LII Options History — December 2011

In December 2011, LII traded between $31.99 and $34.81. ATM implied volatility averaged 41.8%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 4.0% (HV 20d: 45.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.12.

Notable Days

2011-12-01: Highest Volume — 85 contracts
2011-12-14: Largest IV spike — 44.0% change
2011-12-14: Highest IV Rank — 38.7%
2011-12-14: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.68	$31.99	$34.81	$33.35	$33.75
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	41.8%	37.4%	56.0%	44.7%	40.3%
Expected Move	12.1%	10.7%	14.0%	12.8%	11.6%
HV 20d	45.8%	42.0%	48.8%	47.3%	42.1%
HV 60d	57.5%	49.0%	62.0%	61.2%	50.0%
IV Rank	25.2%	21.1%	38.7%	28.0%	23.8%
IV Percentile	68.9%	62.7%	96.4%	73.0%	63.5%
Term Structure	4.2%	-2.2%	9.4%	-1.2%	3.4%
Skew 25d	5.3%	-1.7%	11.1%	5.9%	8.9%
Skew 10d	10.4%	-2.9%	23.7%	12.0%	14.4%
Call IV 25d	38.9%	32.3%	45.3%	45.3%	39.3%
Put IV 25d	44.2%	39.1%	51.2%	51.2%	48.2%
Bid-Ask Spread %	105.22	100.55	109.75	104.67	106.27
Gamma HHI	0.50	0.38	0.60	0.46	0.56
Net GEX	-1.7K	-7.9K	7.6K	5.4K	-7.0K
Net DEX	-13.2K	-193.0K	140.5K	-96.6K	50.6K
Net VEX	-1.9K	-2.2K	-1.5K	-1.5K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.12	0.00	4.55	3.25	0.67
Total Volume	11.048	0	85	85	7
Total OI	496.714	413	612	441	413

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
2011-12-01	$33.35	$30.00	44.7%	12.8%	47.3%	28.0%	0.0%	5.9%	-1.2%	5.4K	-96.6K	-1.5K	3.25	104.67	20	65	207	234
2011-12-02	$33.97	$30.00	40.5%	11.6%	46.6%	24.0%	0.0%	-1.7%	3.4%	4.6K	-110.4K	-2.0K	0.00	109.75	0	0	227	299
2011-12-05	$34.61	$0.00	45.7%	12.6%	47.0%	29.0%	0.0%	2.1%	4.2%	5.2K	-175.3K	-1.8K	0.00	101.44	2	0	227	299
2011-12-06	$34.72	$0.00	38.5%	12.5%	46.9%	22.1%	0.0%	1.6%	4.5%	7.2K	-185.5K	-1.8K	0.00	102.17	0	0	229	299
2011-12-07	$34.81	$0.00	37.5%	11.7%	46.7%	21.2%	0.0%	1.0%	7.6%	7.6K	-193.0K	-1.7K	0.00	100.55	0	17	229	299
2011-12-08	$33.65	$0.00	38.6%	12.1%	43.2%	22.2%	0.0%	8.1%	4.6%	3.9K	-77.1K	-1.8K	0.00	104.21	0	25	229	311
2011-12-09	$34.75	$0.00	38.1%	12.5%	44.4%	21.7%	0.0%	11.1%	4.5%	5.4K	-138.0K	-1.9K	4.55	103.98	11	50	229	336
2011-12-12	$34.39	$0.00	47.0%	13.1%	42.8%	30.1%	0.0%	8.9%	4.4%	3.5K	-121.5K	-2.2K	0.00	104.43	0	10	240	372
2011-12-13	$33.94	$0.00	38.9%	12.3%	43.2%	22.5%	0.0%	5.7%	8.9%	3.6K	-76.9K	-2.1K	0.00	106.20	0	0	240	372
2011-12-14	$31.99	$0.00	56.0%	14.0%	48.0%	38.7%	0.0%	6.7%	-2.2%	-4.6K	90.3K	-2.2K	0.00	108.50	0	0	240	372
2011-12-15	$32.56	$0.00	40.2%	11.5%	47.3%	23.7%	0.0%	4.3%	7.5%	-4.6K	57.1K	-2.1K	0.00	106.63	0	10	240	372
2011-12-16	$32.72	$0.00	37.4%	10.7%	46.2%	21.1%	0.0%	3.9%	4.9%	-7.5K	44.7K	-2.0K	0.67	104.92	9	6	240	372
2011-12-19	$32.14	$0.00	43.2%	12.4%	46.6%	26.6%	0.0%	2.2%	-1.0%	-7.7K	140.5K	-2.0K	0.00	103.41	0	0	122	291
2011-12-20	$33.68	$0.00	40.6%	11.6%	48.8%	24.1%	0.0%	5.0%	5.6%	-7.5K	94.2K	-2.1K	0.00	105.78	0	0	122	291
2011-12-21	$34.09	$0.00	39.9%	11.4%	48.6%	23.4%	0.0%	5.7%	6.0%	-7.4K	70.2K	-1.9K	0.00	103.11	0	0	122	291
2011-12-22	$34.04	$0.00	42.1%	12.1%	46.5%	25.5%	0.0%	7.5%	3.1%	-6.5K	42.8K	-1.9K	0.00	105.58	0	0	122	291
2011-12-23	$33.93	$0.00	41.1%	11.8%	45.9%	24.6%	0.0%	7.2%	3.6%	-6.7K	54.8K	-1.9K	0.00	106.41	0	0	122	291
2011-12-27	$33.69	$0.00	42.2%	12.1%	44.8%	25.6%	0.0%	6.8%	3.1%	-7.0K	65.1K	-1.9K	0.00	107.27	0	0	122	291
2011-12-28	$32.49	$0.00	41.0%	11.8%	47.0%	24.5%	0.0%	1.3%	9.4%	-7.9K	117.9K	-1.9K	0.00	107.98	0	0	122	291
2011-12-29	$34.06	$0.00	43.6%	12.5%	42.0%	26.9%	0.0%	9.2%	4.9%	-7.4K	68.3K	-1.9K	0.00	106.28	0	0	122	291
2011-12-30	$33.75	$0.00	40.3%	11.6%	42.1%	23.8%	0.0%	8.9%	3.4%	-7.0K	50.6K	-1.8K	0.00	106.27	0	7	122	291