LII Options History — November 2009

In November 2009, LII traded between $34.00 and $39.84. ATM implied volatility averaged 33.4%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 2.6% (HV 20d: 30.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.50.

Notable Days

2009-11-30: Highest Volume — 120 contracts
2009-11-12: Largest IV spike — 22.5% change
2009-11-30: Highest IV Rank — 19.4%
2009-11-03: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.83	$34.00	$39.84	$34.00	$37.12
Max Pain	$31.00	$30.00	$35.00	$35.00	$30.00
ATM IV	33.4%	27.1%	37.3%	35.7%	37.0%
Expected Move	9.8%	9.3%	10.7%	10.2%	10.6%
HV 20d	30.8%	27.5%	32.5%	27.5%	29.9%
HV 60d	27.8%	27.0%	28.5%	27.6%	27.9%
IV Rank	9.3%	0.9%	19.4%	10.0%	19.4%
IV Percentile	10.1%	0.4%	32.9%	18.7%	32.9%
Term Structure	0.9%	-1.9%	2.8%	1.0%	-0.7%
VWIV	34.1%	29.1%	37.3%	37.3%	36.0%
Skew 25d	6.6%	3.9%	10.6%	10.6%	4.0%
Skew 10d	11.2%	1.8%	17.1%	16.8%	1.8%
Call IV 25d	29.7%	25.0%	33.3%	25.0%	33.3%
Put IV 25d	36.4%	35.4%	37.3%	35.5%	37.3%
Bid-Ask Spread %	70.88	49.66	81.47	81.47	71.07
Gamma HHI	0.61	0.49	0.84	0.84	0.68
Net GEX	10.9K	-143.7K	123.8K	-133.2K	108.0K
Net DEX	-2.0M	-3.3M	1.9M	1.9M	-2.2M
Net VEX	-6.4K	-10.5K	-4.4K	-9.7K	-4.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	4.00	0.00	1.40
Total Volume	21.15	0	120	25	120
Total OI	2,288.85	1,185	2,703	2,606	1,238

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
2009-11-02	$34.00	$35.00	35.7%	10.2%	27.5%	10.0%	0.0%	0.0%	1.0%	-133.2K	1.9M	-9.7K	0.00	81.47	25	0	1,066	1,540
2009-11-03	$35.41	$35.00	37.3%	10.7%	30.3%	11.7%	37.3%	0.0%	0.6%	-143.7K	478.1K	-10.5K	0.00	78.57	13	0	1,087	1,540
2009-11-04	$36.04	$35.00	36.9%	10.6%	30.8%	11.3%	0.0%	0.0%	0.5%	-132.6K	-244.4K	-10.1K	0.00	80.04	32	0	1,088	1,540
2009-11-05	$36.97	$35.00	35.1%	10.1%	31.6%	9.3%	33.8%	0.0%	2.8%	-114.4K	-1.1M	-9.4K	0.00	79.83	14	0	1,110	1,540
2009-11-06	$37.25	$30.00	30.3%	10.4%	30.2%	4.3%	0.0%	0.0%	0.4%	-100.0K	-1.3M	-8.9K	0.00	62.53	0	0	1,098	1,540
2009-11-09	$38.00	$30.00	31.8%	9.5%	30.8%	5.9%	33.3%	0.0%	2.2%	-50.4K	-2.1M	-7.3K	0.00	67.45	10	0	1,098	1,540
2009-11-10	$38.06	$30.00	31.1%	9.3%	30.8%	5.1%	0.0%	0.0%	2.0%	-45.1K	-2.2M	-7.0K	0.00	67.95	13	0	1,108	1,540
2009-11-11	$38.45	$30.00	27.1%	9.5%	30.7%	0.9%	0.0%	0.0%	1.2%	9.1K	-2.5M	-6.2K	0.00	67.69	0	10	1,097	1,540
2009-11-12	$37.93	$30.00	33.3%	9.5%	31.1%	7.4%	0.0%	0.0%	2.0%	-32.1K	-2.1M	-6.7K	0.00	67.73	0	0	1,097	1,550
2009-11-13	$38.47	$30.00	33.1%	9.5%	31.3%	7.2%	0.0%	0.0%	1.7%	26.2K	-2.6M	-5.4K	0.00	63.84	0	0	1,097	1,550
2009-11-16	$39.84	$30.00	33.3%	9.5%	32.5%	7.5%	0.0%	0.0%	1.9%	115.5K	-3.3M	-4.5K	0.00	75.33	0	0	1,097	1,550
2009-11-17	$39.56	$30.00	33.9%	9.7%	32.1%	8.1%	0.0%	10.6%	1.5%	111.7K	-3.2M	-4.4K	4.00	79.95	1	4	1,097	1,550
2009-11-18	$39.25	$30.00	33.1%	9.5%	30.0%	7.2%	0.0%	8.4%	1.8%	123.8K	-3.0M	-4.4K	0.00	78.28	0	0	1,098	1,554
2009-11-19	$38.30	$30.00	33.6%	9.6%	31.5%	12.2%	36.1%	6.5%	2.2%	53.6K	-2.6M	-4.9K	0.00	78.10	0	62	1,098	1,554
2009-11-20	$38.57	$30.00	33.5%	9.6%	31.4%	12.2%	0.0%	7.4%	1.6%	94.6K	-2.7M	-5.0K	0.00	79.28	16	0	1,098	1,605
2009-11-23	$38.75	$30.00	33.2%	9.5%	31.3%	11.9%	33.2%	8.2%	-1.9%	71.5K	-2.7M	-4.6K	0.00	53.49	26	0	964	221
2009-11-24	$38.00	$30.00	32.7%	9.4%	32.2%	11.7%	29.1%	4.5%	-1.8%	85.5K	-2.6M	-4.9K	0.15	49.66	67	10	990	221
2009-11-25	$38.68	$30.00	32.4%	9.3%	29.3%	11.1%	0.0%	6.3%	-0.3%	82.8K	-2.7M	-4.7K	0.00	71.61	0	0	1,007	231
2009-11-27	$37.89	$30.00	33.1%	9.5%	30.7%	12.4%	0.0%	3.9%	-1.8%	88.1K	-2.5M	-4.8K	0.00	63.71	0	0	1,007	231
2009-11-30	$37.12	$30.00	37.0%	10.6%	29.9%	19.4%	36.0%	4.0%	-0.7%	108.0K	-2.2M	-4.7K	1.40	71.07	50	70	1,007	231