LII Options History — March 2012

In March 2012, LII traded between $38.37 and $42.73. ATM implied volatility averaged 29.3%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.1% (HV 20d: 26.2%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.28.

Notable Days

2012-03-15: Highest Volume — 32 contracts
2012-03-09: Largest IV spike — 30.5% change
2012-03-14: Highest IV Rank — 18.2%
2012-03-08: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.35	$38.37	$42.73	$39.50	$40.30
Max Pain	$43.24	$35.00	$45.00	$35.00	$45.00
ATM IV	29.3%	22.1%	34.4%	30.1%	29.1%
Expected Move	8.8%	7.4%	10.1%	8.6%	8.3%
HV 20d	26.2%	17.2%	30.2%	27.3%	28.6%
HV 60d	31.1%	27.7%	33.8%	33.1%	27.7%
IV Rank	13.4%	6.6%	18.2%	14.2%	13.1%
IV Percentile	32.5%	4.4%	48.8%	39.3%	32.5%
Term Structure	1.8%	-2.5%	5.8%	4.4%	3.9%
VWIV	29.3%	26.9%	34.4%	34.4%	28.1%
Skew 25d	8.1%	-1.4%	41.3%	41.3%	34.1%
Skew 10d	12.0%	-1.9%	61.4%	58.5%	57.7%
Call IV 25d	27.8%	23.4%	33.3%	32.5%	25.5%
Put IV 25d	36.0%	25.6%	73.9%	73.9%	59.6%
Bid-Ask Spread %	103.47	97.83	111.25	111.25	103.48
Gamma HHI	0.51	0.29	0.99	0.65	0.33
Net GEX	-32	-2.7K	1.8K	706	-19
Net DEX	-138.0K	-426.1K	76.0K	-251.4K	51.5K
Net VEX	-411	-657	-117	-295	-657
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.28	0.00	10.00	0.00	3.33
Total Volume	6.818	0	32	0	10
Total OI	339.136	116	536	496	160

Daily Data (22 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
2012-03-01	$39.50	$35.00	30.1%	8.6%	27.3%	14.2%	0.0%	41.3%	4.4%	706	-251.4K	-295	0.00	111.25	0	0	134	362
2012-03-02	$39.95	$35.00	28.9%	8.3%	20.1%	13.0%	0.0%	38.9%	5.1%	1.0K	-274.7K	-295	0.00	109.37	0	0	134	362
2012-03-05	$39.64	$0.00	31.4%	9.9%	17.2%	15.4%	0.0%	7.8%	-2.5%	-411	-258.6K	-274	0.00	103.92	0	0	134	362
2012-03-06	$38.37	$0.00	33.4%	9.5%	20.4%	17.2%	0.0%	6.6%	-0.7%	-2.7K	-195.9K	-278	0.00	103.84	0	0	134	362
2012-03-07	$38.75	$0.00	31.5%	9.8%	20.8%	15.4%	0.0%	6.2%	0.2%	-1.7K	-210.7K	-254	0.00	107.02	0	0	134	362
2012-03-08	$39.59	$0.00	22.1%	10.1%	22.0%	6.6%	0.0%	8.1%	-2.2%	1.1K	-228.4K	-220	0.00	103.98	0	0	134	362
2012-03-09	$40.86	$0.00	28.9%	9.9%	24.6%	13.0%	34.4%	6.2%	-0.9%	1.4K	-326.7K	-229	0.00	103.08	2	0	134	362
2012-03-12	$40.93	$40.00	30.8%	10.0%	24.5%	14.8%	0.0%	-1.4%	-2.0%	1.1K	-348.2K	-193	0.00	107.06	0	0	136	362
2012-03-13	$42.42	$40.00	30.9%	10.0%	27.1%	14.9%	29.1%	5.1%	-2.5%	1.4K	-426.1K	-117	3.50	98.28	6	21	136	362
2012-03-14	$42.17	$45.00	34.4%	9.8%	26.9%	18.2%	0.0%	2.3%	0.1%	-1.2K	-367.3K	-216	0.00	98.64	0	11	132	383
2012-03-15	$42.73	$45.00	28.7%	8.2%	26.6%	12.8%	32.1%	2.6%	-1.2%	-189	-361.4K	-347	0.00	97.83	32	0	132	394
2012-03-16	$42.00	$45.00	32.8%	9.4%	27.0%	16.7%	27.2%	5.5%	-0.3%	-1.2K	-334.3K	-506	0.00	101.25	20	0	142	394
2012-03-19	$41.69	$45.00	25.9%	7.4%	27.2%	10.2%	0.0%	0.1%	5.8%	1.8K	25.2K	-543	0.00	100.30	0	0	44	72
2012-03-20	$40.34	$45.00	28.3%	8.1%	29.9%	12.4%	28.3%	3.3%	3.1%	832	46.2K	-480	0.00	103.08	0	3	44	72
2012-03-21	$39.87	$45.00	27.2%	7.8%	30.2%	11.4%	0.0%	2.5%	3.5%	-75	58.9K	-474	10.00	102.14	1	10	44	75
2012-03-22	$39.45	$45.00	29.7%	8.5%	30.2%	13.7%	0.0%	0.1%	3.3%	-904	76.0K	-523	1.43	103.82	7	10	45	85
2012-03-23	$39.39	$45.00	26.9%	7.7%	29.0%	11.1%	26.9%	0.5%	4.6%	-887	70.5K	-597	0.00	102.88	1	0	52	95
2012-03-26	$39.90	$45.00	28.1%	8.1%	29.3%	12.3%	28.1%	2.0%	4.1%	-296	54.8K	-588	3.33	103.80	3	10	53	95
2012-03-27	$40.04	$45.00	28.1%	8.1%	28.9%	12.2%	28.1%	3.3%	3.5%	61	48.9K	-651	0.00	104.14	0	3	55	105
2012-03-28	$39.78	$45.00	28.3%	8.1%	28.9%	12.4%	0.0%	1.2%	5.2%	-441	60.2K	-650	0.00	103.21	0	0	55	105
2012-03-29	$40.00	$45.00	29.0%	8.3%	28.7%	13.1%	0.0%	2.4%	4.4%	-197	55.5K	-655	0.00	103.89	0	0	55	105
2012-03-30	$40.30	$45.00	29.1%	8.3%	28.6%	13.1%	0.0%	34.1%	3.9%	-19	51.5K	-657	0.00	103.48	0	10	55	105