LII Options History — January 2012

In January 2012, LII traded between $34.74 and $38.47. ATM implied volatility averaged 36.3%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 0.9% (HV 20d: 37.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.57.

Notable Days

2012-01-04: Highest Volume — 122 contracts
2012-01-12: Largest IV spike — 36.7% change
2012-01-31: Highest IV Rank — 28.0%
2012-01-31: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.04	$34.74	$38.47	$34.74	$36.20
Max Pain	$39.38	$35.00	$40.00	$35.00	$40.00
ATM IV	36.3%	29.0%	44.7%	43.1%	44.7%
Expected Move	10.9%	9.4%	12.8%	12.4%	12.8%
HV 20d	37.2%	29.5%	43.4%	42.8%	29.9%
HV 60d	45.5%	39.8%	49.4%	49.4%	39.8%
IV Rank	20.0%	13.1%	28.0%	26.5%	28.0%
IV Percentile	56.3%	45.2%	72.6%	69.0%	72.6%
Term Structure	3.0%	-2.9%	9.4%	3.1%	-2.9%
VWIV	36.9%	36.7%	37.1%	36.7%	37.1%
Skew 25d	7.5%	-1.1%	41.4%	2.2%	9.8%
Skew 10d	25.3%	3.4%	74.0%	3.4%	6.4%
Call IV 25d	36.5%	31.4%	40.2%	40.2%	35.2%
Put IV 25d	44.0%	36.7%	78.0%	42.3%	44.9%
Bid-Ask Spread %	106.04	99.84	113.53	106.08	105.31
Gamma HHI	0.40	0.29	0.56	0.55	0.34
Net GEX	-12.4K	-34.3K	-3.6K	-6.4K	-7.0K
Net DEX	-92.2K	-231.5K	136.3K	20.8K	-73.8K
Net VEX	-1.3K	-2.0K	-702	-1.7K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	0.00	11.00	0.00	0.00
Total Volume	8.35	0	122	0	3
Total OI	510.2	412	563	412	473

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
2012-01-03	$34.74	$0.00	43.1%	12.4%	42.8%	26.5%	0.0%	2.2%	3.1%	-6.4K	20.8K	-1.7K	0.00	106.08	0	0	122	290
2012-01-04	$35.32	$0.00	36.5%	10.5%	42.7%	20.2%	36.7%	41.4%	5.4%	-7.1K	-34.8K	-1.5K	0.00	107.72	0	122	122	290
2012-01-05	$35.54	$35.00	37.5%	10.8%	42.7%	21.2%	0.0%	40.3%	5.1%	-25.4K	133.5K	-1.9K	0.00	105.97	2	0	122	410
2012-01-06	$35.38	$0.00	37.4%	12.0%	42.8%	21.0%	0.0%	7.8%	0.6%	-24.7K	136.3K	-2.0K	0.00	100.99	0	0	124	410
2012-01-09	$36.08	$0.00	31.5%	11.7%	41.2%	15.4%	0.0%	6.9%	3.7%	-34.3K	59.7K	-1.7K	0.00	101.79	0	0	124	410
2012-01-10	$37.96	$0.00	29.0%	10.9%	43.4%	13.1%	0.0%	4.0%	0.7%	-17.0K	-101.4K	-1.2K	11.00	99.84	2	22	124	410
2012-01-11	$38.01	$0.00	29.2%	11.0%	43.1%	13.3%	0.0%	3.8%	0.0%	-19.4K	-98.4K	-1.3K	0.00	103.42	4	0	126	432
2012-01-12	$38.28	$0.00	40.0%	11.5%	42.5%	23.5%	0.0%	3.1%	-0.8%	-15.0K	-128.5K	-1.3K	0.00	103.22	1	0	130	432
2012-01-13	$37.84	$0.00	37.2%	10.7%	35.7%	20.9%	0.0%	4.0%	0.0%	-18.0K	-115.5K	-1.3K	0.00	103.96	0	0	131	432
2012-01-17	$38.15	$0.00	35.4%	10.1%	35.5%	19.2%	0.0%	3.7%	3.7%	-10.1K	-172.0K	-1.1K	0.00	101.41	0	0	131	432
2012-01-18	$38.47	$0.00	37.6%	10.8%	35.5%	21.2%	0.0%	6.6%	0.2%	-8.3K	-221.7K	-789	0.00	103.79	0	0	131	432
2012-01-19	$37.79	$0.00	35.6%	10.2%	35.5%	19.3%	0.0%	-0.9%	-0.8%	-10.0K	-152.9K	-1.2K	0.00	110.36	0	0	131	432
2012-01-20	$37.10	$0.00	36.7%	10.5%	33.5%	20.4%	37.1%	3.2%	8.1%	-14.4K	-112.2K	-1.3K	0.00	107.33	10	0	131	432
2012-01-23	$36.92	$40.00	36.7%	10.5%	33.6%	20.4%	0.0%	1.2%	1.9%	-5.2K	-126.0K	-1.2K	0.00	108.40	0	0	141	332
2012-01-24	$37.25	$40.00	35.9%	10.3%	33.6%	19.6%	0.0%	6.1%	9.0%	-6.5K	-154.8K	-1.0K	0.00	110.15	1	0	141	332
2012-01-25	$38.08	$40.00	32.7%	9.4%	34.0%	16.6%	0.0%	7.6%	5.1%	-4.4K	-231.5K	-702	0.00	106.68	0	0	141	332
2012-01-26	$37.29	$40.00	36.2%	10.4%	35.0%	19.9%	0.0%	0.1%	9.4%	-3.6K	-163.2K	-1.1K	0.00	108.98	0	0	141	332
2012-01-27	$37.62	$40.00	35.4%	10.1%	31.4%	19.1%	0.0%	-0.1%	0.6%	-5.8K	-185.8K	-855	0.00	113.53	0	0	141	332
2012-01-30	$36.75	$40.00	36.9%	10.6%	29.5%	20.6%	0.0%	-1.1%	7.5%	-5.3K	-121.3K	-1.2K	0.00	111.78	0	0	141	332
2012-01-31	$36.20	$40.00	44.7%	12.8%	29.9%	28.0%	0.0%	9.8%	-2.9%	-7.0K	-73.8K	-1.2K	0.00	105.31	3	0	141	332