LII Options History — April 2011

In April 2011, LII traded between $48.61 and $53.63. ATM implied volatility averaged 24.0%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.6% (HV 20d: 20.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 31.97.

Notable Days

2011-04-25: Highest Volume — 366 contracts
2011-04-08: Largest IV spike — 49.7% change
2011-04-12: Highest IV Rank — 21.9%
2011-04-19: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.79	$48.61	$53.63	$53.24	$48.61
Max Pain	$51.00	$50.00	$55.00	$50.00	$55.00
ATM IV	24.0%	15.9%	29.2%	16.8%	24.2%
Expected Move	7.3%	4.8%	8.1%	4.8%	6.9%
HV 20d	20.4%	14.6%	30.3%	20.3%	28.7%
HV 60d	22.9%	21.7%	25.5%	22.4%	24.8%
IV Rank	13.8%	1.1%	21.9%	2.5%	14.0%
IV Percentile	18.9%	0.4%	44.8%	0.4%	12.3%
Term Structure	0.2%	-3.1%	11.4%	11.4%	1.5%
VWIV	27.7%	24.8%	33.1%	27.3%	24.8%
Skew 25d	3.4%	-2.6%	8.0%	5.7%	-2.6%
Skew 10d	7.4%	-3.6%	19.0%	-1.9%	-0.9%
Call IV 25d	23.5%	12.9%	28.1%	12.9%	23.0%
Put IV 25d	26.9%	18.6%	33.1%	18.6%	20.4%
Bid-Ask Spread %	94.97	89.89	108.98	108.98	99.82
Gamma HHI	0.55	0.46	0.85	0.46	0.84
Net GEX	-28.0K	-125.0K	-3.3K	-5.3K	-102.7K
Net DEX	22.3K	-493.0K	1.3M	-401.2K	1.3M
Net VEX	-3.4K	-4.6K	-2.9K	-3.5K	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	31.97	10.44	53.50	10.44	53.50
Total Volume	26.85	0	366	0	0
Total OI	569.05	489	832	528	753

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
2011-04-01	$53.24	$50.00	16.8%	4.8%	20.3%	2.5%	0.0%	5.7%	11.4%	-5.3K	-401.2K	-3.5K	0.00	108.98	0	0	223	305
2011-04-04	$53.50	$50.00	18.9%	6.9%	20.2%	5.9%	27.3%	8.0%	-0.2%	-3.6K	-460.8K	-3.4K	0.00	90.86	0	21	223	305
2011-04-05	$53.63	$50.00	21.4%	7.2%	16.5%	9.7%	0.0%	6.9%	-0.6%	-3.3K	-493.0K	-3.3K	0.00	89.89	0	0	223	305
2011-04-06	$53.57	$50.00	17.5%	7.1%	15.7%	3.6%	0.0%	2.0%	-0.3%	-3.4K	-478.3K	-3.3K	0.00	92.08	0	0	223	305
2011-04-07	$53.59	$50.00	15.9%	7.1%	14.6%	1.1%	0.0%	7.0%	-0.5%	-3.3K	-492.1K	-3.3K	0.00	94.62	0	0	223	305
2011-04-08	$52.06	$50.00	23.8%	7.8%	18.1%	13.4%	27.4%	0.9%	-0.8%	-6.5K	-222.1K	-3.5K	0.00	93.43	0	22	223	305
2011-04-11	$52.51	$50.00	23.5%	7.7%	18.1%	12.9%	0.0%	5.7%	-3.1%	-5.8K	-326.6K	-3.3K	0.00	91.07	0	0	223	305
2011-04-12	$52.54	$50.00	29.2%	7.3%	17.7%	21.9%	28.2%	5.3%	-1.2%	-6.7K	-324.8K	-3.3K	0.00	91.01	0	12	223	305
2011-04-13	$51.95	$50.00	26.6%	7.7%	17.3%	17.8%	0.0%	-0.8%	0.6%	-10.1K	-240.4K	-3.4K	0.00	93.74	0	0	223	316
2011-04-14	$51.10	$50.00	27.0%	7.7%	18.5%	18.4%	0.0%	1.5%	0.5%	-11.2K	-99.8K	-3.4K	0.00	94.68	0	0	223	316
2011-04-15	$51.51	$50.00	27.8%	8.0%	17.8%	19.6%	27.6%	-0.6%	-0.3%	-11.6K	-174.5K	-3.3K	0.00	95.75	0	1	223	316
2011-04-18	$50.81	$50.00	27.6%	7.9%	18.0%	19.4%	0.0%	-2.5%	-0.1%	-17.0K	62.3K	-3.2K	0.00	100.07	0	1	195	294
2011-04-19	$51.10	$50.00	28.2%	8.1%	17.8%	20.4%	0.0%	3.6%	-0.8%	-16.2K	36.9K	-3.2K	0.00	96.16	0	0	195	295
2011-04-20	$52.55	$50.00	24.7%	7.1%	20.2%	14.8%	0.0%	4.8%	-0.5%	-9.3K	-203.6K	-3.1K	0.00	98.45	0	0	195	295
2011-04-21	$53.01	$50.00	24.7%	7.1%	20.3%	14.8%	0.0%	6.7%	-1.0%	-9.4K	-265.1K	-2.9K	0.00	92.52	0	0	195	295
2011-04-25	$52.95	$50.00	28.1%	8.1%	20.2%	20.2%	33.1%	7.0%	-1.8%	-9.0K	-242.3K	-2.9K	10.44	91.20	32	334	195	295
2011-04-26	$49.96	$55.00	25.4%	7.3%	29.4%	15.8%	25.2%	-1.5%	-0.4%	-125.0K	1.1M	-4.6K	53.50	93.81	2	107	203	629
2011-04-27	$48.85	$55.00	24.8%	7.1%	30.3%	15.0%	24.8%	4.9%	0.8%	-99.0K	1.2M	-3.9K	0.00	94.78	0	5	203	550
2011-04-28	$48.73	$55.00	24.4%	7.0%	29.0%	14.4%	0.0%	5.7%	1.4%	-101.8K	1.2M	-3.8K	0.00	96.53	0	0	203	550
2011-04-29	$48.61	$55.00	24.2%	6.9%	28.7%	14.0%	0.0%	-2.6%	1.5%	-102.7K	1.3M	-3.7K	0.00	99.82	0	0	203	550