LII Options History — February 2013

In February 2013, LII traded between $56.86 and $59.82. ATM implied volatility averaged 26.0%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 8.2% (HV 20d: 17.8%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 10.01.

Notable Days

2013-02-15: Highest Volume — 612 contracts
2013-02-05: Largest IV drop — 29.5% change
2013-02-04: Highest IV Rank — 65.0%
2013-02-04: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.48	$56.86	$59.82	$57.56	$59.07
Max Pain	$50.53	$50.00	$60.00	$50.00	$60.00
ATM IV	26.0%	24.1%	36.3%	29.7%	25.1%
Expected Move	7.2%	6.9%	8.2%	7.3%	7.2%
HV 20d	17.8%	15.1%	20.6%	17.8%	19.2%
HV 60d	19.3%	18.3%	20.1%	19.9%	20.0%
IV Rank	26.8%	19.8%	65.0%	40.5%	23.6%
IV Percentile	16.0%	4.4%	95.6%	50.0%	9.9%
Term Structure	0.1%	-2.0%	1.3%	1.3%	0.3%
VWIV	25.4%	24.1%	30.6%	30.6%	25.1%
Skew 25d	3.3%	-3.3%	7.8%	6.3%	-3.3%
Skew 10d	3.3%	-5.6%	16.3%	14.4%	-2.1%
Call IV 25d	23.5%	19.0%	27.3%	22.1%	22.3%
Put IV 25d	26.8%	19.1%	30.7%	28.4%	19.1%
Bid-Ask Spread %	81.23	69.51	96.06	77.17	96.06
Gamma HHI	0.63	0.35	0.96	0.70	0.40
Net GEX	190.2K	9.1K	534.3K	136.1K	9.1K
Net DEX	-1.7M	-2.5M	-1.1M	-1.5M	-1.1M
Net VEX	-5.1K	-6.1K	-4.0K	-4.1K	-6.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	10.01	0.00	100.00	1.37	100.00
Total Volume	85.789	0	612	0	200
Total OI	1,264.842	955	1,526	955	1,526

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
2013-02-01	$57.56	$50.00	29.7%	7.3%	17.8%	40.5%	0.0%	6.3%	1.3%	136.1K	-1.5M	-4.1K	0.00	77.17	0	0	710	245
2013-02-04	$57.69	$50.00	36.3%	8.2%	17.8%	65.0%	30.6%	7.8%	-2.0%	131.7K	-1.6M	-4.0K	1.37	75.85	122	167	710	245
2013-02-05	$58.80	$50.00	25.6%	7.1%	18.3%	25.3%	0.0%	3.9%	0.3%	170.2K	-1.8M	-5.7K	0.00	70.04	40	0	832	412
2013-02-06	$58.42	$50.00	26.3%	7.1%	18.5%	27.8%	0.0%	2.7%	0.3%	163.2K	-1.7M	-6.0K	0.15	83.50	13	2	872	412
2013-02-07	$58.24	$50.00	24.4%	7.0%	18.6%	20.9%	0.0%	5.9%	0.6%	157.1K	-1.6M	-5.8K	0.00	79.49	0	0	872	414
2013-02-08	$58.53	$50.00	24.3%	7.0%	18.5%	20.6%	24.4%	6.7%	0.5%	196.1K	-1.6M	-5.5K	0.27	72.60	11	3	872	414
2013-02-11	$58.50	$50.00	24.6%	7.1%	18.5%	21.8%	0.0%	2.2%	0.4%	213.2K	-1.6M	-5.1K	0.00	82.85	3	0	883	411
2013-02-12	$59.38	$50.00	24.1%	6.9%	19.0%	19.8%	24.1%	1.7%	0.7%	320.1K	-2.2M	-5.1K	0.00	81.71	4	0	883	411
2013-02-13	$59.82	$50.00	24.3%	7.0%	18.9%	20.6%	24.3%	1.8%	0.3%	519.9K	-2.5M	-5.0K	33.33	82.64	3	100	883	411
2013-02-14	$59.30	$50.00	24.2%	6.9%	18.1%	20.1%	24.2%	6.5%	1.3%	510.3K	-1.8M	-4.4K	5.00	86.84	3	15	886	371
2013-02-15	$59.37	$50.00	26.3%	7.6%	15.1%	28.1%	25.1%	2.9%	-0.8%	534.3K	-1.6M	-4.3K	0.00	82.00	611	1	886	386
2013-02-19	$59.00	$50.00	24.4%	7.0%	15.1%	20.9%	24.4%	2.4%	0.3%	86.3K	-1.6M	-5.0K	0.07	81.41	91	6	999	207
2013-02-20	$57.97	$50.00	26.0%	7.5%	16.4%	26.9%	0.0%	0.4%	-0.9%	84.6K	-1.6M	-5.5K	0.00	80.98	2	0	1,086	213
2013-02-21	$57.79	$50.00	25.5%	7.3%	16.0%	25.1%	27.8%	3.6%	-0.7%	77.4K	-1.5M	-5.4K	0.00	86.29	1	0	1,088	213
2013-02-22	$58.18	$50.00	24.4%	7.0%	15.9%	21.0%	24.5%	4.7%	0.0%	78.8K	-1.6M	-5.2K	0.00	87.13	30	0	1,088	213
2013-02-25	$56.86	$50.00	27.8%	8.0%	17.8%	33.5%	0.0%	-0.2%	0.2%	63.0K	-1.3M	-4.8K	0.00	89.46	0	0	1,113	213
2013-02-26	$57.56	$50.00	25.5%	7.3%	18.3%	24.9%	0.0%	1.1%	-0.5%	66.8K	-1.4M	-4.8K	0.00	69.51	0	0	1,113	213
2013-02-27	$59.10	$50.00	24.6%	7.1%	20.6%	21.7%	24.6%	5.5%	0.5%	96.0K	-1.8M	-5.1K	100.00	77.85	2	200	1,113	213
2013-02-28	$59.07	$60.00	25.1%	7.2%	19.2%	23.6%	25.1%	-3.3%	0.3%	9.1K	-1.1M	-6.1K	0.00	96.06	0	200	1,113	413