LII Options History — March 2013

In March 2013, LII traded between $58.54 and $65.34. ATM implied volatility averaged 21.4%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.4% (HV 20d: 21.0%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 10.67.

Notable Days

2013-03-28: Highest Volume — 218 contracts
2013-03-13: Largest IV spike — 32.2% change
2013-03-04: Highest IV Rank — 22.5%
2013-03-06: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.65	$58.54	$65.34	$58.54	$63.49
Max Pain	$58.50	$55.00	$60.00	$60.00	$60.00
ATM IV	21.4%	16.4%	24.8%	24.5%	20.9%
Expected Move	6.5%	5.6%	7.1%	7.0%	6.0%
HV 20d	21.0%	18.7%	22.8%	18.7%	19.3%
HV 60d	20.1%	19.5%	20.8%	19.8%	19.5%
IV Rank	15.0%	0.0%	22.5%	21.1%	15.3%
IV Percentile	3.7%	0.0%	9.9%	7.9%	3.6%
Term Structure	1.5%	-0.1%	3.5%	0.6%	2.3%
VWIV	23.0%	22.0%	23.3%	23.3%	23.3%
Skew 25d	3.9%	1.9%	5.5%	3.2%	3.6%
Skew 10d	8.4%	3.5%	21.4%	6.3%	5.7%
Call IV 25d	20.3%	17.7%	23.5%	23.2%	19.3%
Put IV 25d	24.2%	22.4%	27.3%	26.4%	22.9%
Bid-Ask Spread %	84.09	37.09	91.02	90.39	91.02
Gamma HHI	0.64	0.46	0.80	0.60	0.63
Net GEX	33.6K	-95.3K	349.2K	-95.3K	52.4K
Net DEX	-1.8M	-2.9M	-45.9K	-45.9K	-1.6M
Net VEX	-5.9K	-8.0K	-4.6K	-6.5K	-5.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	10.67	0.00	115.00	0.00	0.00
Total Volume	27.85	0	218	0	218
Total OI	1,249.05	524	1,866	1,726	573

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
2013-03-01	$58.54	$60.00	24.5%	7.0%	18.7%	21.1%	0.0%	3.2%	0.6%	-95.3K	-45.9K	-6.5K	0.00	90.39	0	0	1,113	613
2013-03-04	$60.50	$55.00	24.8%	7.1%	21.9%	22.5%	23.3%	3.8%	0.8%	-91.5K	-1.1M	-6.6K	0.00	79.65	47	0	1,113	613
2013-03-05	$61.15	$55.00	24.0%	7.1%	22.1%	19.3%	0.0%	3.6%	0.7%	-57.5K	-1.7M	-6.4K	115.00	81.79	1	115	1,146	613
2013-03-06	$61.21	$55.00	24.5%	7.1%	21.3%	21.4%	0.0%	3.5%	0.5%	-51.3K	-1.5M	-8.0K	0.04	82.18	25	1	1,145	698
2013-03-07	$61.39	$55.00	23.4%	7.0%	21.0%	17.1%	0.0%	3.0%	0.2%	-43.8K	-1.7M	-7.5K	0.00	82.46	0	20	1,150	699
2013-03-08	$61.86	$55.00	19.8%	7.0%	21.0%	3.8%	0.0%	3.4%	-0.1%	16.3K	-2.0M	-7.5K	0.00	82.70	0	0	1,150	714
2013-03-11	$62.25	$55.00	17.4%	6.8%	21.0%	0.0%	23.3%	3.5%	0.6%	1.8K	-2.4M	-5.9K	1.00	84.43	2	2	1,150	714
2013-03-12	$61.72	$60.00	16.4%	6.8%	21.4%	0.0%	0.0%	2.9%	0.7%	-90.1K	-2.2M	-5.9K	0.00	84.04	0	2	1,150	716
2013-03-13	$62.47	$60.00	21.6%	6.8%	21.2%	17.9%	0.0%	4.0%	0.4%	132.6K	-2.5M	-6.8K	0.00	37.09	0	0	1,150	716
2013-03-14	$63.47	$60.00	21.4%	6.1%	21.7%	17.2%	0.0%	5.3%	1.7%	349.2K	-2.9M	-5.5K	0.00	88.14	0	12	1,150	716
2013-03-15	$63.41	$60.00	21.7%	6.2%	21.3%	18.0%	22.0%	4.8%	1.7%	195.1K	-2.7M	-5.2K	1.33	87.99	15	20	1,150	716
2013-03-18	$63.70	$60.00	22.0%	6.3%	21.3%	19.2%	0.0%	5.0%	1.4%	42.0K	-1.5M	-5.2K	0.00	88.67	0	0	379	145
2013-03-19	$63.90	$60.00	21.7%	6.2%	21.0%	18.3%	0.0%	5.5%	1.7%	41.9K	-1.6M	-5.1K	0.00	88.86	1	0	379	145
2013-03-20	$65.34	$60.00	21.3%	6.1%	20.3%	16.7%	23.3%	1.9%	2.0%	33.1K	-1.8M	-4.6K	0.00	84.01	26	0	379	145
2013-03-21	$63.77	$60.00	21.3%	6.1%	22.8%	16.7%	0.0%	4.3%	2.4%	44.8K	-1.6M	-5.0K	0.00	89.60	10	0	390	145
2013-03-22	$63.74	$60.00	20.9%	6.0%	22.8%	15.4%	0.0%	4.5%	2.6%	45.8K	-1.6M	-5.1K	0.00	88.80	10	0	400	145
2013-03-25	$63.81	$60.00	21.1%	6.0%	20.5%	16.0%	0.0%	4.4%	2.7%	47.0K	-1.6M	-5.1K	0.00	89.45	0	0	410	145
2013-03-26	$63.91	$60.00	19.6%	5.6%	20.4%	11.1%	0.0%	4.8%	3.5%	47.7K	-1.6M	-5.0K	0.00	89.61	20	0	398	145
2013-03-27	$63.38	$60.00	20.4%	5.9%	19.3%	13.8%	0.0%	3.3%	2.7%	51.7K	-1.6M	-5.3K	0.00	90.84	10	0	418	145
2013-03-28	$63.49	$60.00	20.9%	6.0%	19.3%	15.3%	0.0%	3.6%	2.3%	52.4K	-1.6M	-5.4K	0.00	91.02	0	218	428	145