LII Options History — July 2010

In July 2010, LII traded between $41.53 and $45.70. ATM implied volatility averaged 30.7%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 0.2% (HV 20d: 30.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2010-07-26: Highest Volume — 168 contracts
2010-07-15: Largest IV spike — 25.1% change
2010-07-01: Highest IV Rank — 51.6%
2010-07-06: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.69	$41.53	$45.70	$41.72	$43.67
Max Pain	$44.05	$40.00	$45.00	$45.00	$45.00
ATM IV	30.7%	26.1%	35.3%	35.3%	27.5%
Expected Move	9.4%	7.6%	11.0%	10.1%	7.9%
HV 20d	30.5%	27.3%	38.0%	38.0%	31.6%
HV 60d	39.6%	37.4%	41.1%	40.3%	37.6%
IV Rank	35.9%	19.8%	51.6%	51.6%	24.7%
IV Percentile	42.5%	15.5%	75.4%	75.4%	27.4%
Term Structure	0.5%	-2.4%	4.8%	4.3%	3.2%
VWIV	32.2%	26.3%	35.4%	35.4%	26.3%
Skew 25d	5.1%	2.1%	8.9%	6.2%	8.9%
Skew 10d	9.5%	1.5%	16.3%	13.1%	9.2%
Call IV 25d	30.3%	24.1%	33.9%	33.7%	24.1%
Put IV 25d	35.4%	31.8%	39.9%	39.9%	33.0%
Bid-Ask Spread %	58.68	32.14	81.51	32.14	68.02
Gamma HHI	0.35	0.27	0.45	0.35	0.40
Net GEX	4.7K	-6.7K	17.6K	-5.1K	15.1K
Net DEX	-96.8K	-416.9K	222.6K	189.6K	-207.3K
Net VEX	-3.2K	-4.0K	-2.7K	-3.1K	-3.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.00	6.60	0.00	0.00
Total Volume	21.048	0	168	5	12
Total OI	566.571	424	668	553	668

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
2010-07-01	$41.72	$45.00	35.3%	10.1%	38.0%	51.6%	0.0%	6.2%	4.3%	-5.1K	189.6K	-3.1K	0.00	32.14	0	5	285	268
2010-07-02	$41.53	$45.00	33.7%	9.7%	32.4%	46.1%	0.0%	6.2%	4.8%	-6.7K	222.6K	-3.0K	0.00	51.68	10	0	285	273
2010-07-06	$42.14	$40.00	35.2%	11.0%	29.8%	51.2%	0.0%	6.8%	-0.2%	-5.0K	164.3K	-3.0K	0.00	53.75	5	0	295	273
2010-07-07	$43.50	$40.00	30.2%	10.1%	31.5%	34.0%	0.0%	6.1%	0.3%	1.9K	-47.1K	-3.1K	0.00	50.51	17	0	300	273
2010-07-08	$43.69	$40.00	28.6%	10.1%	31.5%	28.4%	35.4%	5.0%	-1.9%	3.4K	-94.9K	-3.1K	0.77	47.28	13	10	300	273
2010-07-09	$44.24	$40.00	28.6%	10.1%	27.3%	28.4%	35.2%	5.6%	-1.9%	6.4K	-165.2K	-3.2K	0.00	53.06	0	20	312	283
2010-07-12	$44.39	$45.00	28.6%	9.6%	27.3%	28.6%	0.0%	4.2%	-0.2%	7.8K	-160.8K	-3.2K	0.00	40.50	0	0	312	293
2010-07-13	$45.38	$45.00	27.5%	9.7%	28.3%	24.6%	0.0%	4.3%	-2.4%	9.9K	-416.9K	-3.1K	0.00	51.64	20	0	312	293
2010-07-14	$45.00	$45.00	26.1%	9.3%	27.8%	19.8%	32.5%	4.7%	-0.8%	9.5K	-323.6K	-3.1K	0.00	47.14	0	10	312	293
2010-07-15	$44.36	$45.00	32.6%	9.3%	28.3%	42.3%	0.0%	4.3%	-0.9%	7.4K	-50.0K	-3.0K	0.00	53.65	2	0	312	303
2010-07-16	$42.78	$45.00	33.0%	9.4%	30.7%	43.5%	0.0%	5.3%	-0.7%	4.3K	135.1K	-2.9K	0.00	48.15	10	0	314	303
2010-07-19	$42.68	$45.00	33.7%	9.7%	30.7%	46.0%	33.4%	3.4%	0.5%	3.3K	-46.9K	-2.7K	6.60	63.48	5	33	232	192
2010-07-20	$43.55	$45.00	33.9%	9.7%	30.3%	46.8%	33.9%	5.3%	-0.7%	-957	-36.6K	-2.9K	0.00	61.76	20	0	227	225
2010-07-21	$43.90	$45.00	30.3%	8.7%	29.1%	34.3%	30.3%	3.0%	1.1%	-1.2K	-94.2K	-2.9K	0.80	61.97	25	20	227	225
2010-07-22	$44.97	$45.00	30.7%	8.8%	30.3%	35.8%	30.7%	3.5%	-0.0%	430	-200.2K	-3.1K	0.00	75.48	10	0	242	245
2010-07-23	$45.70	$45.00	29.7%	8.5%	30.2%	32.4%	0.0%	5.0%	0.4%	2.2K	-289.3K	-3.0K	0.00	72.33	0	10	242	245
2010-07-26	$45.36	$45.00	31.8%	9.1%	29.3%	39.6%	31.7%	2.1%	-0.3%	2.1K	-279.1K	-3.0K	0.15	67.71	146	22	242	245
2010-07-27	$43.46	$45.00	29.7%	8.5%	33.3%	32.4%	0.0%	4.9%	1.4%	17.6K	-259.4K	-4.0K	0.00	76.77	2	0	386	267
2010-07-28	$42.48	$45.00	32.2%	9.2%	31.7%	41.0%	32.5%	4.9%	1.3%	14.5K	-31.5K	-3.7K	0.00	73.75	0	15	386	267
2010-07-29	$42.93	$45.00	26.6%	7.6%	31.1%	21.8%	0.0%	6.3%	2.6%	11.7K	-41.4K	-3.7K	0.00	81.51	0	0	386	282
2010-07-30	$43.67	$45.00	27.5%	7.9%	31.6%	24.7%	26.3%	8.9%	3.2%	15.1K	-207.3K	-3.8K	0.00	68.02	12	0	386	282