LII Options History — May 2010

In May 2010, LII traded between $41.33 and $46.10. ATM implied volatility averaged 34.0%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 11.7% (HV 20d: 45.7%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.82.

Notable Days

2010-05-06: Highest Volume — 92 contracts
2010-05-07: Largest IV spike — 33.7% change
2010-05-21: Highest IV Rank — 59.6%
2010-05-20: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.80	$41.33	$46.10	$45.67	$44.75
Max Pain	$41.25	$40.00	$50.00	$50.00	$40.00
ATM IV	34.0%	26.1%	41.8%	26.2%	32.9%
Expected Move	9.6%	7.5%	11.7%	7.5%	9.4%
HV 20d	45.7%	37.7%	49.9%	37.7%	45.7%
HV 60d	31.8%	26.9%	35.7%	26.9%	35.7%
IV Rank	37.5%	13.3%	59.6%	13.6%	43.4%
IV Percentile	54.5%	15.9%	82.9%	16.3%	47.6%
Term Structure	0.7%	-2.0%	10.7%	-1.8%	0.2%
VWIV	36.7%	26.1%	70.2%	26.2%	35.6%
Skew 25d	3.9%	0.4%	7.5%	3.6%	1.8%
Skew 10d	7.4%	2.3%	16.5%	6.5%	2.8%
Call IV 25d	30.8%	20.4%	38.2%	22.3%	32.8%
Put IV 25d	34.7%	26.0%	42.3%	26.0%	34.6%
Bid-Ask Spread %	84.16	77.30	112.11	89.74	81.06
Gamma HHI	0.51	0.38	0.60	0.58	0.54
Net GEX	67.3K	50.2K	80.4K	74.6K	64.5K
Net DEX	-971.6K	-1.7M	-310.7K	-1.4M	-1.2M
Net VEX	-5.2K	-6.1K	-4.7K	-4.8K	-5.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.00	2.50	0.00	2.50
Total Volume	31.6	0	92	20	20
Total OI	1,043.8	928	1,147	968	980

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
2010-05-03	$45.67	$50.00	26.2%	7.5%	37.7%	13.6%	26.2%	3.6%	-1.8%	74.6K	-1.4M	-4.8K	0.00	89.74	20	0	719	249
2010-05-04	$43.98	$45.00	26.1%	7.5%	40.0%	13.3%	26.1%	5.7%	-1.2%	76.0K	-929.2K	-4.9K	0.00	83.33	10	0	739	249
2010-05-05	$42.96	$45.00	28.0%	8.0%	40.7%	17.6%	28.3%	5.5%	-0.6%	69.8K	-672.6K	-4.7K	0.30	77.30	50	15	749	249
2010-05-06	$42.11	$45.00	31.3%	9.0%	40.8%	25.2%	70.2%	4.0%	7.2%	61.6K	-588.7K	-5.0K	0.14	112.11	81	11	779	259
2010-05-07	$41.33	$40.00	41.8%	10.4%	40.5%	49.4%	0.0%	4.0%	0.4%	52.1K	-310.7K	-5.0K	0.00	86.89	42	0	792	268
2010-05-10	$44.44	$40.00	34.1%	8.9%	47.7%	31.6%	0.0%	4.1%	1.4%	78.4K	-1.1M	-5.5K	0.00	81.76	0	0	798	268
2010-05-11	$44.31	$40.00	34.4%	9.3%	47.7%	32.4%	0.0%	3.8%	1.4%	74.2K	-1.1M	-5.6K	2.00	78.94	10	20	798	268
2010-05-12	$45.70	$40.00	32.5%	8.8%	48.6%	27.9%	30.8%	3.3%	1.4%	79.9K	-1.6M	-5.8K	0.38	81.72	53	20	808	277
2010-05-13	$46.10	$40.00	31.6%	9.0%	48.7%	25.9%	0.0%	4.2%	1.1%	79.7K	-1.7M	-6.1K	0.00	80.49	0	10	829	297
2010-05-14	$44.97	$40.00	32.4%	9.3%	49.3%	27.7%	0.0%	1.9%	0.3%	80.4K	-1.3M	-6.1K	0.00	79.86	0	10	829	297
2010-05-17	$44.55	$40.00	34.0%	9.8%	49.3%	35.8%	34.1%	3.8%	0.1%	80.2K	-1.2M	-5.9K	0.91	81.46	22	20	829	297
2010-05-18	$44.45	$40.00	34.3%	9.8%	49.3%	37.9%	0.0%	1.2%	-0.3%	79.4K	-1.2M	-5.7K	0.00	80.52	0	0	811	297
2010-05-19	$43.26	$40.00	35.2%	10.1%	49.8%	40.2%	0.0%	7.5%	0.7%	67.5K	-793.3K	-5.4K	1.45	82.85	22	32	811	297
2010-05-20	$41.62	$40.00	40.7%	11.7%	49.6%	55.5%	39.0%	5.3%	-2.0%	52.1K	-339.3K	-5.1K	2.00	81.63	12	24	822	325
2010-05-21	$41.95	$40.00	39.5%	11.3%	49.8%	59.6%	38.5%	0.4%	-1.4%	51.4K	-384.4K	-4.9K	0.00	89.61	30	0	812	315
2010-05-24	$42.13	$40.00	39.4%	11.3%	49.9%	59.1%	0.0%	2.6%	-1.6%	50.2K	-606.7K	-4.7K	1.00	85.54	10	10	673	255
2010-05-25	$42.67	$40.00	37.2%	10.7%	41.0%	56.6%	41.3%	6.8%	-0.8%	50.5K	-656.7K	-4.8K	0.00	82.61	0	22	673	265
2010-05-26	$43.35	$40.00	35.9%	10.3%	41.6%	53.7%	38.0%	5.9%	-0.3%	56.1K	-868.8K	-4.9K	0.00	87.48	0	7	673	277
2010-05-27	$45.69	$40.00	32.8%	9.4%	45.8%	42.9%	32.8%	3.5%	10.7%	67.2K	-1.5M	-4.9K	2.50	78.26	14	35	673	270
2010-05-28	$44.75	$40.00	32.9%	9.4%	45.7%	43.4%	35.6%	1.8%	0.2%	64.5K	-1.2M	-5.0K	0.00	81.06	0	20	683	297