-24	$36.52	$35.00	34.9%	10.0%	21.8%	9.2%	35.0%	0.0%	3.3%	7.5K	-188.3K	-2.8K	0.00	64.13	0	20	365	267
2009-09-25	$36.08	$35.00	33.9%	9.7%	22.1%	8.1%	0.0%	0.0%	3.8%	2.0K	-57.9K	-2.6K	0.25	69.69	4	1	365	282
2009-09-28	$36.53	$35.00	35.9%	10.3%	22.4%	10.2%	0.0%	0.0%	1.9%	6.1K	-139.0K	-2.7K	0.00	71.46	0	0	369	283
2009-09-29	$36.84	$35.00	35.8%	10.3%	19.1%	10.1%	34.5%	0.0%	1.0%	8.7K	-187.9K	-2.7K	0.75	67.28	67	50	369	283
2009-09-30	$36.12	$35.00	34.0%	9.7%	20.2%	8.2%	0.0%	0.0%	2.5%	4.3K	-150.7K	-2.8K	1.00	80.80	10	10	426	292