LII Options History — October 2009

In October 2009, LII traded between $33.67 and $36.95. ATM implied volatility averaged 35.9%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 7.7% (HV 20d: 28.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.23.

Notable Days

2009-10-20: Highest Volume — 1,928 contracts
2009-10-12: Largest IV spike — 38.4% change
2009-10-12: Highest IV Rank — 19.3%
2009-10-20: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.18	$33.67	$36.95	$34.68	$33.67
Max Pain	$37.86	$35.00	$40.00	$35.00	$35.00
ATM IV	35.9%	30.8%	44.5%	35.4%	35.9%
Expected Move	10.3%	8.8%	11.9%	10.2%	10.3%
HV 20d	28.2%	24.9%	31.0%	24.9%	28.9%
HV 60d	26.8%	25.4%	28.6%	28.0%	27.5%
IV Rank	10.2%	4.8%	19.3%	9.7%	10.3%
IV Percentile	13.3%	0.8%	31.3%	13.5%	21.4%
Term Structure	-0.5%	-4.2%	2.7%	1.1%	1.1%
VWIV	35.8%	31.4%	41.0%	37.4%	35.9%
Bid-Ask Spread %	67.72	42.97	86.77	81.31	81.05
Gamma HHI	0.64	0.36	0.93	0.42	0.82
Net GEX	-10.0K	-150.6K	316.0K	2.4K	-116.9K
Net DEX	-57.6K	-3.6M	1.8M	-10.3K	1.8M
Net VEX	-5.8K	-10.9K	-2.4K	-2.6K	-10.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.23	0.00	35.25	0.00	0.68
Total Volume	186.381	0	1,928	0	3
Total OI	1,504.476	498	2,606	698	2,606

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
2009-10-01	$34.68	$35.00	35.4%	10.2%	24.9%	9.7%	0.0%	0.0%	1.1%	2.4K	-10.3K	-2.6K	0.00	81.31	0	0	436	262
2009-10-02	$33.75	$35.00	34.0%	9.8%	26.5%	8.3%	0.0%	0.0%	2.7%	-1.3K	106.4K	-2.5K	0.00	83.61	0	0	436	262
2009-10-05	$34.41	$40.00	33.5%	10.5%	27.6%	7.7%	0.0%	0.0%	-0.3%	-3.5K	85.0K	-2.4K	0.00	62.89	0	0	436	262
2009-10-06	$34.65	$40.00	35.6%	10.7%	27.7%	9.9%	0.0%	0.0%	-1.3%	-2.6K	32.2K	-2.5K	0.00	57.05	10	0	436	262
2009-10-07	$34.37	$40.00	34.4%	10.7%	27.5%	8.7%	37.4%	0.0%	-0.9%	-4.0K	63.8K	-2.5K	0.00	59.43	0	20	446	262
2009-10-08	$35.38	$40.00	35.6%	10.5%	28.7%	9.9%	0.0%	0.0%	-0.1%	-371	-74.7K	-2.6K	0.00	59.49	10	0	446	262
2009-10-09	$35.26	$40.00	32.1%	10.4%	27.8%	6.2%	0.0%	0.0%	0.1%	-4.4K	-62.0K	-2.6K	0.00	59.07	0	3	452	262
2009-10-12	$35.32	$40.00	44.5%	11.6%	27.7%	19.3%	0.0%	0.0%	-4.2%	-1.8K	-78.6K	-2.6K	0.00	42.97	1,045	0	452	265
2009-10-13	$35.20	$40.00	42.9%	11.4%	27.4%	17.7%	39.9%	0.0%	-2.6%	309.5K	-2.1M	-4.1K	0.71	55.30	14	10	1,481	265
2009-10-14	$35.70	$40.00	43.4%	11.5%	26.6%	18.1%	34.9%	0.0%	-3.4%	316.0K	-2.7M	-3.9K	0.25	50.52	40	10	1,491	265
2009-10-15	$36.11	$40.00	39.3%	11.3%	26.8%	13.9%	37.1%	0.0%	-2.5%	246.6K	-3.6M	-3.0K	1.00	52.30	10	10	1,455	261
2009-10-19	$36.95	$40.00	38.9%	11.2%	27.7%	13.5%	35.5%	0.0%	-2.9%	11.5K	-297.4K	-2.7K	0.00	65.30	10	0	282	216
2009-10-20	$36.45	$40.00	41.5%	11.9%	28.0%	16.2%	41.0%	0.0%	-4.0%	11.7K	-268.1K	-2.7K	2.07	69.96	628	1,300	292	216
2009-10-21	$35.40	$40.00	31.9%	9.1%	29.2%	5.9%	31.9%	0.0%	1.0%	-129.6K	851.7K	-10.9K	35.25	86.77	12	423	876	1,515
2009-10-22	$35.94	$35.00	30.8%	8.8%	29.6%	4.8%	0.0%	0.0%	2.6%	-134.6K	298.1K	-10.9K	1.00	70.62	10	10	888	1,541
2009-10-23	$35.76	$35.00	31.4%	9.0%	29.7%	5.4%	31.4%	0.0%	0.8%	-133.9K	417.8K	-10.9K	0.00	68.81	0	20	898	1,531
2009-10-26	$35.65	$35.00	31.7%	9.1%	29.4%	5.7%	0.0%	0.0%	0.2%	-145.1K	485.2K	-10.5K	0.50	72.15	20	10	898	1,544
2009-10-27	$35.39	$35.00	31.8%	9.1%	29.1%	5.9%	0.0%	0.0%	0.7%	-150.6K	671.0K	-10.6K	0.00	72.78	0	0	918	1,544
2009-10-28	$34.20	$35.00	33.1%	9.5%	31.0%	7.2%	33.0%	0.0%	1.0%	-144.0K	1.7M	-10.1K	0.59	85.43	70	41	918	1,544
2009-10-29	$34.59	$35.00	35.9%	10.3%	30.8%	10.2%	35.9%	0.0%	0.4%	-135.8K	1.4M	-10.4K	0.68	85.33	104	71	965	1,545
2009-10-30	$33.67	$35.00	35.9%	10.3%	28.9%	10.3%	0.0%	0.0%	1.1%	-116.9K	1.8M	-10.1K	0.00	81.05	0	3	1,066	1,540