LTPZ Options History — May 2013

In May 2013, LTPZ traded between $65.42 and $72.43. ATM implied volatility averaged 10.8%. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 1.1% (HV 20d: 11.8%). Max pain ranged from $68.00 to $68.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-05-17: Highest Volume — 8 contracts
  • 2013-05-23: Largest IV spike — 201.7% change
  • 2013-05-23: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.67$65.42$72.43$72.43$65.42
Max Pain$68.00$68.00$68.00$68.00$68.00
ATM IV10.8%6.9%31.3%10.0%12.8%
Expected Move3.3%2.8%9.0%2.9%3.7%
HV 20d11.8%10.3%13.7%10.6%13.4%
Term Structure0.5%-8.6%1.6%0.7%-0.1%
VWIV22.0%10.4%33.6%10.4%33.6%
Skew 25d0.4%-4.8%2.4%2.4%0.8%
Skew 10d1.4%-13.4%5.3%1.5%5.3%
Call IV 25d11.6%7.9%43.3%7.9%12.1%
Put IV 25d12.0%9.6%38.6%10.3%12.9%
Bid-Ask Spread %49.0428.13157.4443.8532.68
Gamma HHI0.640.571.001.000.60
Net GEX1.2K03.2K02.3K
Net DEX-9.4K-30.1K00-16.1K
Net VEX-64-17200-139
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.4550800
Total OI3.7270909

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$72.43$0.0010.0%2.9%0.0%0.0%0.0%2.4%0.7%0000.0043.850000
2013-05-02$72.29$0.009.8%2.8%0.0%0.0%0.0%1.6%0.8%0000.0042.450000
2013-05-03$70.77$0.009.7%2.8%0.0%0.0%0.0%0.1%0.6%0000.0028.130000
2013-05-06$70.64$0.009.7%3.0%0.0%0.0%0.0%0.2%1.5%0000.0048.710000
2013-05-07$70.43$0.0010.2%3.0%0.0%0.0%0.0%0.3%1.4%0000.0041.060000
2013-05-08$69.99$0.009.7%3.0%0.0%0.0%0.0%0.1%1.5%0000.0072.510000
2013-05-09$69.96$0.009.9%3.0%0.0%0.0%0.0%0.7%1.4%0000.0049.840000
2013-05-10$69.51$0.007.8%3.0%0.0%0.0%0.0%0.7%1.5%0000.0051.890000
2013-05-13$69.13$0.009.1%3.0%0.0%0.0%0.0%0.3%1.5%0000.0046.680000
2013-05-14$68.38$0.006.9%3.0%10.6%0.0%0.0%0.4%1.4%0000.0046.930000
2013-05-15$68.44$0.007.2%3.0%10.3%0.0%0.0%0.4%1.6%0000.0040.920000
2013-05-16$68.91$0.0010.5%3.0%10.7%0.0%10.4%0.5%1.3%0000.0049.661000
2013-05-17$68.24$68.0010.5%3.0%10.8%0.0%0.0%0.1%1.3%837-3.7K-80.0045.248010
2013-05-20$68.04$68.0010.5%3.0%10.5%0.0%0.0%0.1%0.2%3.1K-28.4K-1720.0041.570090
2013-05-21$68.45$68.0010.8%3.1%10.7%0.0%0.0%1.1%0.3%3.2K-30.1K-1710.0043.340090
2013-05-22$67.12$68.0010.4%3.0%12.1%0.0%0.0%0.7%0.6%3.0K-23.4K-1620.0038.830090
2013-05-23$67.18$68.0031.3%9.0%12.1%0.0%33.6%-4.8%-8.6%2.4K-26.4K-1660.00157.441090
2013-05-24$67.56$68.0010.2%2.9%12.0%0.0%0.0%0.5%0.8%3.2K-25.1K-1650.0043.810090
2013-05-28$66.12$68.0010.1%2.9%13.6%0.0%0.0%-0.5%0.6%2.6K-18.3K-1440.0039.010090
2013-05-29$66.20$68.009.7%2.8%13.7%0.0%0.0%2.4%1.0%2.8K-18.6K-1460.0039.630090
2013-05-30$65.57$68.0010.3%2.9%13.5%0.0%0.0%0.4%0.7%2.3K-16.1K-1380.0034.660090
2013-05-31$65.42$68.0012.8%3.7%13.4%0.0%0.0%0.8%-0.1%2.3K-16.1K-1390.0032.680090