LII Options History — January 2013

In January 2013, LII traded between $54.29 and $57.70. ATM implied volatility averaged 27.3%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 5.6% (HV 20d: 21.6%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.43.

Notable Days

2013-01-30: Highest Volume — 455 contracts
2013-01-10: Largest IV spike — 30.4% change
2013-01-30: Highest IV Rank — 44.7%
2013-01-30: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.85	$54.29	$57.70	$54.46	$57.51
Max Pain	$51.43	$50.00	$55.00	$50.00	$55.00
ATM IV	27.3%	22.2%	30.8%	23.6%	26.5%
Expected Move	8.1%	6.8%	8.8%	6.8%	7.6%
HV 20d	21.6%	17.8%	23.4%	23.4%	17.8%
HV 60d	21.2%	20.1%	22.5%	22.5%	20.1%
IV Rank	31.5%	12.7%	44.7%	17.8%	28.8%
IV Percentile	26.4%	2.4%	59.5%	3.2%	13.1%
Term Structure	-0.9%	-2.6%	5.5%	5.5%	-2.0%
VWIV	28.6%	24.7%	31.2%	24.7%	28.7%
Skew 25d	2.5%	-1.1%	8.5%	-1.1%	4.4%
Skew 10d	4.2%	-2.6%	13.4%	-0.4%	4.1%
Call IV 25d	26.3%	21.2%	29.1%	21.2%	28.0%
Put IV 25d	28.7%	20.1%	32.4%	20.1%	32.4%
Bid-Ask Spread %	71.89	38.72	90.72	38.72	53.61
Gamma HHI	0.45	0.36	0.68	0.58	0.68
Net GEX	32.1K	-7.5K	130.4K	32.8K	130.4K
Net DEX	-1.1M	-1.4M	-703.2K	-1.1M	-1.4M
Net VEX	-2.5K	-4.2K	-2.0K	-2.5K	-4.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.43	0.00	12.50	0.00	0.00
Total Volume	31.286	0	455	1	0
Total OI	449.571	357	955	389	955

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
2013-01-02	$54.46	$50.00	23.6%	6.8%	23.4%	17.8%	0.0%	-1.1%	5.5%	32.8K	-1.1M	-2.5K	0.00	38.72	0	1	283	106
2013-01-03	$54.46	$50.00	24.8%	7.1%	23.3%	22.2%	24.7%	-0.9%	2.4%	32.5K	-1.1M	-2.5K	0.00	40.45	31	0	283	106
2013-01-04	$54.72	$50.00	24.2%	8.2%	22.8%	20.2%	0.0%	4.0%	-0.2%	38.1K	-1.2M	-2.8K	0.00	58.76	0	0	314	106
2013-01-07	$54.29	$50.00	24.2%	8.2%	22.7%	20.2%	0.0%	4.3%	-1.1%	38.8K	-1.2M	-2.7K	0.00	84.09	0	0	314	106
2013-01-08	$54.83	$50.00	23.4%	8.2%	22.8%	17.4%	0.0%	2.8%	-0.5%	38.0K	-1.2M	-2.5K	0.00	82.31	0	0	314	106
2013-01-09	$55.19	$50.00	22.2%	8.2%	22.6%	12.7%	0.0%	2.0%	-1.7%	36.9K	-1.3M	-2.5K	0.00	87.61	0	0	314	106
2013-01-10	$55.06	$50.00	28.9%	8.3%	22.0%	37.7%	0.0%	2.3%	-0.7%	36.7K	-1.3M	-2.4K	0.00	84.58	0	0	314	106
2013-01-11	$55.12	$50.00	28.6%	8.2%	21.8%	36.4%	0.0%	3.0%	-2.0%	38.4K	-1.3M	-2.4K	0.00	88.81	0	0	314	106
2013-01-14	$55.30	$50.00	29.8%	8.5%	21.7%	40.8%	0.0%	3.7%	-2.6%	41.0K	-1.3M	-2.3K	0.00	83.91	0	0	314	106
2013-01-15	$55.16	$50.00	28.4%	8.1%	21.4%	35.7%	0.0%	3.4%	-1.4%	41.4K	-1.3M	-2.3K	0.00	90.72	2	0	314	106
2013-01-16	$54.30	$50.00	28.6%	8.2%	21.1%	36.5%	0.0%	8.5%	-1.4%	41.9K	-1.2M	-2.4K	0.00	90.72	0	0	315	106
2013-01-17	$56.02	$50.00	28.7%	8.2%	22.4%	36.8%	0.0%	4.5%	-1.0%	38.3K	-1.4M	-2.2K	0.00	56.81	1	0	315	106
2013-01-18	$56.63	$50.00	28.0%	8.0%	22.5%	34.2%	0.0%	0.0%	-0.1%	31.6K	-1.4M	-2.1K	0.00	71.25	0	0	315	106
2013-01-22	$56.25	$50.00	28.7%	8.2%	22.0%	36.9%	28.7%	-0.8%	-0.7%	29.8K	-1.0M	-2.1K	0.00	90.33	1	0	251	106
2013-01-23	$56.88	$50.00	29.2%	8.4%	21.2%	38.7%	29.5%	-0.7%	-0.8%	29.1K	-1.1M	-2.0K	4.54	89.66	13	59	252	106
2013-01-24	$57.43	$55.00	30.0%	8.6%	21.2%	41.6%	28.5%	3.0%	-2.3%	15.4K	-1.1M	-2.2K	12.50	57.63	4	50	255	155
2013-01-25	$57.70	$55.00	26.8%	7.7%	20.3%	29.7%	31.2%	5.2%	-1.1%	3.9K	-893.3K	-2.5K	0.00	67.26	0	40	255	205
2013-01-28	$57.39	$55.00	29.8%	8.5%	20.5%	40.9%	0.0%	2.2%	-2.3%	-6.8K	-816.8K	-2.6K	0.00	67.19	0	0	255	245
2013-01-29	$57.57	$55.00	27.4%	7.9%	20.1%	31.9%	0.0%	2.9%	-1.5%	-7.0K	-823.0K	-2.6K	0.00	59.59	0	0	255	245
2013-01-30	$56.52	$55.00	30.8%	8.8%	20.9%	44.7%	28.7%	-0.5%	-2.5%	-7.5K	-703.2K	-2.6K	0.00	65.59	455	0	255	245
2013-01-31	$57.51	$55.00	26.5%	7.6%	17.8%	28.8%	0.0%	4.4%	-2.0%	130.4K	-1.4M	-4.2K	0.00	53.61	0	0	710	245