LII Options History — January 2011

In January 2011, LII traded between $47.24 and $49.89. ATM implied volatility averaged 29.0%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 12.1% (HV 20d: 16.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.39.

Notable Days

2011-01-31: Highest Volume — 64 contracts
2011-01-05: Largest IV drop — 16.7% change
2011-01-21: Highest IV Rank — 22.3%
2011-01-07: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.37	$47.24	$49.89	$47.93	$49.14
Max Pain	$47.00	$45.00	$50.00	$45.00	$45.00
ATM IV	29.0%	24.1%	33.4%	26.6%	32.7%
Expected Move	8.5%	6.9%	9.9%	7.6%	9.4%
HV 20d	16.9%	13.0%	20.9%	13.0%	20.9%
HV 60d	21.9%	21.0%	22.8%	22.6%	21.3%
IV Rank	14.8%	6.4%	22.3%	10.7%	21.1%
IV Percentile	39.3%	2.8%	65.5%	24.6%	60.3%
Term Structure	0.6%	-4.3%	12.3%	2.4%	-4.3%
VWIV	34.0%	33.6%	34.4%	34.4%	33.6%
Skew 25d	2.8%	-12.8%	7.9%	-1.0%	3.8%
Skew 10d	0.7%	-23.5%	18.6%	-1.6%	1.5%
Call IV 25d	27.3%	23.1%	41.5%	27.7%	26.4%
Put IV 25d	30.0%	25.8%	32.8%	26.7%	30.1%
Bid-Ask Spread %	67.22	54.18	97.53	83.05	71.47
Gamma HHI	0.80	0.69	0.98	0.74	0.78
Net GEX	37.9K	20.0K	71.0K	38.3K	24.9K
Net DEX	-631.8K	-988.9K	-310.5K	-696.7K	-454.6K
Net VEX	-2.2K	-2.5K	-1.8K	-2.5K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.00	1.37	0.00	1.37
Total Volume	7.8	0	64	3	64
Total OI	429.45	351	468	455	352

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
2011-01-03	$47.93	$45.00	26.6%	7.6%	13.0%	10.7%	0.0%	0.0%	2.4%	38.3K	-696.7K	-2.5K	0.00	83.05	0	3	319	136
2011-01-04	$47.50	$45.00	28.9%	8.3%	13.5%	14.6%	0.0%	0.0%	7.6%	36.7K	-618.6K	-2.5K	0.00	90.84	0	0	319	139
2011-01-05	$47.54	$45.00	24.1%	6.9%	13.0%	6.4%	0.0%	0.0%	1.2%	36.9K	-629.8K	-2.5K	0.00	90.90	0	0	319	139
2011-01-06	$47.29	$45.00	25.0%	7.2%	13.1%	8.0%	0.0%	0.0%	12.3%	36.0K	-593.2K	-2.5K	0.00	97.53	10	0	319	139
2011-01-07	$47.24	$50.00	25.6%	9.9%	13.1%	8.9%	0.0%	0.0%	-2.6%	37.4K	-586.8K	-2.4K	0.00	58.71	0	0	329	139
2011-01-10	$48.36	$50.00	27.5%	8.6%	15.4%	12.2%	0.0%	0.0%	0.4%	44.3K	-754.2K	-2.4K	0.00	56.73	3	0	329	139
2011-01-11	$48.93	$50.00	27.5%	8.4%	15.8%	12.1%	0.0%	0.0%	1.1%	47.3K	-835.2K	-2.4K	0.00	58.71	0	0	326	139
2011-01-12	$49.42	$50.00	27.4%	8.3%	16.1%	12.0%	0.0%	-1.0%	1.0%	51.1K	-918.4K	-2.3K	0.00	54.18	0	0	326	139
2011-01-13	$49.28	$50.00	28.8%	8.2%	15.7%	14.3%	0.0%	-1.2%	0.9%	52.9K	-892.0K	-2.2K	0.00	61.04	0	0	326	139
2011-01-14	$49.66	$50.00	28.7%	8.2%	15.4%	14.3%	0.0%	-12.8%	1.5%	55.7K	-959.9K	-2.1K	0.00	55.83	0	0	326	139
2011-01-18	$49.89	$50.00	28.8%	8.2%	15.0%	14.4%	0.0%	4.0%	1.3%	71.0K	-988.9K	-1.9K	0.20	64.51	20	4	326	139
2011-01-19	$48.57	$50.00	28.9%	8.3%	18.2%	14.5%	34.4%	3.8%	0.4%	46.3K	-693.7K	-2.0K	0.00	62.42	0	7	315	143
2011-01-20	$48.83	$45.00	28.7%	8.2%	17.3%	14.2%	0.0%	4.5%	0.7%	53.0K	-724.0K	-1.9K	0.00	59.96	0	0	315	150
2011-01-21	$47.46	$45.00	33.4%	9.6%	20.1%	22.3%	0.0%	-0.6%	-0.3%	22.1K	-552.4K	-1.9K	0.00	60.97	0	44	315	150
2011-01-24	$47.93	$45.00	30.0%	8.6%	20.4%	16.5%	0.0%	6.7%	-1.1%	20.4K	-346.0K	-2.0K	0.00	62.86	0	1	202	149
2011-01-25	$47.82	$45.00	30.4%	8.7%	20.4%	17.1%	0.0%	7.7%	-0.9%	20.0K	-310.5K	-2.0K	0.00	65.61	0	0	202	150
2011-01-26	$48.18	$45.00	31.9%	9.2%	20.6%	19.7%	0.0%	7.3%	-2.8%	21.0K	-362.2K	-2.0K	0.00	64.19	0	0	202	150
2011-01-27	$48.38	$45.00	33.0%	9.4%	20.6%	21.5%	0.0%	7.9%	-3.9%	22.0K	-375.2K	-1.9K	0.00	60.69	0	0	202	150
2011-01-28	$48.11	$45.00	32.6%	9.4%	20.7%	20.9%	0.0%	6.1%	-3.1%	21.0K	-344.7K	-1.9K	0.00	64.27	0	0	202	150
2011-01-31	$49.14	$45.00	32.7%	9.4%	20.9%	21.1%	33.6%	3.8%	-4.3%	24.9K	-454.6K	-1.8K	1.37	71.47	27	37	202	150