LII Options History — September 2012

In September 2012, LII traded between $45.61 and $50.71. ATM implied volatility averaged 29.7%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 9.5% (HV 20d: 20.2%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.48.

Notable Days

2012-09-19: Highest Volume — 103 contracts
2012-09-19: Largest IV drop — 11.3% change
2012-09-10: Highest IV Rank — 12.9%
2012-09-07: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.75	$45.61	$50.71	$47.99	$48.36
Max Pain	$41.84	$40.00	$50.00	$45.00	$40.00
ATM IV	29.7%	27.4%	31.9%	28.7%	28.7%
Expected Move	8.6%	7.9%	9.5%	8.2%	8.2%
HV 20d	20.2%	15.7%	25.5%	15.9%	25.4%
HV 60d	31.6%	29.0%	33.7%	33.4%	29.0%
IV Rank	10.7%	8.5%	12.9%	9.8%	9.7%
IV Percentile	21.4%	6.7%	39.7%	12.3%	14.7%
Term Structure	2.2%	1.1%	3.3%	2.0%	2.5%
VWIV	29.8%	28.0%	34.0%	34.0%	29.2%
Skew 25d	3.4%	-4.3%	7.9%	2.1%	3.8%
Skew 10d	7.2%	-6.9%	13.4%	5.5%	6.9%
Call IV 25d	27.5%	21.2%	31.0%	28.2%	26.5%
Put IV 25d	30.9%	23.6%	34.7%	30.3%	30.3%
Bid-Ask Spread %	28.83	15.29	43.98	18.62	15.29
Gamma HHI	0.62	0.53	0.81	0.61	0.60
Net GEX	56.2K	28.9K	169.2K	56.6K	53.5K
Net DEX	-964.4K	-2.6M	-210.2K	-997.0K	-1.0M
Net VEX	-10.4K	-11.2K	-9.8K	-10.9K	-11.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.00	2.63	0.00	1.00
Total Volume	26.421	0	103	0	42
Total OI	1,546.421	1,325	1,709	1,547	1,464

Daily Data (19 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
2012-09-04	$47.99	$45.00	28.7%	8.2%	15.9%	9.8%	0.0%	2.1%	2.0%	56.6K	-997.0K	-10.9K	0.00	18.62	0	0	826	721
2012-09-05	$47.07	$45.00	30.9%	8.9%	15.7%	11.9%	0.0%	1.6%	2.3%	46.6K	-682.3K	-10.8K	0.00	17.02	0	10	826	721
2012-09-06	$47.09	$45.00	30.6%	8.8%	15.8%	11.6%	0.0%	0.8%	2.6%	47.1K	-696.3K	-10.7K	0.00	17.77	0	0	826	725
2012-09-07	$45.73	$50.00	30.6%	9.5%	19.3%	11.7%	0.0%	3.7%	1.2%	30.6K	-264.9K	-10.1K	0.00	41.87	0	0	826	725
2012-09-10	$45.61	$50.00	31.9%	9.4%	19.3%	12.9%	34.0%	3.2%	1.5%	28.9K	-210.2K	-9.9K	0.00	43.98	19	0	826	725
2012-09-11	$46.04	$40.00	31.5%	9.4%	19.2%	12.5%	0.0%	3.5%	1.1%	34.0K	-355.6K	-9.8K	0.00	32.87	28	0	833	725
2012-09-12	$46.34	$40.00	31.4%	9.4%	18.4%	12.4%	0.0%	4.4%	1.3%	40.4K	-487.4K	-10.1K	0.00	31.03	0	0	856	725
2012-09-13	$45.96	$40.00	30.9%	8.9%	18.5%	11.9%	30.9%	2.8%	2.7%	35.0K	-356.0K	-9.8K	0.00	21.01	32	0	856	725
2012-09-14	$46.48	$40.00	30.8%	8.8%	17.7%	11.8%	0.0%	3.3%	2.3%	41.4K	-537.1K	-10.0K	0.00	32.46	6	0	870	725
2012-09-17	$46.65	$40.00	30.9%	8.9%	17.3%	11.9%	0.0%	3.2%	2.5%	37.6K	-615.1K	-9.8K	0.00	22.68	0	0	868	725
2012-09-18	$47.44	$40.00	30.9%	8.9%	18.3%	11.9%	30.6%	2.7%	2.5%	35.6K	-853.0K	-9.8K	0.00	40.07	19	0	868	725
2012-09-19	$48.75	$40.00	27.4%	7.9%	20.6%	8.5%	0.0%	6.9%	2.7%	81.9K	-1.3M	-9.9K	0.00	39.99	103	0	881	725
2012-09-20	$48.97	$40.00	27.7%	7.9%	20.6%	8.8%	0.0%	6.8%	1.9%	97.8K	-1.6M	-10.8K	0.00	27.59	0	0	984	725
2012-09-21	$50.58	$40.00	28.6%	8.2%	23.3%	9.7%	29.0%	2.4%	1.4%	169.2K	-2.6M	-10.5K	0.38	22.75	52	20	984	725
2012-09-24	$50.71	$40.00	28.4%	8.1%	23.1%	9.5%	28.4%	-4.3%	2.2%	59.0K	-1.8M	-10.4K	2.63	29.04	19	50	770	555
2012-09-25	$49.87	$40.00	28.2%	8.1%	24.2%	9.3%	0.0%	7.9%	2.5%	58.1K	-1.6M	-10.7K	0.60	33.97	40	24	787	605
2012-09-26	$48.84	$40.00	28.0%	8.0%	25.5%	9.0%	28.0%	5.1%	2.8%	57.8K	-1.3M	-11.2K	1.20	30.86	10	12	827	629
2012-09-27	$48.71	$40.00	28.0%	8.0%	25.2%	9.1%	28.4%	5.1%	3.3%	56.5K	-1.2M	-11.1K	0.00	28.94	16	0	832	641
2012-09-28	$48.36	$40.00	28.7%	8.2%	25.4%	9.7%	29.2%	3.8%	2.5%	53.5K	-1.0M	-11.1K	1.00	15.29	21	21	823	641