LII Options History — July 2012

In July 2012, LII traded between $42.06 and $48.30. ATM implied volatility averaged 34.2%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 3.2% (HV 20d: 37.4%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.25.

Notable Days

2012-07-24: Highest Volume — 455 contracts
2012-07-24: Largest IV drop — 31.2% change
2012-07-23: Highest IV Rank — 26.5%
2012-07-23: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.02	$42.06	$48.30	$46.21	$43.67
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	34.2%	27.6%	45.8%	30.3%	32.3%
Expected Move	10.1%	8.1%	13.1%	8.7%	9.3%
HV 20d	37.4%	32.6%	43.5%	38.6%	37.8%
HV 60d	38.6%	34.4%	40.6%	40.3%	38.1%
IV Rank	15.2%	8.7%	26.5%	11.3%	13.3%
IV Percentile	39.0%	7.1%	77.0%	24.2%	32.5%
Term Structure	0.3%	-5.7%	4.8%	4.5%	2.7%
VWIV	36.1%	28.3%	46.0%	28.3%	32.6%
Skew 25d	5.6%	-1.2%	11.9%	-1.2%	7.0%
Skew 10d	13.7%	-3.5%	23.0%	-3.5%	12.2%
Call IV 25d	31.7%	24.3%	41.2%	29.6%	28.7%
Put IV 25d	37.3%	28.5%	47.9%	28.5%	35.7%
Bid-Ask Spread %	32.80	14.39	42.66	32.41	14.39
Gamma HHI	0.41	0.31	0.58	0.48	0.32
Net GEX	3.3K	-80.8K	50.0K	34.7K	-57.5K
Net DEX	-443.7K	-1.5M	1.9M	-921.5K	791.7K
Net VEX	-13.2K	-14.9K	-12.0K	-12.1K	-13.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.25	0.00	25.80	0.00	0.00
Total Volume	73.905	0	455	0	0
Total OI	1,879.857	1,478	2,251	1,478	2,167

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
2012-07-02	$46.21	$45.00	30.3%	8.7%	38.6%	11.3%	0.0%	-1.2%	4.5%	34.7K	-921.5K	-12.1K	0.00	32.41	0	0	748	730
2012-07-03	$47.36	$45.00	30.4%	8.7%	39.0%	11.4%	0.0%	0.9%	4.0%	36.1K	-1.2M	-12.1K	0.00	15.95	31	0	748	730
2012-07-05	$48.30	$45.00	28.2%	8.1%	37.0%	9.3%	28.3%	1.3%	4.8%	41.4K	-1.5M	-12.0K	0.80	23.62	50	40	778	730
2012-07-06	$47.57	$45.00	27.6%	9.5%	37.9%	8.7%	42.2%	4.9%	-0.8%	50.0K	-1.4M	-12.2K	0.79	30.78	42	33	828	758
2012-07-09	$47.28	$45.00	29.8%	10.3%	37.9%	10.8%	35.5%	4.0%	-2.1%	49.1K	-1.3M	-12.2K	0.00	32.60	0	20	846	790
2012-07-10	$46.53	$45.00	29.1%	10.2%	38.7%	10.2%	35.5%	5.5%	-1.4%	41.6K	-1.0M	-12.2K	0.00	39.36	23	0	846	810
2012-07-11	$46.13	$45.00	29.5%	10.4%	38.9%	10.5%	0.0%	4.5%	-0.1%	40.4K	-947.1K	-12.3K	0.41	39.20	49	20	869	810
2012-07-12	$46.56	$45.00	35.8%	10.3%	34.8%	16.7%	0.0%	5.4%	0.3%	42.0K	-1.1M	-12.5K	0.00	40.84	0	0	879	830
2012-07-13	$48.02	$45.00	34.4%	9.9%	35.9%	15.4%	0.0%	4.4%	0.4%	49.2K	-1.5M	-12.6K	1.13	23.09	70	79	879	830
2012-07-16	$47.40	$45.00	37.6%	10.8%	34.7%	18.5%	35.0%	7.4%	-0.7%	38.1K	-1.3M	-13.6K	0.00	33.46	0	70	941	909
2012-07-17	$46.20	$45.00	40.8%	11.7%	36.3%	21.7%	41.0%	5.1%	-2.7%	36.3K	-727.9K	-13.7K	25.80	41.07	10	258	941	939
2012-07-18	$46.83	$45.00	41.0%	11.7%	36.3%	21.8%	0.0%	7.1%	-3.0%	-5.0K	-594.2K	-14.9K	0.00	42.66	0	0	941	1,195
2012-07-19	$46.89	$45.00	41.3%	11.8%	35.7%	22.1%	0.0%	7.5%	-3.2%	-6.3K	-614.9K	-14.9K	0.00	42.36	0	0	941	1,195
2012-07-20	$46.16	$45.00	40.9%	11.7%	33.9%	21.7%	0.0%	3.6%	-2.9%	-8.7K	-345.3K	-14.6K	0.00	41.06	0	0	941	1,195
2012-07-23	$46.36	$45.00	45.8%	13.1%	32.6%	26.5%	46.0%	6.8%	-5.7%	-12.7K	-129.8K	-14.4K	7.77	39.17	22	171	850	1,108
2012-07-24	$44.46	$45.00	31.5%	9.0%	36.1%	12.5%	34.0%	11.9%	3.0%	-58.7K	918.3K	-13.7K	4.35	26.19	85	370	852	1,229
2012-07-25	$42.06	$45.00	36.1%	10.3%	40.9%	17.0%	32.1%	2.7%	1.2%	-80.8K	1.9M	-12.8K	1.05	28.68	40	42	867	1,384
2012-07-26	$43.26	$45.00	31.7%	9.1%	42.0%	12.7%	0.0%	6.7%	2.5%	-59.2K	1.0M	-13.5K	0.00	40.95	1	0	875	1,268
2012-07-27	$44.61	$45.00	31.7%	9.1%	43.5%	12.7%	34.7%	10.9%	3.0%	-50.6K	416.4K	-13.8K	0.17	29.71	12	2	876	1,268
2012-07-30	$44.64	$45.00	32.6%	9.3%	37.2%	13.6%	32.6%	10.7%	2.0%	-51.0K	371.0K	-13.5K	0.00	31.19	12	0	888	1,268
2012-07-31	$43.67	$45.00	32.3%	9.3%	37.8%	13.3%	0.0%	7.0%	2.7%	-57.5K	791.7K	-13.0K	0.00	14.39	0	0	899	1,268