LII Options History — October 2011

In October 2011, LII traded between $25.42 and $34.19. ATM implied volatility averaged 57.1%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 15.9% (HV 20d: 73.0%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.30.

Notable Days

2011-10-03: Highest Volume — 50 contracts
2011-10-07: Largest IV spike — 91.8% change
2011-10-07: Highest IV Rank — 100.0%
2011-10-07: Largest Expected Move — 23.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.40	$25.42	$34.19	$25.42	$32.19
Max Pain	$25.95	$25.00	$30.00	$30.00	$25.00
ATM IV	57.1%	37.1%	120.6%	70.4%	48.7%
Expected Move	16.4%	12.0%	23.6%	20.2%	14.0%
HV 20d	73.0%	53.8%	79.7%	74.5%	58.0%
HV 60d	64.5%	62.3%	66.8%	62.3%	66.8%
IV Rank	45.8%	20.8%	100.0%	86.2%	31.8%
IV Percentile	92.0%	75.4%	100.0%	99.6%	88.5%
Term Structure	0.1%	-5.5%	10.5%	-1.8%	5.3%
VWIV	60.6%	42.2%	72.3%	71.8%	42.2%
Skew 25d	11.1%	-3.6%	58.8%	1.3%	6.5%
Skew 10d	12.4%	-9.6%	32.0%	-5.6%	6.4%
Call IV 25d	46.3%	30.7%	70.7%	69.4%	43.9%
Put IV 25d	57.4%	42.9%	103.8%	70.7%	50.4%
Bid-Ask Spread %	104.62	57.77	129.44	91.86	115.97
Gamma HHI	0.52	0.29	0.69	0.45	0.29
Net GEX	-15.2K	-77.4K	26.1K	-39	10.7K
Net DEX	-481.1K	-2.0M	455.6K	455.6K	-1.8M
Net VEX	-3.3K	-4.5K	-1.8K	-3.8K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.00	1.20	0.63	0.00
Total Volume	10.048	0	50	50	0
Total OI	1,353.619	966	1,536	1,385	989

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
2011-10-03	$25.42	$30.00	70.4%	20.2%	74.5%	86.2%	0.0%	1.3%	-1.8%	-39	455.6K	-3.8K	0.00	91.86	0	50	715	670
2011-10-04	$26.24	$30.00	70.1%	20.1%	75.7%	85.7%	71.8%	0.4%	-3.6%	-5.9K	381.5K	-4.0K	0.00	92.67	0	4	715	720
2011-10-05	$26.82	$30.00	63.9%	18.3%	73.7%	76.1%	0.0%	-3.6%	-0.2%	-9.6K	324.4K	-3.9K	0.63	98.01	27	17	715	724
2011-10-06	$28.10	$30.00	62.9%	18.0%	75.8%	74.5%	0.0%	5.3%	-2.0%	-16.4K	-22.8K	-4.5K	0.00	95.46	0	0	742	741
2011-10-07	$27.39	$25.00	120.6%	23.6%	75.8%	100.0%	0.0%	58.8%	-5.3%	-10.8K	67.9K	-4.5K	0.00	129.44	21	0	742	741
2011-10-10	$29.02	$25.00	55.8%	17.0%	78.8%	38.6%	72.3%	5.4%	-5.5%	-30.9K	-273.7K	-4.2K	1.20	57.77	20	24	760	741
2011-10-11	$28.85	$25.00	42.2%	17.3%	78.5%	25.6%	0.0%	16.9%	-4.9%	-39.9K	-122.5K	-4.3K	0.00	108.46	0	1	770	765
2011-10-12	$29.84	$25.00	37.1%	15.6%	79.3%	20.8%	0.0%	14.0%	1.4%	-70.5K	-563.6K	-4.1K	0.00	108.16	10	0	770	766
2011-10-13	$29.37	$25.00	53.6%	15.4%	78.7%	36.4%	0.0%	7.8%	0.4%	-56.1K	-311.9K	-4.0K	0.00	109.73	0	0	770	766
2011-10-14	$29.51	$25.00	52.7%	15.1%	78.7%	35.6%	0.0%	9.6%	0.5%	-51.8K	-430.9K	-3.8K	0.00	109.40	0	0	770	766
2011-10-17	$28.36	$25.00	55.8%	16.0%	79.4%	38.5%	0.0%	10.5%	0.2%	-33.5K	184.3K	-3.4K	0.00	108.34	0	1	770	766
2011-10-18	$29.31	$25.00	54.4%	15.6%	79.7%	37.1%	0.0%	6.7%	-0.4%	-77.4K	-267.0K	-3.4K	0.00	109.84	0	0	770	765
2011-10-19	$28.74	$25.00	55.3%	15.9%	76.7%	38.1%	0.0%	13.6%	1.7%	-44.9K	180.4K	-3.1K	0.00	108.25	0	0	770	765
2011-10-20	$27.95	$25.00	56.7%	16.3%	71.5%	39.4%	0.0%	13.7%	2.7%	25.9K	416.8K	-2.8K	0.00	105.90	0	0	770	765
2011-10-21	$28.33	$25.00	55.5%	15.9%	67.3%	38.2%	0.0%	8.1%	-0.8%	26.1K	353.9K	-2.8K	0.00	107.44	0	1	770	765
2011-10-24	$29.45	$25.00	55.8%	16.0%	66.2%	38.5%	56.2%	21.2%	-3.8%	22.8K	-1.3M	-2.5K	0.00	106.48	5	0	737	229
2011-10-25	$32.10	$25.00	55.0%	15.8%	71.5%	37.8%	42.2%	10.4%	-2.4%	14.0K	-1.7M	-2.2K	0.00	110.93	20	0	740	229
2011-10-26	$32.29	$25.00	47.1%	13.5%	68.7%	30.3%	0.0%	9.3%	10.5%	13.3K	-1.8M	-2.1K	0.00	109.99	0	10	750	229
2011-10-27	$34.19	$25.00	41.9%	12.0%	70.9%	25.3%	0.0%	9.8%	6.6%	7.9K	-2.0M	-1.9K	0.00	104.93	0	0	750	239
2011-10-28	$33.93	$25.00	43.6%	12.5%	53.8%	26.9%	0.0%	7.4%	2.7%	7.9K	-2.0M	-1.9K	0.00	108.06	0	0	750	239
2011-10-31	$32.19	$25.00	48.7%	14.0%	58.0%	31.8%	0.0%	6.5%	5.3%	10.7K	-1.8M	-1.8K	0.00	115.97	0	0	750	239