LTPZ Options History — July 2013 In July 2013, LTPZ traded between $59.19 and $61.65. ATM implied volatility averaged 15.3%. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 5.1% (HV 20d: 20.4%). Max pain ranged from $59.00 to $62.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2013-07-12 : Highest Volume — 3 contracts2013-07-08 : Largest IV spike — 13.9% change2013-07-10 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $60.55 $59.19 $61.65 $61.16 $60.92 Max Pain $61.10 $59.00 $62.00 $59.00 $62.00 ATM IV 15.3% 14.5% 16.7% 15.2% 14.9% Expected Move 4.4% 4.1% 4.6% 4.3% 4.3% HV 20d 20.4% 18.2% 22.9% 19.8% 18.5% HV 60d 16.8% 15.6% 17.4% 15.8% 17.2% Term Structure 0.0% -0.7% 0.6% 0.6% 0.2% VWIV 14.7% 14.7% 14.7% 14.7% 14.7% Skew 25d 1.4% 0.5% 3.0% 1.2% 3.0% Skew 10d 4.1% 0.8% 9.4% 3.6% 3.1% Call IV 25d 14.8% 12.7% 16.2% 15.0% 12.7% Put IV 25d 16.3% 15.1% 17.6% 16.2% 15.8% Bid-Ask Spread % 57.16 38.74 76.35 48.00 50.69 Gamma HHI 0.40 0.31 0.49 0.43 0.32 Net GEX 1.0K -719 2.5K 944 1.4K Net DEX -7.9K -16.0K -10 -10.3K -8.0K Net VEX -117 -157 -77 -134 -130 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 0.182 0 3 0 0 Total OI 16.364 15 18 15 17
Daily Data (22 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 2013-07-01 $61.16 $59.00 15.2% 4.3% 19.8% 0.0% 0.0% 1.2% 0.6% 944 -10.3K -134 0.00 48.00 0 0 13 2 2013-07-02 $61.60 $59.00 14.5% 4.1% 20.0% 0.0% 0.0% 1.2% 0.4% 1.2K -10.0K -130 0.00 38.74 0 0 13 2 2013-07-03 $61.17 $59.00 14.7% 4.2% 20.0% 0.0% 0.0% 0.8% 0.0% 898 -8.6K -116 0.00 42.73 0 0 13 2 2013-07-05 $59.19 $0.00 14.6% 4.3% 22.6% 0.0% 0.0% 1.6% 0.1% -552 -10 -78 0.00 66.77 0 0 13 2 2013-07-08 $59.86 $0.00 16.7% 4.6% 22.9% 0.0% 0.0% 1.4% -0.7% -114 -3.1K -91 0.00 59.19 0 0 13 2 2013-07-09 $59.76 $0.00 15.8% 4.6% 22.3% 0.0% 0.0% 1.5% -0.4% -257 -2.2K -79 0.00 75.92 0 0 13 2 2013-07-10 $59.24 $0.00 16.1% 4.6% 22.4% 0.0% 0.0% 1.9% -0.4% -719 -341 -79 0.00 68.37 0 0 13 2 2013-07-11 $59.84 $0.00 15.7% 4.5% 22.3% 0.0% 0.0% 1.7% 0.1% -333 -3.0K -77 0.00 76.35 0 0 13 2 2013-07-12 $59.91 $0.00 15.6% 4.5% 21.4% 0.0% 0.0% 1.6% 0.1% -315 -3.9K -88 0.00 65.54 3 0 13 2 2013-07-15 $60.54 $0.00 15.5% 4.4% 21.9% 0.0% 0.0% 1.8% 0.1% 1.1K -12.1K -133 0.00 54.19 0 0 16 2 2013-07-16 $61.08 $0.00 15.4% 4.4% 22.0% 0.0% 0.0% 1.3% 0.2% 2.3K -14.2K -146 0.00 52.64 0 0 16 2 2013-07-17 $61.22 $0.00 15.6% 4.5% 21.7% 0.0% 0.0% 1.1% 0.3% 2.1K -15.5K -149 0.00 56.64 0 0 16 2 2013-07-18 $60.48 $0.00 15.7% 4.5% 20.9% 0.0% 0.0% 0.5% 0.0% 1.7K -12.7K -130 0.00 62.22 0 0 16 2 2013-07-19 $61.59 $0.00 15.0% 4.3% 19.8% 0.0% 0.0% 2.3% 0.0% 2.5K -15.9K -157 0.00 42.26 0 0 16 2 2013-07-22 $61.65 $0.00 14.8% 4.2% 18.4% 0.0% 14.7% 1.1% -0.0% 2.5K -16.0K -155 0.00 49.09 0 1 16 0 2013-07-23 $61.31 $62.00 15.2% 4.4% 18.6% 0.0% 0.0% 1.3% -0.1% 1.7K -10.3K -149 0.00 60.58 0 0 16 1 2013-07-24 $60.28 $62.00 14.9% 4.3% 19.7% 0.0% 0.0% 1.0% 0.1% 1.4K -6.0K -117 0.00 53.38 0 0 16 1 2013-07-25 $60.23 $62.00 15.5% 4.4% 19.3% 0.0% 0.0% 1.1% -0.3% 1.4K -5.4K -117 0.00 54.28 0 0 16 1 2013-07-26 $60.47 $62.00 14.7% 4.2% 18.3% 0.0% 0.0% 1.5% 0.3% 1.4K -6.0K -116 0.00 51.86 0 0 16 1 2013-07-29 $60.28 $62.00 15.4% 4.4% 18.2% 0.0% 0.0% 1.6% -0.2% 1.3K -4.8K -109 0.00 60.75 0 0 16 1 2013-07-30 $60.21 $62.00 15.0% 4.3% 18.2% 0.0% 0.0% 1.1% 0.2% 1.3K -4.6K -102 0.00 67.32 0 0 16 1 2013-07-31 $60.92 $62.00 14.9% 4.3% 18.5% 0.0% 0.0% 3.0% 0.2% 1.4K -8.0K -130 0.00 50.69 0 0 16 1
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