LII Options History — September 2011

In September 2011, LII traded between $25.29 and $31.14. ATM implied volatility averaged 48.2%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 10.2% (HV 20d: 58.4%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.71.

Notable Days

2011-09-22: Highest Volume — 500 contracts
2011-09-30: Largest IV spike — 17.3% change
2011-09-30: Highest IV Rank — 73.8%
2011-09-30: Largest Expected Move — 17.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.01	$25.29	$31.14	$30.31	$25.78
Max Pain	$31.19	$30.00	$40.00	$40.00	$35.00
ATM IV	48.2%	40.7%	62.5%	43.4%	62.5%
Expected Move	14.0%	12.1%	17.9%	12.4%	17.9%
HV 20d	58.4%	47.6%	75.6%	64.4%	75.6%
HV 60d	51.4%	46.7%	62.3%	46.7%	62.3%
IV Rank	51.6%	39.8%	73.8%	44.0%	73.8%
IV Percentile	92.0%	80.2%	99.2%	84.9%	99.2%
Term Structure	3.5%	-0.7%	8.8%	0.7%	0.7%
VWIV	50.6%	42.4%	61.8%	43.3%	61.8%
Skew 25d	7.4%	-6.5%	17.7%	-6.5%	4.0%
Skew 10d	9.7%	-9.2%	22.7%	-9.2%	0.7%
Call IV 25d	43.0%	33.8%	56.0%	49.8%	56.0%
Put IV 25d	50.4%	40.5%	63.1%	43.3%	60.0%
Bid-Ask Spread %	95.59	91.18	106.27	101.28	96.16
Gamma HHI	0.73	0.46	0.85	0.79	0.46
Net GEX	-34.0K	-50.7K	-880	-40.7K	-880
Net DEX	898.7K	-379.5K	1.5M	1.3M	462.9K
Net VEX	-3.5K	-4.5K	-1.7K	-3.8K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.71	0.00	6.33	0.00	3.75
Total Volume	33.19	0	500	11	19
Total OI	1,132.667	770	1,398	1,164	1,398

Daily Data (21 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
2011-09-01	$30.31	$40.00	43.4%	12.4%	64.4%	44.0%	43.3%	-6.5%	0.7%	-40.7K	1.3M	-3.8K	0.00	101.28	0	11	318	846
2011-09-02	$29.01	$40.00	42.4%	12.1%	65.8%	42.4%	42.4%	-1.3%	3.1%	-38.3K	1.5M	-3.5K	0.00	106.27	0	2	318	841
2011-09-06	$28.99	$30.00	46.0%	13.9%	62.0%	48.0%	0.0%	13.4%	0.6%	-37.9K	1.5M	-3.4K	0.00	92.55	0	0	318	841
2011-09-07	$30.44	$30.00	45.5%	13.1%	63.8%	47.3%	0.0%	3.1%	2.8%	-41.4K	1.3M	-3.5K	0.00	93.24	0	0	318	841
2011-09-08	$29.79	$30.00	45.8%	13.0%	57.6%	47.8%	0.0%	2.4%	4.0%	-42.6K	1.4M	-3.5K	0.00	94.77	0	0	318	841
2011-09-09	$29.05	$30.00	45.2%	13.5%	54.9%	46.8%	0.0%	10.7%	1.9%	-40.5K	1.5M	-3.3K	0.00	94.90	0	0	318	841
2011-09-12	$29.27	$30.00	47.3%	14.6%	55.0%	50.1%	0.0%	14.2%	-0.7%	-40.4K	1.5M	-3.3K	0.00	93.96	0	0	318	841
2011-09-13	$29.78	$30.00	47.5%	14.0%	54.7%	50.4%	0.0%	5.5%	2.8%	-44.1K	1.4M	-3.3K	0.00	93.44	0	0	318	841
2011-09-14	$30.28	$30.00	40.7%	12.6%	54.3%	39.8%	0.0%	5.2%	6.0%	-50.5K	1.3M	-3.3K	0.00	94.62	0	2	318	841
2011-09-15	$31.14	$30.00	45.1%	12.9%	54.8%	46.6%	0.0%	5.6%	4.0%	-47.4K	1.2M	-3.3K	0.00	93.35	0	0	318	843
2011-09-16	$30.74	$30.00	45.0%	12.9%	48.0%	46.5%	0.0%	7.2%	4.4%	-50.7K	1.2M	-3.2K	0.00	96.58	0	10	318	843
2011-09-19	$29.98	$30.00	46.6%	13.3%	47.6%	49.0%	0.0%	14.8%	3.3%	-43.0K	797.1K	-3.1K	0.00	96.58	0	1	150	620
2011-09-20	$29.11	$30.00	46.1%	13.2%	48.8%	48.3%	46.1%	9.1%	5.8%	-42.2K	916.7K	-2.9K	0.00	98.82	3	0	150	621
2011-09-21	$27.37	$30.00	51.8%	14.9%	50.1%	57.2%	0.0%	4.9%	4.7%	-33.6K	1.1M	-2.5K	0.00	94.59	0	0	153	621
2011-09-22	$25.29	$30.00	54.9%	15.7%	56.2%	62.0%	0.0%	6.4%	4.3%	-19.5K	1.2M	-1.7K	0.00	91.18	500	0	153	621
2011-09-23	$27.14	$30.00	56.0%	16.1%	61.5%	63.7%	0.0%	5.6%	8.8%	-10.5K	245.8K	-4.2K	0.00	92.29	17	0	653	621
2011-09-26	$28.58	$30.00	53.1%	15.2%	61.6%	59.2%	0.0%	13.3%	2.5%	-17.4K	-86.6K	-4.5K	6.33	94.66	3	19	670	621
2011-09-27	$29.78	$30.00	45.8%	13.1%	61.8%	47.9%	0.0%	13.2%	8.5%	-30.6K	-379.5K	-4.5K	0.40	97.82	25	10	670	640
2011-09-28	$28.36	$30.00	48.9%	14.0%	63.8%	52.6%	0.0%	7.1%	4.3%	-21.1K	-125.8K	-4.4K	0.00	97.49	0	0	683	650
2011-09-29	$28.98	$30.00	53.2%	15.3%	64.5%	59.4%	59.2%	17.7%	0.3%	-21.0K	-249.3K	-4.4K	1.50	92.94	30	45	683	650
2011-09-30	$25.78	$35.00	62.5%	17.9%	75.6%	73.8%	61.8%	4.0%	0.7%	-880	462.9K	-3.9K	3.75	96.16	4	15	713	685