LTPZ Options History — June 2013 In June 2013, LTPZ traded between $58.71 and $65.62. ATM implied volatility averaged 18.3%. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.6% (HV 20d: 15.7%). Max pain ranged from $59.00 to $68.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-06-05 : Highest Volume — 5 contracts2013-06-10 : Largest IV spike — 323.4% change2013-06-18 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $62.14 $58.71 $65.62 $65.62 $60.98 Max Pain $63.50 $59.00 $68.00 $68.00 $59.00 ATM IV 18.3% 12.7% 54.9% 12.7% 15.3% Expected Move 4.9% 3.6% 9.7% 3.6% 4.4% HV 20d 15.7% 12.3% 19.8% 12.3% 19.8% HV 60d 15.7% 15.3% 16.0% 15.3% 15.9% Term Structure -1.5% -14.5% 0.5% -0.0% 0.2% VWIV 19.3% 19.3% 19.3% 19.3% 19.3% Skew 25d 1.0% -3.8% 3.2% 1.0% 1.3% Skew 10d 4.5% -12.9% 10.9% 5.2% 6.8% Call IV 25d 18.0% 11.7% 46.6% 12.1% 14.9% Put IV 25d 18.9% 12.9% 42.9% 13.1% 16.2% Bid-Ask Spread % 57.16 23.47 168.55 34.40 47.35 Gamma HHI 0.63 0.41 0.72 0.60 0.42 Net GEX 1.8K 220 3.3K 2.4K 851 Net DEX -13.9K -25.8K -2.9K -16.4K -9.7K Net VEX -145 -211 -88 -137 -137 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.35 0 5 0 0 Total OI 13.4 9 15 9 15
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 2013-06-03 $65.62 $68.00 12.7% 3.6% 12.3% 0.0% 0.0% 1.0% -0.0% 2.4K -16.4K -137 0.00 34.40 0 0 9 0 2013-06-04 $64.96 $68.00 12.8% 3.7% 12.4% 0.0% 0.0% 0.3% 0.0% 2.1K -14.2K -128 0.00 23.47 0 0 9 0 2013-06-05 $65.17 $68.00 13.7% 3.9% 12.7% 0.0% 0.0% 1.2% -0.2% 2.1K -15.8K -136 0.00 27.46 5 0 9 0 2013-06-06 $65.07 $68.00 13.8% 3.9% 12.7% 0.0% 0.0% 2.7% 0.0% 3.3K -25.8K -211 0.00 37.30 0 0 14 0 2013-06-07 $64.07 $0.00 13.0% 3.9% 13.3% 0.0% 0.0% 3.2% 0.5% 2.8K -22.0K -197 0.00 50.80 0 0 14 0 2013-06-10 $63.03 $0.00 54.9% 8.6% 14.0% 0.0% 0.0% -2.3% -11.2% 2.4K -22.6K -196 0.00 168.55 0 0 14 0 2013-06-11 $63.10 $0.00 16.0% 4.6% 14.1% 0.0% 0.0% 2.9% -0.3% 2.3K -17.6K -177 0.00 37.79 0 0 14 0 2013-06-12 $62.08 $0.00 15.5% 4.4% 14.6% 0.0% 0.0% 2.1% -0.3% 2.0K -13.2K -145 0.00 48.89 0 0 14 0 2013-06-13 $63.03 $0.00 15.4% 4.4% 16.1% 0.0% 0.0% 2.3% -0.2% 2.3K -18.6K -181 0.00 56.49 0 0 14 0 2013-06-14 $62.71 $0.00 15.4% 4.4% 15.6% 0.0% 0.0% 1.8% -0.1% 2.2K -16.9K -165 0.00 48.63 0 0 14 0 2013-06-17 $62.10 $0.00 15.2% 4.4% 15.6% 0.0% 0.0% 1.5% -0.1% 2.0K -15.5K -161 0.00 59.58 0 0 14 0 2013-06-18 $62.62 $0.00 33.7% 9.7% 16.3% 0.0% 0.0% -3.8% -14.5% 2.2K -21.2K -179 0.00 166.72 0 0 14 0 2013-06-19 $61.32 $0.00 15.4% 4.4% 16.8% 0.0% 0.0% 0.9% -0.1% 1.7K -10.7K -128 0.00 44.81 0 0 14 0 2013-06-20 $59.79 $0.00 16.2% 4.6% 17.6% 0.0% 0.0% -0.1% -0.2% 1.3K -7.2K -88 0.00 41.13 0 0 14 0 2013-06-21 $58.71 $0.00 18.2% 5.2% 17.9% 0.0% 0.0% 0.1% -0.7% 1.1K -7.3K -89 0.00 42.36 0 0 14 0 2013-06-24 $58.78 $0.00 19.4% 5.6% 17.6% 0.0% 19.3% 0.6% -1.7% 1.1K -7.2K -88 0.00 44.68 0 2 13 0 2013-06-25 $59.07 $59.00 18.0% 5.2% 17.2% 0.0% 0.0% 1.5% -0.8% 220 -2.9K -113 0.00 51.07 0 0 13 2 2013-06-26 $59.77 $59.00 16.6% 4.8% 18.1% 0.0% 0.0% 0.5% 0.4% 340 -5.7K -126 0.00 57.48 0 0 13 2 2013-06-27 $60.84 $59.00 15.2% 4.4% 19.7% 0.0% 0.0% 2.0% -0.1% 667 -7.0K -121 0.00 54.32 0 0 13 2 2013-06-28 $60.98 $59.00 15.3% 4.4% 19.8% 0.0% 0.0% 1.3% 0.2% 851 -9.7K -137 0.00 47.35 0 0 13 2
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