LII Options History — January 2010

In January 2010, LII traded between $38.22 and $40.34. ATM implied volatility averaged 29.4%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 8.3% (HV 20d: 21.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.02.

Notable Days

2010-01-15: Highest Volume — 130 contracts
2010-01-14: Largest IV spike — 26.5% change
2010-01-27: Highest IV Rank — 17.8%
2010-01-27: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.53	$38.22	$40.34	$40.01	$38.22
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	29.4%	23.7%	33.2%	27.5%	32.0%
Expected Move	8.9%	8.5%	9.5%	8.6%	9.2%
HV 20d	21.2%	19.3%	22.4%	21.8%	21.1%
HV 60d	25.3%	23.4%	26.3%	26.1%	24.0%
IV Rank	10.3%	0.0%	17.8%	5.7%	15.6%
IV Percentile	10.0%	0.0%	21.8%	4.4%	16.7%
Term Structure	-1.0%	-2.9%	0.3%	-0.1%	-1.7%
VWIV	31.2%	29.7%	33.2%	29.9%	32.1%
Bid-Ask Spread %	57.88	42.05	71.04	42.26	56.24
Gamma HHI	0.83	0.75	0.92	0.83	0.82
Net GEX	80.5K	43.9K	162.9K	77.0K	65.6K
Net DEX	-870.2K	-1.2M	-466.3K	-988.4K	-719.5K
Net VEX	-4.6K	-5.1K	-4.1K	-5.1K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.00	0.11	0.00	0.11
Total Volume	18.263	0	130	7	40
Total OI	860.789	735	935	924	859

Daily Data (19 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
2010-01-04	$40.01	$40.00	27.5%	8.6%	21.8%	5.7%	29.9%	0.0%	-0.1%	77.0K	-988.4K	-5.1K	0.00	42.26	7	0	639	285
2010-01-05	$39.43	$40.00	26.6%	8.7%	22.3%	4.0%	0.0%	0.0%	-0.2%	78.2K	-858.8K	-5.1K	0.00	43.22	0	0	646	285
2010-01-06	$39.27	$40.00	26.7%	8.6%	21.2%	4.2%	0.0%	0.0%	-0.6%	77.2K	-747.2K	-5.0K	0.00	53.54	0	0	646	285
2010-01-07	$39.59	$40.00	26.7%	8.6%	20.4%	4.2%	0.0%	0.0%	0.1%	83.7K	-833.7K	-5.0K	0.00	48.50	6	0	646	285
2010-01-08	$40.25	$40.00	24.7%	8.5%	20.9%	0.4%	29.7%	0.0%	0.3%	94.9K	-1.2M	-5.0K	0.00	42.05	13	0	650	285
2010-01-11	$40.34	$40.00	26.8%	8.6%	20.9%	4.5%	0.0%	0.0%	0.1%	105.3K	-1.2M	-4.8K	0.00	49.08	0	0	650	285
2010-01-12	$39.72	$40.00	25.9%	8.6%	21.7%	2.6%	0.0%	0.0%	-0.4%	117.2K	-842.3K	-4.6K	0.00	56.82	6	0	650	285
2010-01-13	$39.85	$40.00	23.7%	8.6%	21.4%	0.0%	29.9%	0.0%	0.1%	140.8K	-923.2K	-4.6K	0.00	61.53	13	0	648	285
2010-01-14	$39.61	$40.00	30.0%	8.6%	21.4%	11.8%	0.0%	0.0%	0.3%	162.9K	-671.0K	-4.4K	0.00	62.29	0	0	642	285
2010-01-15	$39.25	$40.00	30.5%	8.7%	20.9%	12.7%	30.5%	0.0%	-0.4%	98.7K	-466.3K	-4.1K	0.08	56.86	120	10	642	285
2010-01-19	$40.12	$40.00	31.1%	8.9%	22.0%	13.9%	0.0%	0.0%	-1.4%	45.5K	-937.0K	-4.5K	0.00	71.04	1	0	521	214
2010-01-20	$39.40	$40.00	32.7%	9.4%	22.4%	16.9%	32.7%	0.0%	-2.2%	44.3K	-808.2K	-4.4K	0.00	57.36	7	0	522	214
2010-01-21	$39.05	$40.00	32.8%	9.4%	21.7%	17.1%	0.0%	0.0%	-2.5%	43.9K	-757.5K	-4.4K	0.00	55.92	0	0	522	214
2010-01-22	$39.17	$40.00	32.0%	9.2%	21.4%	15.5%	32.0%	0.0%	-1.8%	45.0K	-761.7K	-4.4K	0.00	64.93	59	0	522	214
2010-01-25	$39.57	$40.00	32.2%	9.2%	21.7%	16.0%	0.0%	0.0%	-1.7%	58.4K	-946.9K	-4.5K	0.00	70.90	0	1	581	214
2010-01-26	$39.49	$40.00	31.8%	9.1%	20.0%	15.2%	0.0%	0.0%	-1.5%	59.5K	-929.7K	-4.5K	0.00	70.18	0	0	581	214
2010-01-27	$39.49	$40.00	33.2%	9.5%	19.4%	17.8%	33.2%	0.0%	-2.9%	59.3K	-941.2K	-4.4K	0.00	67.02	64	0	581	214
2010-01-28	$39.20	$40.00	32.6%	9.3%	19.3%	16.6%	0.0%	0.0%	-1.8%	71.2K	-979.9K	-4.6K	0.00	69.96	0	0	645	214
2010-01-29	$38.22	$40.00	32.0%	9.2%	21.1%	15.6%	32.1%	0.0%	-1.7%	65.6K	-719.5K	-4.4K	0.11	56.24	36	4	645	214