LII Options History — February 2010

In February 2010, LII traded between $38.60 and $43.81. ATM implied volatility averaged 29.4%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 5.5% (HV 20d: 23.9%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.23.

Notable Days

2010-02-18: Highest Volume — 233 contracts
2010-02-04: Largest IV drop — 17.3% change
2010-02-03: Highest IV Rank — 25.2%
2010-02-03: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.65	$38.60	$43.81	$38.60	$42.20
Max Pain	$33.68	$30.00	$40.00	$40.00	$35.00
ATM IV	29.4%	26.5%	37.1%	33.6%	27.8%
Expected Move	8.5%	7.6%	10.6%	9.6%	8.0%
HV 20d	23.9%	19.3%	25.9%	21.0%	24.5%
HV 60d	22.8%	21.2%	24.0%	22.7%	21.2%
IV Rank	11.9%	6.3%	25.2%	18.6%	9.7%
IV Percentile	12.8%	3.2%	50.0%	25.0%	9.9%
Term Structure	0.3%	-6.4%	4.0%	-2.8%	0.8%
VWIV	27.5%	17.1%	34.7%	34.7%	17.1%
Bid-Ask Spread %	72.44	62.03	86.66	66.85	82.17
Gamma HHI	0.75	0.46	0.92	0.83	0.49
Net GEX	75.9K	47.2K	114.1K	74.5K	64.3K
Net DEX	-1.6M	-2.7M	-796.9K	-796.9K	-1.1M
Net VEX	-4.1K	-4.8K	-3.4K	-4.3K	-3.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.23	0.00	0.92	0.55	0.02
Total Volume	45.789	0	233	0	0
Total OI	947.895	837	1,094	899	860

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
2010-02-01	$38.60	$40.00	33.6%	9.6%	21.0%	18.6%	0.0%	0.0%	-2.8%	74.5K	-796.9K	-4.3K	0.00	66.85	0	0	681	218
2010-02-02	$39.00	$40.00	34.7%	9.9%	19.3%	20.6%	34.7%	0.0%	-3.6%	79.1K	-952.0K	-4.4K	0.55	70.30	40	22	681	218
2010-02-03	$40.12	$40.00	37.1%	10.6%	21.3%	25.2%	0.0%	0.0%	-6.4%	88.8K	-1.3M	-4.8K	0.00	71.02	0	0	716	240
2010-02-04	$39.15	$40.00	30.7%	8.8%	23.1%	13.1%	0.0%	0.0%	-1.2%	97.8K	-942.6K	-4.6K	0.00	86.66	0	0	716	240
2010-02-05	$40.49	$30.00	28.2%	8.3%	25.9%	8.5%	28.8%	0.0%	1.4%	114.1K	-1.4M	-4.6K	0.27	67.06	115	31	716	240
2010-02-08	$40.59	$30.00	30.3%	8.7%	25.3%	15.1%	0.0%	0.0%	0.6%	92.4K	-1.3M	-4.5K	0.00	72.11	0	10	655	265
2010-02-09	$41.22	$30.00	26.5%	8.4%	25.8%	6.3%	29.0%	0.0%	2.7%	90.2K	-1.6M	-4.4K	0.92	64.68	24	22	655	275
2010-02-10	$41.29	$30.00	29.0%	8.5%	25.1%	12.0%	0.0%	0.0%	1.9%	89.5K	-1.5M	-4.6K	0.00	64.62	0	7	679	297
2010-02-11	$42.10	$30.00	29.8%	8.6%	25.8%	14.0%	0.0%	0.0%	1.0%	76.8K	-1.8M	-4.2K	0.00	69.22	100	0	679	294
2010-02-12	$42.27	$30.00	28.4%	8.1%	25.6%	10.7%	0.0%	0.0%	2.7%	69.3K	-2.4M	-3.9K	0.00	74.13	0	0	779	294
2010-02-16	$42.57	$30.00	27.7%	8.0%	25.2%	9.2%	28.4%	0.0%	2.2%	75.6K	-2.4M	-3.7K	0.00	74.70	10	0	779	294
2010-02-17	$43.00	$30.00	26.5%	7.6%	24.5%	6.4%	26.5%	0.0%	4.0%	71.0K	-2.5M	-3.7K	0.05	77.20	20	1	789	294
2010-02-18	$43.27	$30.00	27.6%	7.9%	23.1%	8.9%	27.9%	0.0%	2.4%	55.0K	-2.7M	-3.5K	0.01	73.89	230	3	799	295
2010-02-19	$43.81	$35.00	27.9%	8.0%	22.7%	9.6%	27.9%	0.0%	1.1%	47.2K	-2.1M	-3.4K	0.02	70.79	193	3	660	298
2010-02-22	$43.64	$35.00	28.4%	8.1%	22.9%	10.8%	0.0%	0.0%	-1.4%	62.3K	-1.5M	-3.9K	0.00	81.80	0	0	583	254
2010-02-23	$42.94	$35.00	27.7%	7.9%	24.1%	9.2%	27.5%	0.0%	-0.7%	65.6K	-1.3M	-3.9K	0.00	80.43	0	28	583	254
2010-02-24	$42.80	$35.00	26.8%	7.7%	24.1%	7.2%	0.0%	0.0%	-0.6%	63.4K	-1.3M	-3.9K	0.00	66.78	0	0	583	282
2010-02-25	$42.33	$35.00	28.8%	8.3%	24.7%	11.9%	17.1%	0.0%	0.9%	64.6K	-1.1M	-3.9K	0.00	62.03	0	11	583	282
2010-02-26	$42.20	$35.00	27.8%	8.0%	24.5%	9.7%	0.0%	0.0%	0.8%	64.3K	-1.1M	-3.8K	0.00	82.17	0	0	583	277