Cant find "Move Items Here" option in Max OS Lion? I found online that Mac OS Lion has option similar to "Cut" option of windows. I found one link which shows the option as : 

I am using OS Lion, but this option is not visible, even when I copy file/folder.

Am I missing something or any update?
There is a strong hint in the screen shot you posted: Hold down the Alt key. Then the option will appear in the menu.

Oh, and one big difference from Windows: On the Mac, the decision whether to move or copy is made in the second step, not the first: I.e., (1) select file(s), select copy, and (2) move to destination folder, select copy or move item here.