LII Options History — February 2011

In February 2011, LII traded between $48.50 and $52.87. ATM implied volatility averaged 24.8%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 1.3% (HV 20d: 26.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.44.

Notable Days

2011-02-03: Highest Volume — 315 contracts
2011-02-03: Largest IV drop — 25.9% change
2011-02-02: Highest IV Rank — 21.7%
2011-02-02: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.63	$48.50	$52.87	$50.46	$48.50
Max Pain	$45.79	$45.00	$50.00	$50.00	$45.00
ATM IV	24.8%	18.3%	33.1%	32.9%	25.1%
Expected Move	7.3%	6.5%	9.5%	9.4%	7.2%
HV 20d	26.0%	22.4%	28.4%	22.4%	26.2%
HV 60d	22.0%	19.9%	23.0%	21.2%	19.9%
IV Rank	9.9%	0.0%	21.7%	21.4%	11.2%
IV Percentile	11.6%	0.0%	64.3%	62.3%	14.7%
Term Structure	1.5%	-4.7%	3.9%	-4.3%	-1.1%
VWIV	24.4%	19.0%	33.0%	33.0%	25.1%
Skew 25d	2.0%	-2.0%	7.7%	3.2%	2.7%
Skew 10d	3.1%	-3.7%	30.9%	1.7%	5.5%
Call IV 25d	22.8%	16.9%	30.0%	28.2%	24.9%
Put IV 25d	24.8%	20.8%	31.4%	31.4%	27.6%
Bid-Ask Spread %	89.18	80.54	96.19	80.54	91.40
Gamma HHI	0.59	0.50	0.83	0.83	0.67
Net GEX	62.0K	29.5K	80.3K	29.5K	51.1K
Net DEX	-887.5K	-1.4M	-325.8K	-616.9K	-325.8K
Net VEX	-4.3K	-5.2K	-1.8K	-1.8K	-4.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	3.33	0.00	0.00
Total Volume	27.526	0	315	50	9
Total OI	705.737	382	795	382	747

Daily Data (19 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
2011-02-01	$50.46	$50.00	32.9%	9.4%	22.4%	21.4%	0.0%	3.2%	-4.3%	29.5K	-616.9K	-1.8K	0.00	80.54	50	0	224	158
2011-02-02	$49.97	$50.00	33.1%	9.5%	22.4%	21.7%	33.0%	-1.2%	-4.7%	35.4K	-666.9K	-2.3K	0.00	82.07	0	1	274	158
2011-02-03	$49.20	$50.00	24.5%	7.0%	23.3%	7.2%	24.5%	7.7%	1.4%	40.6K	-557.9K	-2.2K	0.45	86.74	218	97	274	159
2011-02-04	$51.13	$45.00	23.7%	7.3%	26.5%	5.8%	0.0%	3.9%	3.4%	65.0K	-1.0M	-4.9K	0.00	84.23	0	0	482	255
2011-02-07	$51.76	$45.00	22.8%	7.4%	26.6%	4.3%	21.1%	2.2%	3.5%	67.0K	-1.2M	-4.8K	0.22	85.51	27	6	482	255
2011-02-08	$52.87	$45.00	18.3%	6.5%	26.4%	0.0%	0.0%	1.9%	3.1%	68.1K	-1.4M	-4.5K	0.00	84.86	44	0	482	255
2011-02-09	$51.64	$45.00	22.7%	7.3%	28.0%	7.3%	25.7%	-0.7%	3.7%	70.1K	-1.2M	-5.0K	3.33	86.78	6	20	504	255
2011-02-10	$51.54	$45.00	24.5%	7.0%	28.0%	10.2%	0.0%	-0.4%	3.6%	70.2K	-1.2M	-5.2K	0.00	88.79	0	0	504	275
2011-02-11	$51.69	$45.00	24.8%	7.1%	27.9%	10.7%	0.0%	1.5%	3.2%	71.0K	-1.2M	-5.2K	0.00	92.10	0	0	504	275
2011-02-14	$51.93	$45.00	25.0%	7.2%	27.8%	11.1%	22.1%	2.1%	1.9%	69.1K	-1.2M	-4.9K	0.00	88.99	16	0	504	275
2011-02-15	$51.20	$45.00	24.1%	6.9%	28.4%	9.6%	0.0%	0.4%	3.4%	78.1K	-1.1M	-4.9K	0.00	93.85	0	0	520	275
2011-02-16	$51.29	$45.00	24.6%	7.1%	26.4%	10.5%	0.0%	0.4%	3.1%	76.7K	-1.1M	-4.9K	0.00	91.91	0	0	520	275
2011-02-17	$51.29	$45.00	24.0%	6.9%	26.4%	9.5%	0.0%	6.1%	3.5%	77.5K	-1.1M	-4.9K	0.00	96.13	0	0	520	275
2011-02-18	$51.00	$45.00	23.7%	6.8%	24.0%	8.9%	19.0%	1.2%	3.9%	80.3K	-1.0M	-4.7K	0.00	86.00	8	0	520	275
2011-02-22	$50.13	$45.00	24.1%	6.9%	25.0%	9.6%	0.0%	1.9%	0.5%	64.9K	-705.5K	-4.4K	0.00	94.37	2	0	482	250
2011-02-23	$49.14	$45.00	24.9%	7.1%	26.1%	10.9%	0.0%	-2.0%	-0.4%	57.3K	-527.7K	-4.3K	0.00	93.03	0	0	482	250
2011-02-24	$48.68	$45.00	23.9%	6.9%	26.3%	9.3%	0.0%	3.6%	0.9%	54.5K	-416.7K	-4.1K	0.00	90.88	0	4	482	250
2011-02-25	$48.54	$45.00	23.6%	6.8%	26.3%	8.8%	0.0%	3.0%	0.1%	52.6K	-368.7K	-3.9K	0.00	96.19	0	15	482	250
2011-02-28	$48.50	$45.00	25.1%	7.2%	26.2%	11.2%	25.1%	2.7%	-1.1%	51.1K	-325.8K	-4.0K	0.00	91.40	9	0	482	265