LII Options History — December 2010

In December 2010, LII traded between $46.12 and $48.72. ATM implied volatility averaged 35.2%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 13.4% (HV 20d: 21.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.26.

Notable Days

2010-12-03: Highest Volume — 520 contracts
2010-12-31: Largest IV spike — 88.2% change
2010-12-31: Highest IV Rank — 52.9%
2010-12-31: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.47	$46.12	$48.72	$46.12	$47.29
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	35.2%	27.0%	51.5%	32.5%	51.5%
Expected Move	9.3%	7.7%	14.8%	9.3%	14.8%
HV 20d	21.8%	10.2%	27.9%	27.9%	12.3%
HV 60d	24.8%	22.5%	26.2%	26.2%	22.8%
IV Rank	25.3%	11.4%	52.9%	20.6%	52.9%
IV Percentile	63.2%	30.6%	97.2%	60.7%	97.2%
Term Structure	1.6%	-10.4%	7.5%	7.5%	0.5%
VWIV	33.9%	27.4%	44.7%	44.7%	27.4%
Skew 25d	6.3%	-5.9%	14.1%	8.8%	10.5%
Skew 10d	10.1%	-5.0%	26.4%	10.3%	16.0%
Call IV 25d	32.3%	22.5%	45.3%	22.5%	28.5%
Put IV 25d	38.6%	31.3%	42.5%	31.3%	39.1%
Bid-Ask Spread %	74.18	51.86	122.42	79.56	122.42
Gamma HHI	0.67	0.43	0.92	0.45	0.63
Net GEX	41.2K	5.5K	98.7K	7.9K	25.2K
Net DEX	-735.4K	-1.1M	-344.8K	-375.2K	-611.2K
Net VEX	-2.9K	-3.7K	-2.4K	-2.5K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.26	0.00	1.00	0.17	0.00
Total Volume	43.409	0	520	0	0
Total OI	731.409	412	1,101	560	455

Daily Data (22 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
2010-12-01	$46.12	$45.00	32.5%	9.3%	27.9%	20.6%	0.0%	8.8%	7.5%	7.9K	-375.2K	-2.5K	0.00	79.56	0	0	259	301
2010-12-02	$46.29	$45.00	33.0%	9.5%	27.6%	21.6%	0.0%	8.4%	-5.5%	11.0K	-402.4K	-2.4K	0.00	92.77	0	10	259	301
2010-12-03	$46.22	$45.00	43.9%	12.6%	26.5%	40.0%	44.7%	-5.9%	-10.4%	5.5K	-344.8K	-2.6K	0.17	82.54	444	76	259	311
2010-12-06	$46.45	$45.00	45.4%	9.5%	26.5%	42.6%	33.0%	0.9%	5.2%	56.2K	-851.3K	-3.6K	0.67	91.25	3	2	624	387
2010-12-07	$46.97	$45.00	42.6%	9.8%	26.6%	37.8%	33.1%	3.0%	2.5%	69.7K	-1.0M	-3.4K	0.27	54.31	112	30	624	389
2010-12-08	$46.85	$45.00	41.5%	9.7%	24.7%	36.0%	32.7%	14.1%	2.5%	78.4K	-1.0M	-3.7K	0.00	55.59	77	0	682	419
2010-12-09	$46.79	$45.00	40.2%	9.4%	24.6%	33.8%	35.7%	10.3%	4.5%	62.7K	-829.0K	-3.4K	1.00	51.86	10	10	632	419
2010-12-10	$46.87	$45.00	39.1%	9.7%	24.7%	31.9%	33.9%	10.5%	2.6%	49.9K	-663.7K	-3.2K	0.29	57.38	35	10	579	429
2010-12-13	$46.91	$45.00	38.1%	9.7%	23.7%	30.3%	0.0%	0.0%	2.8%	42.6K	-687.4K	-3.0K	0.00	57.27	0	0	597	439
2010-12-14	$47.09	$45.00	47.6%	9.8%	23.5%	46.3%	34.1%	0.0%	2.4%	47.2K	-740.4K	-2.9K	0.00	63.58	0	8	597	439
2010-12-15	$47.70	$45.00	32.2%	9.2%	21.2%	20.2%	32.8%	0.0%	2.0%	63.6K	-887.8K	-2.7K	0.08	67.61	62	5	597	444
2010-12-16	$48.26	$45.00	32.6%	9.4%	21.0%	20.9%	0.0%	0.0%	0.7%	98.7K	-1.1M	-3.0K	0.00	68.62	2	0	627	443
2010-12-17	$47.88	$45.00	30.8%	8.8%	20.0%	17.7%	31.2%	0.0%	2.0%	21.6K	-969.8K	-2.9K	0.60	68.59	10	6	627	443
2010-12-20	$47.88	$45.00	29.6%	8.5%	19.9%	15.8%	0.0%	0.0%	2.3%	24.6K	-586.7K	-2.7K	0.00	72.52	0	0	276	136
2010-12-21	$48.67	$45.00	27.3%	7.8%	20.1%	11.8%	27.4%	0.0%	1.7%	27.5K	-681.1K	-2.6K	0.00	72.13	20	0	276	136
2010-12-22	$48.72	$45.00	28.6%	8.2%	19.6%	14.1%	0.0%	0.0%	2.0%	32.2K	-720.0K	-2.7K	0.00	75.72	1	0	296	136
2010-12-23	$48.46	$45.00	27.0%	7.7%	19.8%	11.4%	0.0%	0.0%	2.4%	33.2K	-714.9K	-2.7K	0.00	76.33	22	0	297	136
2010-12-27	$48.38	$45.00	28.4%	8.1%	20.0%	13.7%	0.0%	0.0%	1.7%	36.6K	-749.2K	-2.8K	0.00	78.27	0	0	319	136
2010-12-28	$48.31	$45.00	28.3%	8.1%	19.8%	13.5%	0.0%	0.0%	1.8%	36.8K	-745.6K	-2.8K	0.00	80.92	0	0	319	136
2010-12-29	$48.12	$45.00	27.3%	7.8%	18.9%	11.9%	0.0%	0.0%	1.9%	37.2K	-728.4K	-2.7K	0.00	78.71	0	0	319	136
2010-12-30	$48.12	$45.00	27.4%	7.8%	10.2%	12.0%	0.0%	0.0%	2.7%	37.8K	-724.5K	-2.7K	0.00	84.09	0	0	319	136
2010-12-31	$47.29	$45.00	51.5%	14.8%	12.3%	52.9%	0.0%	0.0%	0.5%	25.2K	-611.2K	-2.9K	0.00	122.42	0	0	319	136