LII Options History — April 2010

In April 2010, LII traded between $44.77 and $49.93. ATM implied volatility averaged 24.4%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.7% (HV 20d: 23.7%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.44.

Notable Days

2010-04-27: Highest Volume — 150 contracts
2010-04-13: Largest IV spike — 24.2% change
2010-04-26: Highest IV Rank — 14.2%
2010-04-26: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.15	$44.77	$49.93	$44.77	$45.26
Max Pain	$45.95	$45.00	$50.00	$45.00	$50.00
ATM IV	24.4%	20.3%	26.5%	23.4%	25.4%
Expected Move	7.2%	6.7%	7.6%	6.7%	7.3%
HV 20d	23.7%	18.1%	37.6%	21.0%	37.6%
HV 60d	22.2%	20.7%	27.4%	21.0%	27.4%
IV Rank	7.5%	0.0%	14.2%	0.0%	11.8%
IV Percentile	5.0%	0.0%	17.5%	0.0%	9.5%
Term Structure	-1.0%	-2.8%	1.9%	1.9%	-1.0%
VWIV	24.6%	21.6%	26.7%	26.7%	25.4%
Skew 25d	2.3%	0.9%	3.9%	2.9%	1.3%
Skew 10d	4.2%	-2.9%	8.2%	6.1%	3.7%
Call IV 25d	23.6%	21.7%	24.7%	23.9%	24.1%
Put IV 25d	25.8%	24.8%	27.5%	26.8%	25.3%
Bid-Ask Spread %	65.04	45.62	87.87	84.14	87.70
Gamma HHI	0.73	0.57	0.85	0.79	0.57
Net GEX	67.4K	33.6K	129.2K	111.7K	63.6K
Net DEX	-2.0M	-2.8M	-1.2M	-1.4M	-1.2M
Net VEX	-4.3K	-5.9K	-2.7K	-5.9K	-4.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	1.90	0.00	0.28
Total Volume	19.476	0	150	0	51
Total OI	870.381	733	938	923	938

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
2010-04-01	$44.77	$45.00	23.4%	6.7%	21.0%	0.0%	0.0%	2.9%	1.9%	111.7K	-1.4M	-5.9K	0.00	84.14	0	0	696	227
2010-04-05	$45.14	$45.00	25.2%	7.4%	20.9%	4.1%	0.0%	3.4%	-0.1%	115.9K	-1.6M	-5.7K	0.00	45.62	0	0	696	227
2010-04-06	$44.93	$45.00	26.0%	7.4%	20.0%	5.9%	0.0%	2.3%	0.1%	116.5K	-1.5M	-5.7K	0.00	52.20	10	0	696	227
2010-04-07	$45.18	$45.00	24.6%	7.5%	20.1%	2.8%	0.0%	3.8%	-0.5%	122.6K	-1.6M	-5.5K	0.00	57.19	0	0	686	227
2010-04-08	$45.68	$45.00	24.3%	7.5%	20.1%	2.0%	0.0%	3.5%	-0.9%	129.2K	-1.8M	-5.2K	0.00	50.59	0	0	686	227
2010-04-09	$46.38	$45.00	20.4%	7.5%	20.7%	0.0%	0.0%	3.9%	-0.5%	108.6K	-2.1M	-4.9K	0.00	61.34	0	0	686	227
2010-04-12	$47.77	$45.00	20.3%	7.2%	22.5%	0.0%	0.0%	1.3%	-1.2%	54.4K	-2.6M	-4.0K	1.90	57.36	10	19	686	227
2010-04-13	$47.83	$45.00	25.2%	7.2%	22.3%	11.1%	0.0%	1.8%	-1.4%	53.4K	-2.6M	-4.2K	0.00	57.75	0	6	696	234
2010-04-14	$48.74	$45.00	20.5%	7.0%	22.6%	0.5%	0.0%	1.8%	-0.7%	40.0K	-2.8M	-3.6K	0.00	55.44	0	0	696	231
2010-04-15	$48.21	$45.00	24.6%	7.0%	22.5%	9.6%	0.0%	1.8%	-1.1%	41.5K	-2.7M	-3.9K	0.00	60.16	0	0	696	231
2010-04-16	$48.00	$45.00	24.6%	7.0%	22.6%	9.6%	0.0%	2.7%	-1.9%	46.6K	-2.7M	-3.9K	0.00	57.80	7	0	696	231
2010-04-19	$48.08	$45.00	24.4%	7.0%	20.4%	9.3%	0.0%	2.4%	-1.0%	42.3K	-1.9M	-3.7K	0.00	57.70	26	0	524	209
2010-04-20	$48.18	$45.00	24.5%	7.0%	19.5%	9.5%	0.0%	1.6%	-1.0%	41.5K	-2.0M	-3.8K	0.00	62.63	0	0	544	209
2010-04-21	$48.53	$45.00	24.9%	7.1%	18.2%	10.3%	0.0%	1.4%	-1.3%	42.7K	-2.0M	-3.5K	0.00	62.60	0	0	544	209
2010-04-22	$49.80	$45.00	25.1%	7.2%	18.4%	11.0%	0.0%	1.6%	-1.5%	34.1K	-2.2M	-3.0K	0.00	62.50	10	0	544	209
2010-04-23	$49.89	$45.00	25.8%	7.4%	18.1%	12.5%	0.0%	2.3%	-2.1%	33.6K	-2.3M	-3.0K	1.00	66.86	5	5	543	209
2010-04-26	$49.93	$45.00	26.5%	7.6%	18.1%	14.2%	26.7%	0.9%	-2.8%	33.6K	-2.3M	-2.7K	0.40	70.91	75	30	548	209
2010-04-27	$45.80	$50.00	25.7%	7.4%	37.4%	12.3%	21.6%	1.4%	-1.7%	54.3K	-1.3M	-4.4K	0.36	87.77	110	40	592	239
2010-04-28	$45.81	$50.00	24.8%	7.1%	37.2%	10.4%	0.0%	2.1%	-0.9%	63.9K	-1.3M	-4.8K	0.00	87.87	0	0	679	259
2010-04-29	$46.32	$50.00	25.2%	7.2%	36.7%	11.2%	0.0%	3.6%	-1.6%	66.1K	-1.5M	-4.5K	0.00	79.80	0	5	679	259
2010-04-30	$45.26	$50.00	25.4%	7.3%	37.6%	11.8%	25.4%	1.3%	-1.0%	63.6K	-1.2M	-4.7K	0.28	87.70	40	11	679	259