LII Options History — February 2012

In February 2012, LII traded between $36.60 and $39.95. ATM implied volatility averaged 32.7%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 2.1% (HV 20d: 30.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.15.

Notable Days

2012-02-02: Highest Volume — 86 contracts
2012-02-02: Largest IV drop — 33.7% change
2012-02-01: Highest IV Rank — 22.5%
2012-02-01: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.17	$36.60	$39.95	$36.60	$39.13
Max Pain	$35.50	$35.00	$40.00	$40.00	$35.00
ATM IV	32.7%	25.8%	38.9%	38.9%	30.2%
Expected Move	9.5%	7.4%	11.2%	11.2%	8.7%
HV 20d	30.6%	27.4%	35.2%	28.5%	27.4%
HV 60d	37.9%	33.2%	41.2%	39.4%	33.2%
IV Rank	16.6%	10.1%	22.5%	22.5%	14.2%
IV Percentile	46.1%	29.0%	61.1%	61.1%	39.7%
Term Structure	1.8%	-5.7%	10.1%	4.1%	4.0%
VWIV	30.7%	27.9%	34.8%	27.9%	30.8%
Skew 25d	7.0%	-4.4%	74.2%	5.7%	0.5%
Skew 10d	12.0%	-6.4%	90.6%	7.7%	-0.9%
Call IV 25d	30.4%	27.0%	33.8%	33.8%	32.2%
Put IV 25d	37.4%	26.2%	102.3%	39.5%	32.7%
Bid-Ask Spread %	108.30	104.33	114.76	114.76	109.69
Gamma HHI	0.63	0.30	0.87	0.32	0.61
Net GEX	16.9K	-6.2K	61.1K	-6.2K	-1.3K
Net DEX	-321.9K	-433.4K	-110.1K	-110.1K	-231.6K
Net VEX	-565	-1.1K	-314	-1.1K	-334
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.15	0.15	0.15	0.15
Total Volume	6.1	0	86	0	0
Total OI	529.6	476	571	476	496

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
2012-02-01	$36.60	$40.00	38.9%	11.2%	28.5%	22.5%	0.0%	5.7%	4.1%	-6.2K	-110.1K	-1.1K	0.00	114.76	0	0	144	332
2012-02-02	$38.64	$40.00	25.8%	7.4%	33.7%	10.1%	27.9%	74.2%	7.6%	-257	-270.4K	-597	0.15	112.29	75	11	144	332
2012-02-03	$39.85	$35.00	27.8%	10.2%	34.9%	11.9%	0.0%	10.7%	1.8%	26.9K	-433.4K	-813	0.00	104.33	0	0	219	343
2012-02-06	$39.46	$35.00	33.4%	10.4%	35.2%	17.2%	0.0%	7.1%	-1.2%	22.1K	-419.1K	-758	0.00	104.88	0	0	219	343
2012-02-07	$39.34	$35.00	33.5%	10.1%	34.9%	17.4%	0.0%	8.7%	0.4%	20.8K	-392.8K	-832	0.00	105.03	0	0	219	343
2012-02-08	$39.00	$35.00	34.7%	9.4%	30.5%	18.5%	0.0%	5.1%	4.6%	20.7K	-368.7K	-671	0.00	105.16	0	0	219	343
2012-02-09	$39.17	$35.00	35.9%	10.3%	30.5%	19.6%	0.0%	5.2%	0.2%	23.0K	-384.2K	-687	0.00	106.32	0	0	219	343
2012-02-10	$39.14	$35.00	34.6%	9.9%	30.5%	18.4%	0.0%	5.0%	-2.2%	27.0K	-366.4K	-619	0.00	106.48	0	0	219	343
2012-02-13	$39.58	$35.00	34.2%	9.8%	30.3%	18.0%	34.8%	10.6%	-4.0%	33.6K	-422.8K	-568	0.00	104.95	0	1	219	343
2012-02-14	$39.18	$35.00	34.1%	9.8%	30.5%	17.9%	0.0%	7.5%	-3.0%	32.3K	-366.9K	-546	0.00	106.71	0	0	219	342
2012-02-15	$38.81	$35.00	33.4%	9.6%	30.6%	17.3%	0.0%	5.9%	0.1%	25.4K	-320.1K	-530	0.00	107.18	0	0	219	342
2012-02-16	$39.63	$35.00	34.2%	9.8%	30.6%	18.0%	29.3%	1.1%	-2.0%	57.8K	-406.4K	-444	0.00	107.59	0	20	219	342
2012-02-17	$39.84	$35.00	35.1%	10.1%	29.6%	18.9%	0.0%	1.3%	-5.7%	61.1K	-428.2K	-516	0.00	108.37	0	0	219	352
2012-02-21	$39.63	$35.00	35.0%	10.0%	29.7%	18.8%	0.0%	-2.7%	5.9%	100	-273.0K	-417	0.00	108.58	0	0	134	352
2012-02-22	$39.57	$35.00	30.8%	8.8%	29.6%	14.8%	30.8%	-2.6%	4.4%	1.1K	-277.6K	-392	0.00	106.48	0	15	134	352
2012-02-23	$39.95	$35.00	31.2%	9.0%	28.9%	15.2%	0.0%	1.5%	3.6%	433	-275.7K	-358	0.00	109.70	0	0	134	362
2012-02-24	$39.00	$35.00	30.4%	8.7%	29.2%	14.4%	0.0%	-4.4%	10.1%	-1.3K	-241.2K	-401	0.00	113.56	0	0	134	362
2012-02-27	$39.19	$35.00	31.0%	8.9%	29.2%	15.0%	0.0%	0.5%	3.8%	-1.4K	-235.0K	-377	0.00	110.09	0	0	134	362
2012-02-28	$38.74	$35.00	30.3%	8.7%	28.1%	14.3%	0.0%	-0.3%	3.3%	-3.2K	-213.7K	-314	0.00	113.76	0	0	134	362
2012-02-29	$39.13	$35.00	30.2%	8.7%	27.4%	14.2%	0.0%	0.5%	4.0%	-1.3K	-231.6K	-334	0.00	109.69	0	0	134	362