LII Options History — July 2011

In July 2011, LII traded between $35.70 and $43.78. ATM implied volatility averaged 32.2%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 7.6% (HV 20d: 24.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 16.84.

Notable Days

2011-07-22: Highest Volume — 579 contracts
2011-07-05: Largest IV spike — 103.2% change
2011-07-05: Highest IV Rank — 69.4%
2011-07-20: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.29	$35.70	$43.78	$43.64	$36.98
Max Pain	$40.25	$40.00	$45.00	$45.00	$40.00
ATM IV	32.2%	21.7%	59.6%	29.3%	33.6%
Expected Move	9.2%	8.1%	12.6%	8.4%	9.6%
HV 20d	24.5%	17.1%	45.2%	19.1%	45.2%
HV 60d	23.3%	20.2%	30.0%	22.3%	30.0%
IV Rank	26.5%	10.1%	69.4%	22.1%	28.8%
IV Percentile	60.2%	4.0%	98.4%	61.5%	76.6%
Term Structure	-1.3%	-13.1%	10.2%	1.5%	-0.1%
VWIV	32.0%	19.4%	44.4%	28.8%	35.3%
Skew 25d	3.5%	-7.2%	14.8%	-0.0%	3.5%
Skew 10d	8.4%	-5.7%	41.2%	-0.3%	25.2%
Call IV 25d	29.5%	21.7%	40.6%	27.6%	31.6%
Put IV 25d	33.0%	27.6%	43.4%	27.6%	35.1%
Bid-Ask Spread %	98.41	88.34	126.81	126.81	101.77
Gamma HHI	0.53	0.40	0.82	0.65	0.55
Net GEX	-14.4K	-96.7K	41.8K	-20.6K	-78.8K
Net DEX	534.0K	-331.7K	2.5M	222.9K	1.9M
Net VEX	-2.6K	-6.3K	-1.0K	-1.0K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	16.84	0.00	76.33	0.00	34.89
Total Volume	112.6	0	579	110	1
Total OI	782.25	344	1,483	344	1,353

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
2011-07-01	$43.64	$45.00	29.3%	8.4%	19.1%	22.1%	0.0%	-0.0%	1.5%	-20.6K	222.9K	-1.0K	0.00	126.81	110	0	94	250
2011-07-05	$43.10	$40.00	59.6%	9.1%	19.5%	69.4%	28.8%	-7.2%	-13.1%	-6.3K	150.0K	-1.8K	0.00	121.50	5	0	204	250
2011-07-06	$42.86	$40.00	22.5%	8.6%	17.1%	11.4%	0.0%	4.8%	-1.0%	-2.7K	45.8K	-1.6K	0.00	95.94	0	0	209	250
2011-07-07	$43.24	$40.00	21.7%	8.6%	17.4%	10.1%	0.0%	6.3%	-1.8%	2.9K	15.5K	-1.5K	0.00	97.33	0	0	209	250
2011-07-08	$42.75	$40.00	24.5%	8.4%	17.9%	14.5%	0.0%	4.0%	-1.3%	-3.5K	75.1K	-1.4K	0.00	96.54	10	0	209	250
2011-07-11	$42.11	$40.00	30.1%	9.0%	18.6%	23.3%	0.0%	0.2%	0.5%	-6.8K	119.3K	-1.3K	0.00	94.01	0	0	219	250
2011-07-12	$42.60	$40.00	28.3%	8.3%	19.1%	20.5%	29.4%	3.3%	-2.3%	2.7K	62.6K	-1.4K	0.13	92.99	180	24	219	250
2011-07-13	$43.78	$40.00	25.1%	8.3%	19.7%	15.5%	31.7%	9.0%	-2.3%	41.8K	-331.7K	-2.4K	0.00	92.95	0	30	369	274
2011-07-14	$42.78	$40.00	28.3%	8.1%	18.2%	20.5%	0.0%	3.3%	-0.8%	27.3K	-130.1K	-2.3K	0.00	97.21	2	0	369	304
2011-07-15	$42.21	$40.00	31.8%	9.1%	18.8%	25.9%	0.0%	6.1%	0.8%	25.5K	-44.0K	-2.1K	0.00	96.95	0	10	371	304
2011-07-18	$41.26	$40.00	32.2%	9.2%	19.9%	26.5%	0.0%	-1.3%	0.6%	23.9K	8.3K	-1.8K	0.00	96.45	0	0	371	142
2011-07-19	$42.17	$40.00	32.7%	9.4%	21.5%	27.3%	33.2%	3.5%	-1.3%	31.7K	-67.3K	-2.0K	0.00	96.67	0	80	371	142
2011-07-20	$42.47	$40.00	43.9%	12.6%	21.7%	44.9%	44.4%	14.8%	-11.9%	23.6K	-89.3K	-2.5K	0.00	92.66	0	311	371	222
2011-07-21	$41.53	$40.00	36.8%	10.6%	23.0%	33.8%	34.2%	1.4%	-3.3%	-27.4K	458.6K	-3.7K	0.08	96.23	100	8	371	523
2011-07-22	$42.02	$40.00	33.9%	9.7%	23.4%	29.3%	35.5%	0.1%	-0.3%	-13.7K	232.2K	-4.4K	56.90	95.88	10	569	471	531
2011-07-25	$41.22	$40.00	38.3%	11.0%	24.2%	36.1%	36.3%	7.0%	-4.0%	-68.4K	999.6K	-6.3K	0.02	88.34	90	2	478	889
2011-07-26	$37.48	$40.00	29.1%	8.3%	41.0%	21.7%	27.0%	7.1%	10.2%	-96.7K	2.4M	-4.2K	76.33	95.64	3	229	540	891
2011-07-27	$35.92	$40.00	31.3%	9.0%	42.7%	25.1%	28.7%	-3.5%	1.9%	-76.3K	2.5M	-3.2K	34.89	98.59	9	314	543	940
2011-07-28	$35.70	$40.00	30.3%	8.7%	42.5%	23.5%	19.4%	7.9%	2.6%	-65.7K	2.2M	-3.1K	0.00	93.67	0	155	542	850
2011-07-29	$36.98	$40.00	33.6%	9.6%	45.2%	28.8%	35.3%	3.5%	-0.1%	-78.8K	1.9M	-3.6K	0.00	101.77	0	1	542	811