LII Options History — October 2012

In October 2012, LII traded between $45.57 and $50.21. ATM implied volatility averaged 29.9%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.9% (HV 20d: 24.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.22.

Notable Days

2012-10-19: Highest Volume — 276 contracts
2012-10-22: Largest IV drop — 12.6% change
2012-10-15: Highest IV Rank — 38.6%
2012-10-15: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.20	$45.57	$50.21	$47.25	$50.05
Max Pain	$49.76	$45.00	$50.00	$45.00	$50.00
ATM IV	29.9%	27.3%	34.2%	30.2%	27.3%
Expected Move	8.7%	7.8%	9.8%	8.7%	7.8%
HV 20d	24.9%	21.5%	27.7%	26.0%	21.5%
HV 60d	27.0%	21.7%	29.2%	29.2%	21.7%
IV Rank	23.3%	8.8%	38.6%	11.3%	21.2%
IV Percentile	27.3%	6.0%	59.9%	27.0%	6.0%
Term Structure	0.0%	-3.4%	3.0%	2.2%	0.6%
VWIV	29.9%	27.7%	33.3%	29.3%	28.3%
Skew 25d	4.4%	0.4%	9.9%	0.6%	2.1%
Skew 10d	7.4%	-3.1%	15.9%	-0.0%	3.0%
Call IV 25d	26.5%	19.8%	30.7%	29.4%	22.4%
Put IV 25d	30.9%	21.9%	35.6%	30.0%	24.5%
Bid-Ask Spread %	33.64	16.90	85.63	16.90	85.63
Gamma HHI	0.61	0.55	0.69	0.58	0.69
Net GEX	55.2K	36.7K	82.6K	44.2K	82.6K
Net DEX	-833.0K	-1.6M	161.1K	-565.8K	-1.6M
Net VEX	-9.5K	-10.8K	-8.1K	-10.6K	-8.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	1.00	1.00	0.00
Total Volume	24.905	0	276	20	0
Total OI	1,482.476	1,432	1,504	1,490	1,460

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
2012-10-01	$47.25	$45.00	30.2%	8.7%	26.0%	11.3%	29.3%	0.6%	2.2%	44.2K	-565.8K	-10.6K	1.00	16.90	10	10	828	662
2012-10-02	$47.42	$50.00	30.8%	8.8%	25.7%	11.8%	0.0%	2.2%	2.7%	45.9K	-559.7K	-10.7K	0.00	17.17	0	0	819	672
2012-10-03	$48.13	$50.00	28.9%	8.3%	25.3%	10.0%	28.9%	1.9%	1.5%	50.8K	-833.4K	-10.7K	0.00	19.76	7	0	819	672
2012-10-04	$48.67	$50.00	27.9%	8.0%	25.5%	8.9%	27.9%	3.6%	3.0%	54.3K	-1.0M	-10.8K	0.00	22.35	5	0	821	672
2012-10-05	$48.57	$50.00	27.7%	8.7%	22.8%	8.8%	0.0%	3.3%	-0.5%	54.8K	-996.4K	-10.6K	0.00	29.73	0	0	821	672
2012-10-08	$48.39	$50.00	28.0%	8.9%	22.9%	9.1%	0.0%	3.6%	-0.5%	54.9K	-923.6K	-10.4K	0.00	32.18	0	0	821	672
2012-10-09	$47.00	$50.00	29.4%	9.5%	25.4%	26.6%	33.2%	4.9%	-0.6%	46.5K	-388.1K	-9.9K	0.00	32.27	0	2	821	672
2012-10-10	$46.59	$50.00	29.5%	9.4%	25.5%	26.8%	32.6%	3.0%	0.0%	42.8K	-209.6K	-9.5K	0.00	30.21	13	0	821	674
2012-10-11	$45.85	$50.00	32.4%	9.3%	26.0%	34.0%	0.0%	3.3%	0.6%	38.6K	49.5K	-9.2K	1.00	29.04	10	10	830	674
2012-10-12	$45.57	$50.00	32.4%	9.3%	25.8%	33.9%	0.0%	3.5%	0.4%	36.7K	161.1K	-8.8K	0.00	30.91	0	12	823	674
2012-10-15	$46.85	$50.00	34.2%	9.8%	27.7%	38.6%	0.0%	4.0%	-1.7%	41.6K	-278.4K	-9.0K	0.00	31.95	1	0	823	670
2012-10-16	$47.56	$50.00	31.2%	8.9%	27.5%	31.1%	0.0%	4.3%	-1.1%	45.4K	-525.3K	-9.3K	0.00	37.00	0	0	823	670
2012-10-17	$48.39	$50.00	31.7%	9.1%	26.4%	32.2%	0.0%	7.9%	-1.5%	54.3K	-839.5K	-9.3K	0.00	36.18	0	0	823	670
2012-10-18	$48.33	$50.00	31.6%	9.1%	26.4%	32.0%	0.0%	7.4%	-1.9%	53.8K	-811.5K	-9.3K	0.00	37.15	0	0	823	670
2012-10-19	$48.50	$50.00	33.3%	9.5%	23.4%	36.2%	33.3%	9.3%	-3.4%	55.7K	-869.6K	-9.1K	0.17	36.20	236	40	823	670
2012-10-22	$49.65	$50.00	29.1%	8.3%	25.1%	25.8%	29.2%	8.4%	-0.1%	62.6K	-1.3M	-8.9K	0.08	29.25	38	3	757	675
2012-10-23	$49.67	$50.00	28.0%	8.0%	24.4%	23.0%	28.8%	8.0%	0.3%	68.8K	-1.4M	-9.0K	0.00	28.78	15	0	780	675
2012-10-24	$50.21	$50.00	27.7%	7.9%	23.4%	22.4%	27.7%	9.9%	0.4%	75.3K	-1.6M	-8.8K	0.00	32.02	91	0	785	675
2012-10-25	$49.88	$50.00	27.4%	7.9%	23.5%	21.5%	0.0%	0.6%	0.8%	74.5K	-1.5M	-8.7K	0.00	39.35	0	0	785	675
2012-10-26	$49.74	$50.00	28.3%	8.1%	23.4%	23.8%	28.3%	0.4%	-0.3%	74.8K	-1.5M	-8.6K	0.00	52.48	0	20	785	675
2012-10-31	$50.05	$50.00	27.3%	7.8%	21.5%	21.2%	0.0%	2.1%	0.6%	82.6K	-1.6M	-8.1K	0.00	85.63	0	0	785	675