LII Options History — June 2012

In June 2012, LII traded between $39.34 and $46.63. ATM implied volatility averaged 31.6%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 8.9% (HV 20d: 40.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.26.

Notable Days

2012-06-29: Highest Volume — 308 contracts
2012-06-14: Largest IV spike — 72.0% change
2012-06-01: Highest IV Rank — 18.2%
2012-06-01: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.38	$39.34	$46.63	$41.22	$46.63
Max Pain	$44.76	$40.00	$45.00	$40.00	$45.00
ATM IV	31.6%	20.7%	37.3%	37.3%	30.3%
Expected Move	9.6%	8.6%	10.7%	10.7%	8.7%
HV 20d	40.5%	33.2%	43.7%	33.2%	42.9%
HV 60d	37.4%	35.4%	40.4%	35.4%	40.4%
IV Rank	12.6%	2.0%	18.2%	18.2%	11.3%
IV Percentile	32.2%	0.4%	55.6%	55.6%	24.6%
Term Structure	1.7%	-1.9%	4.6%	-1.9%	4.2%
VWIV	35.6%	29.0%	41.5%	41.5%	29.0%
Skew 25d	3.6%	-6.8%	9.4%	9.4%	-0.4%
Skew 10d	5.8%	-7.7%	17.3%	11.0%	-1.2%
Call IV 25d	30.4%	25.6%	36.1%	26.1%	29.2%
Put IV 25d	34.0%	28.8%	40.8%	35.5%	28.8%
Bid-Ask Spread %	64.36	14.02	98.05	98.05	29.51
Gamma HHI	0.34	0.26	0.50	0.41	0.31
Net GEX	3.8K	-21.1K	24.6K	9.3K	8.0K
Net DEX	43.8K	-441.5K	370.5K	124.3K	-441.5K
Net VEX	-3.6K	-8.6K	-2.4K	-2.4K	-8.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.00	7.90	0.64	0.00
Total Volume	60.762	0	308	115	308
Total OI	734.048	499	1,171	640	1,171

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
2012-06-01	$41.22	$40.00	37.3%	10.7%	33.2%	18.2%	0.0%	9.4%	-1.9%	9.3K	124.3K	-2.4K	0.64	98.05	70	45	319	321
2012-06-04	$39.34	$45.00	36.0%	10.6%	36.7%	16.9%	41.5%	4.8%	0.8%	-11.9K	353.2K	-2.9K	0.00	84.09	0	55	379	366
2012-06-05	$39.47	$45.00	35.1%	10.6%	36.1%	16.1%	0.0%	5.2%	-0.3%	-13.1K	370.5K	-3.0K	0.00	85.63	0	0	379	385
2012-06-06	$41.23	$45.00	35.9%	10.3%	39.8%	16.9%	41.2%	4.8%	1.0%	1.7K	210.2K	-3.2K	0.00	82.57	0	11	379	385
2012-06-07	$41.57	$45.00	31.3%	10.1%	39.9%	12.4%	39.9%	3.5%	1.9%	4.2K	133.3K	-3.2K	0.00	82.59	0	10	379	396
2012-06-08	$42.37	$45.00	30.2%	10.2%	40.5%	11.3%	32.6%	2.0%	1.4%	24.6K	48.5K	-3.3K	0.00	89.15	24	0	379	406
2012-06-11	$42.48	$45.00	27.7%	10.2%	40.2%	8.8%	32.9%	3.5%	1.7%	5.0K	71.3K	-3.0K	0.00	87.46	11	0	386	406
2012-06-12	$42.63	$45.00	29.2%	9.6%	39.4%	10.2%	35.5%	6.4%	1.1%	9.7K	74.0K	-3.0K	0.70	80.81	20	14	393	406
2012-06-13	$40.85	$45.00	20.7%	10.1%	42.1%	2.0%	35.0%	-6.8%	2.4%	-21.1K	183.0K	-3.0K	0.00	88.50	1	0	411	420
2012-06-14	$41.09	$45.00	35.7%	10.2%	42.1%	16.6%	0.0%	-3.3%	1.0%	-14.2K	157.7K	-3.0K	0.00	87.83	0	0	412	420
2012-06-15	$42.69	$45.00	32.6%	9.4%	41.8%	13.6%	0.0%	4.7%	1.5%	11.2K	45.5K	-3.0K	0.00	89.51	0	4	412	420
2012-06-18	$43.19	$45.00	32.9%	9.4%	41.7%	13.9%	32.5%	6.3%	1.0%	2.5K	13.0K	-3.0K	1.10	86.87	10	11	171	328
2012-06-19	$43.74	$45.00	31.1%	8.9%	40.3%	12.2%	0.0%	6.5%	1.9%	5.9K	-44.9K	-3.1K	0.00	89.15	0	0	181	339
2012-06-20	$43.11	$45.00	31.2%	8.9%	40.6%	12.2%	0.0%	5.7%	2.0%	4.3K	24.9K	-3.1K	3.50	39.91	10	35	181	339
2012-06-21	$41.75	$45.00	33.6%	9.6%	42.2%	14.6%	0.0%	-0.6%	0.9%	-498	154.5K	-3.1K	0.00	27.26	0	11	191	374
2012-06-22	$43.02	$45.00	30.1%	8.6%	43.5%	11.1%	0.0%	5.1%	2.0%	3.9K	41.7K	-3.1K	0.11	27.47	100	11	191	385
2012-06-25	$42.54	$45.00	30.4%	8.7%	43.7%	11.4%	0.0%	2.6%	1.8%	8.3K	-15.5K	-4.0K	0.37	14.02	30	11	281	385
2012-06-26	$43.38	$45.00	30.2%	8.7%	43.0%	11.2%	0.0%	5.1%	1.7%	13.6K	-168.7K	-4.4K	0.00	14.88	0	20	311	396
2012-06-27	$43.86	$45.00	30.8%	8.8%	40.8%	11.8%	0.0%	5.6%	4.6%	14.4K	-217.0K	-4.4K	0.80	33.47	99	79	311	416
2012-06-28	$43.88	$45.00	31.0%	8.9%	40.7%	12.0%	0.0%	5.4%	4.1%	14.3K	-197.8K	-5.9K	7.90	32.76	31	245	410	495
2012-06-29	$46.63	$45.00	30.3%	8.7%	42.9%	11.3%	29.0%	-0.4%	4.2%	8.0K	-441.5K	-8.6K	0.00	29.51	308	0	441	730