LII Options History — November 2012

In November 2012, LII traded between $48.43 and $52.59. ATM implied volatility averaged 26.3%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.7% (HV 20d: 23.6%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2012-11-05: Highest Volume — 64 contracts
2012-11-15: Largest IV spike — 48.9% change
2012-11-15: Highest IV Rank — 25.4%
2012-11-05: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.14	$48.43	$52.59	$51.95	$52.59
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	26.3%	19.4%	28.9%	28.1%	23.1%
Expected Move	7.9%	6.6%	8.5%	8.1%	6.6%
HV 20d	23.6%	19.5%	25.7%	24.8%	19.5%
HV 60d	23.0%	22.2%	23.7%	22.5%	23.3%
IV Rank	19.4%	1.7%	25.4%	23.4%	11.6%
IV Percentile	8.6%	0.8%	25.0%	14.3%	2.8%
Term Structure	1.7%	-0.1%	3.5%	0.1%	2.1%
VWIV	27.9%	24.0%	29.5%	28.0%	24.0%
Skew 25d	3.1%	-0.4%	11.3%	11.3%	2.6%
Skew 10d	3.6%	-3.6%	49.0%	49.0%	0.2%
Call IV 25d	25.7%	18.1%	29.2%	18.1%	23.4%
Put IV 25d	28.8%	25.0%	31.7%	29.4%	26.0%
Bid-Ask Spread %	27.00	12.32	50.08	43.03	14.77
Gamma HHI	0.76	0.64	0.84	0.74	0.84
Net GEX	101.3K	78.2K	125.7K	83.4K	119.4K
Net DEX	-2.1M	-2.9M	-698.8K	-2.4M	-2.9M
Net VEX	-6.0K	-7.4K	-3.7K	-7.2K	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.00	3.00	2.75	0.00
Total Volume	10.048	0	64	45	0
Total OI	1,435.333	1,356	1,499	1,460	1,369

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
2012-11-01	$51.95	$50.00	28.1%	8.1%	24.8%	23.4%	28.0%	11.3%	0.1%	83.4K	-2.4M	-7.2K	2.75	43.03	12	33	785	675
2012-11-02	$51.28	$50.00	28.3%	8.1%	25.2%	23.7%	0.0%	-0.4%	-0.1%	85.6K	-2.2M	-7.4K	0.00	50.08	0	0	784	682
2012-11-05	$52.09	$50.00	28.4%	8.5%	25.4%	24.1%	29.5%	3.4%	1.2%	83.3K	-2.5M	-6.9K	0.49	26.78	43	21	784	682
2012-11-06	$52.13	$50.00	28.3%	8.4%	25.4%	23.9%	26.8%	3.7%	1.1%	83.3K	-2.5M	-7.1K	0.00	27.64	1	0	801	693
2012-11-07	$51.62	$50.00	28.1%	8.4%	25.7%	23.2%	29.2%	3.5%	1.7%	87.9K	-2.4M	-7.0K	1.00	27.70	1	1	802	693
2012-11-08	$51.04	$50.00	27.2%	8.3%	23.4%	21.0%	29.1%	3.3%	1.7%	91.1K	-2.1M	-7.2K	0.00	27.67	0	10	803	694
2012-11-09	$50.30	$50.00	26.0%	8.2%	23.9%	18.1%	0.0%	3.3%	2.4%	93.6K	-1.8M	-7.4K	0.00	27.41	0	0	803	694
2012-11-12	$50.10	$50.00	27.2%	8.3%	22.9%	21.0%	0.0%	3.5%	1.7%	99.1K	-1.7M	-7.1K	0.00	29.08	2	0	803	694
2012-11-13	$50.14	$50.00	24.7%	8.3%	22.6%	14.8%	0.0%	2.9%	1.8%	103.8K	-1.7M	-7.0K	0.00	30.07	24	0	803	694
2012-11-14	$49.04	$50.00	19.4%	8.2%	22.9%	1.7%	28.4%	3.4%	2.5%	90.6K	-980.3K	-6.8K	3.00	30.07	1	3	797	694
2012-11-15	$48.43	$50.00	28.9%	8.3%	22.9%	25.4%	29.0%	2.6%	1.8%	78.2K	-698.8K	-6.7K	0.00	25.98	22	0	797	697
2012-11-16	$49.18	$50.00	27.1%	7.8%	22.7%	20.8%	27.2%	2.6%	3.5%	101.2K	-997.2K	-6.5K	0.00	30.49	0	11	802	697
2012-11-19	$50.33	$50.00	28.2%	8.1%	24.1%	23.5%	0.0%	3.7%	0.6%	103.7K	-1.7M	-6.1K	0.00	21.97	5	0	735	621
2012-11-20	$51.06	$50.00	27.8%	8.0%	24.5%	24.3%	0.0%	2.2%	0.4%	108.0K	-2.1M	-5.8K	0.00	22.70	0	0	740	621
2012-11-21	$51.40	$50.00	25.8%	7.4%	23.2%	18.9%	0.0%	2.9%	2.4%	117.8K	-2.3M	-5.4K	0.00	21.39	20	0	740	621
2012-11-23	$52.00	$50.00	26.2%	7.5%	23.5%	19.9%	0.0%	1.5%	1.6%	117.4K	-2.6M	-4.8K	0.00	28.16	0	0	747	621
2012-11-26	$52.23	$50.00	25.8%	7.4%	23.3%	19.0%	0.0%	2.2%	2.9%	119.8K	-2.7M	-4.3K	0.00	26.96	0	0	747	621
2012-11-27	$52.46	$50.00	25.4%	7.3%	23.1%	17.9%	24.0%	1.5%	3.0%	115.0K	-2.9M	-4.0K	0.00	12.32	1	0	747	621
2012-11-28	$52.05	$50.00	26.2%	7.5%	23.3%	20.0%	0.0%	1.9%	1.8%	125.7K	-2.7M	-4.4K	0.00	29.50	0	0	748	621
2012-11-29	$52.53	$50.00	23.0%	6.6%	23.4%	11.3%	0.0%	2.8%	1.8%	119.2K	-2.9M	-3.8K	0.00	13.27	0	0	748	621
2012-11-30	$52.59	$50.00	23.1%	6.6%	19.5%	11.6%	0.0%	2.6%	2.1%	119.4K	-2.9M	-3.7K	0.00	14.77	0	0	748	621