LII Options History — September 2010

In September 2010, LII traded between $40.25 and $43.64. ATM implied volatility averaged 43.1%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 18.2% (HV 20d: 24.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.30.

Notable Days

2010-09-01: Highest Volume — 222 contracts
2010-09-09: Largest IV spike — 104.9% change
2010-09-03: Highest IV Rank — 100.0%
2010-09-17: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.20	$40.25	$43.64	$43.54	$41.69
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	43.1%	24.7%	64.5%	35.8%	42.8%
Expected Move	12.3%	7.8%	16.7%	10.2%	12.3%
HV 20d	24.9%	20.5%	30.3%	29.9%	22.6%
HV 60d	29.3%	28.2%	30.9%	30.9%	28.2%
IV Rank	52.7%	9.9%	100.0%	45.3%	50.9%
IV Percentile	86.5%	5.2%	100.0%	82.9%	92.9%
Term Structure	-7.5%	-27.0%	23.2%	23.2%	-20.5%
VWIV	36.6%	23.6%	46.3%	31.6%	33.5%
Skew 25d	30.9%	-2.2%	79.9%	58.9%	5.2%
Skew 10d	25.3%	4.2%	87.3%	34.7%	7.3%
Call IV 25d	30.2%	24.3%	36.4%	32.2%	24.3%
Put IV 25d	61.0%	27.2%	111.9%	91.1%	29.4%
Bid-Ask Spread %	117.77	91.55	149.18	115.11	141.69
Gamma HHI	0.60	0.41	0.82	0.69	0.74
Net GEX	4.4K	-80.1K	79.2K	71.6K	-56.2K
Net DEX	85.3K	-906.0K	630.4K	-328.7K	382.4K
Net VEX	-4.6K	-6.3K	-3.6K	-4.8K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.30	0.00	17.00	0.00	0.00
Total Volume	41.238	0	222	222	63
Total OI	1,078.333	453	1,441	1,262	777

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
2010-09-01	$43.54	$45.00	35.8%	10.2%	29.9%	45.3%	31.6%	58.9%	23.2%	71.6K	-328.7K	-4.8K	0.00	115.11	222	0	678	584
2010-09-02	$43.16	$45.00	42.3%	12.1%	30.0%	64.4%	0.0%	0.0%	18.1%	64.2K	-294.8K	-5.5K	1.00	127.40	10	10	778	584
2010-09-03	$43.64	$45.00	64.5%	12.0%	30.3%	100.0%	0.0%	41.0%	-17.2%	40.6K	-906.0K	-6.3K	0.00	122.65	0	0	792	584
2010-09-07	$42.91	$45.00	44.8%	15.3%	29.9%	55.3%	46.3%	2.4%	-20.5%	70.4K	-367.2K	-5.3K	0.18	123.97	74	13	792	584
2010-09-08	$42.77	$45.00	24.7%	9.1%	29.4%	9.9%	28.0%	-2.2%	-0.5%	79.2K	-114.0K	-5.2K	0.20	91.55	20	4	841	584
2010-09-09	$43.23	$45.00	50.6%	14.5%	25.4%	68.4%	0.0%	79.9%	-14.0%	42.8K	-722.8K	-6.3K	0.00	112.94	0	0	855	584
2010-09-10	$42.83	$45.00	35.1%	10.1%	24.4%	33.4%	34.3%	5.2%	4.6%	74.9K	-373.6K	-5.5K	0.00	92.89	0	5	855	584
2010-09-13	$42.11	$45.00	41.4%	11.9%	25.0%	47.7%	0.0%	0.0%	-9.8%	41.9K	121.8K	-4.5K	0.02	96.68	45	1	855	586
2010-09-14	$41.99	$45.00	45.4%	13.0%	24.9%	56.8%	0.0%	0.0%	-9.0%	25.0K	276.1K	-4.4K	0.00	108.49	0	0	820	587
2010-09-15	$42.18	$45.00	36.3%	10.4%	22.2%	36.2%	0.0%	0.0%	-8.2%	-15.5K	263.3K	-3.8K	0.00	109.31	0	1	820	587
2010-09-16	$41.83	$45.00	53.8%	15.4%	21.6%	75.9%	0.0%	0.0%	-13.2%	-5.7K	357.0K	-3.8K	0.00	149.18	0	0	820	587
2010-09-17	$41.90	$45.00	58.4%	16.7%	20.7%	86.2%	0.0%	0.0%	-8.1%	-7.0K	206.1K	-3.6K	0.00	129.52	0	22	820	587
2010-09-20	$42.65	$45.00	44.9%	12.9%	21.9%	55.5%	0.0%	0.0%	-0.6%	-3.5K	109.6K	-3.7K	0.00	121.98	2	0	193	260
2010-09-21	$42.00	$45.00	38.8%	11.1%	22.2%	41.9%	42.0%	0.0%	-4.0%	-5.7K	118.4K	-3.6K	0.00	105.70	0	85	193	260
2010-09-22	$41.50	$45.00	40.9%	11.7%	20.5%	46.5%	23.6%	0.0%	-22.2%	-18.1K	285.8K	-3.8K	0.00	108.72	0	104	193	324
2010-09-23	$40.25	$45.00	46.3%	13.3%	23.0%	58.9%	38.7%	0.0%	-16.7%	-38.5K	485.7K	-4.0K	0.00	102.60	0	145	193	428
2010-09-24	$41.50	$45.00	41.4%	11.9%	25.5%	47.7%	45.8%	0.0%	-6.9%	-56.5K	548.6K	-4.5K	17.00	124.07	1	17	193	566
2010-09-27	$41.71	$45.00	43.2%	12.4%	24.4%	51.8%	36.9%	0.0%	-17.7%	-57.4K	532.6K	-4.5K	0.00	132.51	0	10	193	576
2010-09-28	$41.61	$45.00	27.3%	7.8%	24.2%	15.9%	0.0%	0.0%	13.4%	-80.1K	630.4K	-4.4K	0.00	127.34	10	0	193	576
2010-09-29	$41.16	$45.00	45.7%	13.1%	24.4%	57.5%	42.0%	0.0%	-27.0%	-73.2K	581.4K	-4.5K	0.00	128.87	0	2	203	576
2010-09-30	$41.69	$45.00	42.8%	12.3%	22.6%	50.9%	33.5%	0.0%	-20.5%	-56.2K	382.4K	-4.4K	0.00	141.69	0	63	203	574