LII Options History — April 2012

In April 2012, LII traded between $36.95 and $43.68. ATM implied volatility averaged 31.8%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 2.9% (HV 20d: 28.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.63.

Notable Days

2012-04-26: Highest Volume — 242 contracts
2012-04-11: Largest IV spike — 35.4% change
2012-04-23: Highest IV Rank — 21.9%
2012-04-23: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.58	$36.95	$43.68	$39.88	$43.40
Max Pain	$42.50	$40.00	$45.00	$45.00	$40.00
ATM IV	31.8%	24.9%	42.5%	28.4%	27.2%
Expected Move	9.4%	7.1%	12.2%	8.2%	7.8%
HV 20d	28.9%	20.4%	44.9%	28.7%	44.9%
HV 60d	28.7%	26.0%	34.4%	27.8%	32.4%
IV Rank	12.2%	4.3%	21.9%	12.0%	6.6%
IV Percentile	36.6%	7.1%	68.3%	28.2%	14.7%
Term Structure	1.2%	-5.4%	5.0%	4.8%	1.6%
VWIV	25.9%	24.9%	26.6%	26.3%	24.9%
Skew 25d	2.9%	-4.2%	7.0%	1.8%	-4.2%
Skew 10d	6.9%	-3.7%	23.6%	2.9%	-3.1%
Call IV 25d	30.3%	24.7%	37.5%	27.5%	26.9%
Put IV 25d	33.3%	21.4%	40.7%	29.2%	22.8%
Bid-Ask Spread %	100.51	93.84	108.25	103.60	98.91
Gamma HHI	0.31	0.25	0.78	0.28	0.78
Net GEX	848	-4.1K	37.1K	-750	37.1K
Net DEX	51.5K	-429.1K	151.8K	62.0K	-399.6K
Net VEX	-984	-2.2K	-683	-683	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.00	1.50	1.50	1.00
Total Volume	17	0	242	20	20
Total OI	215.4	153	441	170	441

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
2012-04-02	$39.88	$45.00	28.4%	8.2%	28.7%	12.0%	0.0%	1.8%	4.8%	-750	62.0K	-683	0.00	103.60	0	20	55	115
2012-04-03	$39.88	$45.00	29.8%	8.5%	25.9%	13.3%	0.0%	1.6%	3.5%	-1.7K	78.1K	-816	0.00	104.90	0	0	55	135
2012-04-04	$39.25	$45.00	29.3%	8.4%	26.5%	12.8%	0.0%	0.4%	4.6%	-2.3K	95.9K	-818	0.00	106.38	0	0	55	135
2012-04-05	$38.64	$45.00	28.8%	8.2%	25.9%	12.3%	0.0%	-1.5%	5.0%	-2.5K	100.7K	-804	0.00	108.25	0	0	55	135
2012-04-09	$37.95	$0.00	28.4%	10.0%	23.4%	12.0%	0.0%	6.6%	-1.8%	-2.9K	116.3K	-793	0.00	98.07	0	0	55	135
2012-04-10	$36.95	$0.00	27.2%	11.1%	24.7%	6.6%	0.0%	3.8%	3.4%	-3.3K	136.0K	-782	0.00	97.44	0	12	55	135
2012-04-11	$37.62	$0.00	36.9%	10.2%	21.4%	16.2%	0.0%	5.7%	0.1%	-3.8K	150.5K	-920	0.00	97.86	0	0	55	147
2012-04-12	$38.42	$0.00	35.4%	10.2%	23.5%	14.8%	0.0%	7.0%	0.0%	-3.5K	135.5K	-909	0.00	99.34	0	0	55	147
2012-04-13	$38.10	$0.00	34.6%	9.9%	22.5%	13.9%	0.0%	6.7%	-0.4%	-3.8K	145.9K	-893	0.00	99.51	0	0	55	147
2012-04-16	$38.33	$0.00	36.0%	10.3%	22.4%	15.4%	0.0%	6.7%	-0.5%	-3.7K	145.3K	-878	0.00	100.86	0	0	55	147
2012-04-17	$38.67	$0.00	37.8%	10.8%	22.9%	17.1%	0.0%	4.7%	-1.6%	-3.4K	130.7K	-875	0.00	103.28	0	0	55	147
2012-04-18	$38.16	$0.00	35.4%	10.2%	20.5%	14.7%	0.0%	5.1%	-0.6%	-3.8K	142.2K	-869	0.00	101.94	0	0	55	147
2012-04-19	$37.77	$0.00	33.4%	9.6%	20.4%	12.8%	0.0%	4.0%	-1.0%	-4.1K	151.8K	-857	0.00	101.36	0	0	55	147
2012-04-20	$38.77	$0.00	34.5%	9.9%	22.6%	13.8%	0.0%	5.6%	0.9%	-3.6K	140.5K	-848	0.00	102.19	0	0	55	147
2012-04-23	$38.31	$0.00	42.5%	12.2%	23.0%	21.9%	0.0%	3.2%	-5.4%	-4.1K	93.1K	-856	0.00	102.17	0	1	20	133
2012-04-24	$42.59	$0.00	27.7%	7.9%	44.4%	7.0%	26.3%	1.8%	4.1%	-3.0K	26.3K	-732	1.50	97.51	16	24	20	134
2012-04-25	$42.34	$40.00	31.1%	8.9%	44.5%	10.4%	0.0%	1.2%	0.8%	-3.4K	11.4K	-952	0.00	95.96	0	0	36	158
2012-04-26	$42.93	$40.00	26.7%	7.6%	44.5%	6.0%	26.6%	2.1%	2.4%	-3.1K	-2.9K	-910	0.00	93.84	242	0	36	158
2012-04-27	$43.68	$40.00	24.9%	7.1%	44.8%	4.3%	24.9%	-3.3%	4.0%	36.6K	-429.1K	-2.2K	0.00	96.80	5	0	278	158
2012-04-30	$43.40	$40.00	27.2%	7.8%	44.9%	6.6%	0.0%	-4.2%	1.6%	37.1K	-399.6K	-2.2K	1.00	98.91	10	10	283	158