LII Options History — December 2012

In December 2012, LII traded between $50.93 and $53.84. ATM implied volatility averaged 27.6%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 8.8% (HV 20d: 18.7%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2012-12-11: Highest Volume — 602 contracts
2012-12-11: Largest IV spike — 13.8% change
2012-12-27: Highest IV Rank — 36.4%
2012-12-11: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.93	$50.93	$53.84	$51.81	$52.52
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	27.6%	25.5%	31.2%	26.3%	25.5%
Expected Move	7.9%	7.3%	8.5%	7.5%	7.3%
HV 20d	18.7%	17.0%	20.5%	19.6%	20.5%
HV 60d	22.3%	21.1%	23.2%	23.2%	21.6%
IV Rank	27.5%	18.2%	36.4%	20.2%	25.1%
IV Percentile	20.3%	4.4%	57.1%	7.1%	4.8%
Term Structure	1.9%	0.6%	2.9%	1.6%	2.6%
VWIV	27.7%	25.1%	29.4%	26.2%	28.3%
Skew 25d	3.3%	-4.7%	32.0%	0.8%	2.6%
Skew 10d	7.1%	-11.7%	72.7%	-1.8%	3.0%
Call IV 25d	25.2%	17.5%	29.2%	25.0%	25.6%
Put IV 25d	28.4%	23.8%	51.5%	25.8%	28.2%
Bid-Ask Spread %	71.82	14.42	93.46	14.42	47.55
Gamma HHI	0.81	0.56	0.97	0.86	0.62
Net GEX	130.4K	31.9K	377.5K	140.5K	37.2K
Net DEX	-3.0M	-5.5M	-797.5K	-2.7M	-906.4K
Net VEX	-3.9K	-6.3K	-2.7K	-4.0K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.05	0.00	0.00
Total Volume	62.3	0	602	50	6
Total OI	1,329.55	365	1,895	1,369	389

Daily Data (20 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
2012-12-03	$51.81	$50.00	26.3%	7.5%	19.6%	20.2%	26.2%	0.8%	1.6%	140.5K	-2.7M	-4.0K	0.00	14.42	0	50	748	621
2012-12-04	$52.16	$50.00	26.3%	7.5%	19.0%	20.2%	0.0%	1.6%	2.4%	119.3K	-2.8M	-3.6K	0.00	91.54	0	0	748	671
2012-12-05	$51.56	$50.00	25.5%	7.3%	19.4%	18.2%	0.0%	7.9%	2.3%	138.4K	-2.5M	-3.9K	0.00	76.42	0	0	748	671
2012-12-06	$51.07	$50.00	26.1%	7.5%	19.4%	19.7%	0.0%	32.0%	1.2%	160.8K	-2.2M	-4.0K	0.00	76.08	0	0	748	671
2012-12-07	$51.08	$50.00	26.3%	8.1%	19.0%	20.2%	27.9%	3.1%	2.8%	155.7K	-2.2M	-3.9K	0.00	84.63	215	0	748	671
2012-12-10	$51.64	$50.00	27.5%	8.3%	18.5%	23.3%	0.0%	5.1%	2.3%	186.7K	-3.1M	-5.5K	0.00	86.13	10	0	942	671
2012-12-11	$50.99	$50.00	31.2%	8.5%	19.1%	33.5%	29.4%	-3.8%	0.9%	183.3K	-2.7M	-5.7K	0.00	87.70	602	0	942	671
2012-12-12	$51.52	$50.00	28.5%	8.4%	19.4%	26.3%	0.0%	-2.1%	1.4%	295.9K	-4.1M	-6.3K	0.00	88.98	0	0	1,224	671
2012-12-13	$51.32	$50.00	29.0%	8.3%	17.4%	27.6%	0.0%	-2.6%	1.9%	305.4K	-4.0M	-5.7K	0.00	90.00	55	0	1,152	671
2012-12-14	$50.93	$50.00	29.1%	8.4%	17.0%	27.9%	0.0%	-4.7%	2.1%	377.5K	-3.7M	-5.7K	0.00	91.80	275	0	1,152	671
2012-12-17	$52.15	$50.00	29.4%	8.4%	18.0%	28.6%	0.0%	2.4%	1.9%	161.7K	-4.9M	-3.6K	0.00	92.53	0	0	1,105	671
2012-12-18	$53.37	$50.00	25.9%	7.4%	18.0%	26.3%	0.0%	4.9%	2.1%	46.7K	-5.4M	-2.8K	0.00	93.46	1	0	1,105	671
2012-12-19	$53.84	$50.00	26.0%	7.4%	17.7%	26.7%	0.0%	8.1%	2.9%	35.8K	-5.5M	-2.7K	0.00	79.53	0	0	1,104	671
2012-12-20	$53.14	$50.00	26.4%	7.6%	18.4%	28.3%	28.0%	2.8%	1.8%	52.1K	-5.3M	-2.8K	0.00	56.90	3	0	1,104	671
2012-12-21	$52.41	$50.00	28.5%	8.2%	18.8%	36.0%	0.0%	2.5%	2.4%	72.4K	-5.2M	-2.9K	0.00	55.23	2	0	1,107	671
2012-12-24	$52.36	$50.00	28.3%	8.1%	18.8%	35.5%	29.2%	3.2%	0.6%	31.9K	-869.0K	-2.8K	0.00	42.30	3	0	263	105
2012-12-26	$51.72	$50.00	28.1%	8.0%	19.2%	34.4%	0.0%	0.6%	2.1%	33.1K	-822.0K	-2.8K	0.05	90.31	22	1	260	105
2012-12-27	$51.67	$50.00	28.6%	8.2%	19.0%	36.4%	25.1%	1.6%	1.0%	36.9K	-825.7K	-2.9K	0.00	46.01	1	0	282	106
2012-12-28	$51.38	$50.00	28.5%	8.2%	18.7%	36.2%	0.0%	-0.3%	1.6%	37.0K	-797.5K	-3.0K	0.00	45.01	0	0	283	106
2012-12-31	$52.52	$50.00	25.5%	7.3%	20.5%	25.1%	28.3%	2.6%	2.6%	37.2K	-906.4K	-2.8K	0.00	47.55	6	0	283	106