LII Options History — October 2010

In October 2010, LII traded between $40.79 and $43.59. ATM implied volatility averaged 38.3%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 12.3% (HV 20d: 26.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.46.

Notable Days

2010-10-04: Highest Volume — 127 contracts
2010-10-12: Largest IV spike — 172.4% change
2010-10-12: Highest IV Rank — 100.0%
2010-10-01: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.27	$40.79	$43.59	$42.12	$41.01
Max Pain	$40.25	$40.00	$45.00	$45.00	$40.00
ATM IV	38.3%	23.8%	79.2%	44.7%	26.9%
Expected Move	9.6%	7.5%	12.8%	12.8%	7.7%
HV 20d	26.0%	21.6%	28.2%	22.9%	27.6%
HV 60d	27.7%	25.9%	29.3%	28.3%	26.6%
IV Rank	35.4%	7.9%	100.0%	55.3%	11.2%
IV Percentile	65.0%	2.0%	100.0%	94.8%	28.6%
Term Structure	4.5%	-11.2%	18.6%	-7.0%	3.6%
VWIV	30.2%	26.2%	34.6%	32.8%	26.2%
Skew 25d	1.4%	-2.3%	5.1%	5.1%	-2.3%
Skew 10d	4.5%	-1.1%	10.1%	10.1%	-1.1%
Call IV 25d	28.2%	27.7%	28.7%	27.7%	28.7%
Put IV 25d	29.5%	26.4%	32.7%	32.7%	26.4%
Bid-Ask Spread %	91.72	56.63	129.37	129.37	83.37
Gamma HHI	0.57	0.35	0.80	0.67	0.79
Net GEX	-33.1K	-84.7K	8.3K	-40.7K	-84.7K
Net DEX	261.1K	-43.7K	793.7K	279.8K	742.2K
Net VEX	-4.0K	-4.7K	-3.5K	-4.3K	-4.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.46	0.00	13.80	0.34	7.75
Total Volume	27.429	0	127	0	0
Total OI	750.81	558	868	714	868

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
2010-10-01	$42.12	$45.00	44.7%	12.8%	22.9%	55.3%	0.0%	0.0%	-7.0%	-40.7K	279.8K	-4.3K	0.00	129.37	0	0	203	511
2010-10-04	$41.09	$0.00	35.5%	10.7%	23.9%	34.3%	32.8%	0.0%	5.8%	-60.2K	441.3K	-4.1K	0.34	74.25	95	32	203	511
2010-10-05	$42.20	$40.00	49.8%	9.5%	25.5%	66.6%	0.0%	0.0%	-3.4%	-43.3K	303.3K	-4.6K	0.00	82.61	0	0	298	533
2010-10-06	$42.32	$40.00	46.4%	10.3%	25.5%	59.0%	0.0%	0.0%	-11.2%	-41.1K	228.1K	-4.7K	0.00	93.54	12	0	298	533
2010-10-07	$41.56	$40.00	47.8%	10.6%	25.9%	62.1%	0.0%	0.0%	-8.9%	-45.6K	407.7K	-4.6K	0.00	103.68	10	0	296	533
2010-10-08	$42.54	$40.00	32.8%	8.3%	27.2%	28.2%	0.0%	0.0%	1.7%	-39.1K	236.2K	-4.1K	0.00	85.84	0	0	286	533
2010-10-11	$43.05	$40.00	23.8%	10.2%	26.8%	7.9%	34.6%	0.0%	12.9%	-10.7K	59.8K	-4.0K	0.30	95.57	10	3	286	533
2010-10-12	$42.83	$40.00	64.9%	9.9%	26.8%	100.0%	0.0%	0.0%	18.6%	-33.9K	202.3K	-4.2K	0.00	105.52	0	0	286	530
2010-10-13	$43.59	$40.00	79.2%	10.3%	27.5%	100.0%	0.0%	0.0%	11.3%	-22.9K	38.7K	-4.2K	0.00	108.27	2	0	286	530
2010-10-14	$43.16	$40.00	36.1%	10.3%	27.5%	26.8%	0.0%	0.0%	14.0%	-23.7K	64.4K	-4.1K	0.00	108.97	2	0	286	530
2010-10-15	$43.07	$40.00	34.2%	9.8%	27.6%	23.5%	0.0%	0.0%	12.1%	-26.2K	61.7K	-4.1K	0.00	115.61	0	0	288	530
2010-10-18	$42.86	$40.00	35.2%	10.1%	26.9%	25.3%	29.0%	0.0%	17.1%	8.3K	-43.7K	-3.7K	2.40	111.26	10	24	288	270
2010-10-19	$42.55	$40.00	30.5%	8.7%	26.5%	17.2%	31.5%	0.0%	1.1%	-1.9K	99.3K	-3.6K	0.00	56.63	0	63	288	292
2010-10-20	$42.37	$40.00	32.0%	9.2%	26.1%	19.9%	29.1%	0.0%	3.6%	-9.1K	153.1K	-3.8K	0.00	61.68	1	0	288	344
2010-10-21	$42.70	$40.00	35.4%	10.1%	23.4%	25.5%	0.0%	0.0%	12.5%	-6.4K	94.6K	-4.0K	0.00	104.83	0	0	288	344
2010-10-22	$42.15	$40.00	37.4%	10.7%	21.6%	28.9%	32.1%	0.0%	-5.1%	-19.9K	175.9K	-3.5K	0.00	107.45	0	25	288	344
2010-10-25	$43.27	$40.00	32.6%	9.3%	23.4%	20.9%	33.9%	0.0%	-1.8%	-7.3K	71.3K	-3.8K	13.80	64.65	5	69	288	369
2010-10-26	$41.51	$40.00	26.3%	7.6%	28.0%	10.2%	26.3%	0.0%	5.9%	-39.9K	411.1K	-3.7K	7.75	61.23	8	62	293	434
2010-10-27	$40.90	$40.00	26.3%	7.5%	28.2%	10.1%	26.3%	0.0%	6.1%	-62.8K	662.2K	-3.8K	0.00	86.83	0	78	294	496
2010-10-28	$40.79	$40.00	26.2%	7.5%	27.8%	9.9%	26.2%	5.1%	6.3%	-84.3K	793.7K	-4.0K	0.00	85.02	0	65	294	574
2010-10-29	$41.01	$40.00	26.9%	7.7%	27.6%	11.2%	0.0%	-2.3%	3.6%	-84.7K	742.2K	-4.0K	0.00	83.37	0	0	294	574