LTPZ Options History — August 2013 In August 2013, LTPZ traded between $57.51 and $61.71. ATM implied volatility averaged 16.5%. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.6% (HV 20d: 16.0%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days.
Notable Days 2013-08-29 : Largest IV spike — 162.6% change2013-08-29 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $59.62 $57.51 $61.71 $59.92 $59.06 Max Pain $62.00 $62.00 $62.00 $62.00 $62.00 ATM IV 16.5% 8.4% 41.8% 14.8% 15.8% Expected Move 5.0% 4.1% 12.0% 4.3% 4.5% HV 20d 16.0% 14.7% 19.3% 19.3% 16.3% HV 60d 18.0% 17.4% 18.4% 17.4% 18.4% Term Structure -0.6% -13.6% 1.3% 0.5% -0.3% Skew 25d 1.3% 0.1% 2.0% 1.9% 0.1% Skew 10d 2.6% -2.1% 8.7% 1.6% 2.5% Call IV 25d 18.1% 12.6% 57.8% 12.6% 15.3% Put IV 25d 19.4% 14.5% 59.2% 14.5% 15.4% Bid-Ask Spread % 48.33 26.09 144.68 62.32 31.07 Gamma HHI 0.40 0.31 0.45 0.32 0.44 Net GEX 1.2K 749 1.7K 1.2K 1.1K Net DEX -5.6K -13.1K 1.7K -4.0K -4.5K Net VEX -85 -138 -39 -101 -49 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 16.545 16 17 17 16
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 2013-08-01 $59.92 $62.00 14.8% 4.3% 19.3% 0.0% 0.0% 1.9% 0.5% 1.2K -4.0K -101 0.00 62.32 0 0 16 1 2013-08-02 $60.43 $62.00 15.1% 4.3% 15.4% 0.0% 0.0% 1.2% 0.0% 1.3K -5.1K -112 0.00 44.35 0 0 16 1 2013-08-05 $60.33 $0.00 14.2% 4.3% 14.9% 0.0% 0.0% 1.3% 0.3% 1.3K -4.7K -99 0.00 40.38 0 0 16 1 2013-08-06 $60.99 $0.00 14.8% 4.3% 15.4% 0.0% 0.0% 1.8% 0.0% 1.3K -7.3K -115 0.00 40.94 0 0 16 1 2013-08-07 $61.46 $0.00 14.5% 4.4% 15.1% 0.0% 0.0% 1.6% 0.0% 1.4K -9.4K -127 0.00 40.26 0 0 16 1 2013-08-08 $61.65 $0.00 11.2% 4.1% 14.8% 0.0% 0.0% 1.2% 1.0% 1.1K -10.6K -138 0.00 47.65 0 0 16 1 2013-08-09 $61.71 $0.00 11.2% 4.1% 14.8% 0.0% 0.0% 1.3% 1.2% 1.0K -10.9K -137 0.00 41.81 0 0 16 1 2013-08-12 $61.24 $0.00 12.5% 4.2% 14.7% 0.0% 0.0% 1.2% 1.3% 1.0K -7.5K -120 0.00 40.47 0 0 16 1 2013-08-13 $60.08 $0.00 11.3% 4.2% 15.9% 0.0% 0.0% 1.2% 1.1% 1.6K -2.2K -84 0.00 38.39 0 0 16 1 2013-08-14 $59.78 $0.00 8.4% 4.1% 16.0% 0.0% 0.0% 1.4% 1.1% 1.6K -1.7K -81 0.00 37.04 0 0 16 1 2013-08-15 $58.73 $0.00 14.2% 4.1% 16.6% 0.0% 0.0% 0.7% 1.1% 1.1K 922 -58 0.00 37.82 0 0 16 1 2013-08-16 $58.25 $0.00 15.9% 4.6% 15.0% 0.0% 0.0% 1.3% 0.6% 965 1.7K -49 0.00 35.81 0 0 16 1 2013-08-19 $57.59 $0.00 15.7% 4.5% 15.2% 0.0% 0.0% 1.8% 0.2% 785 -3.3K -40 0.00 32.69 0 0 16 0 2013-08-20 $58.15 $0.00 15.8% 4.5% 15.9% 0.0% 0.0% 2.0% 0.1% 897 -3.7K -46 0.00 32.32 0 0 16 0 2013-08-21 $57.51 $0.00 15.4% 4.4% 15.3% 0.0% 0.0% 1.1% 0.5% 749 -3.1K -39 0.00 37.89 0 0 16 0 2013-08-22 $57.86 $0.00 37.8% 10.8% 15.6% 0.0% 0.0% 1.3% -10.6% 1.4K -9.9K -98 0.00 143.35 0 0 16 0 2013-08-23 $58.77 $0.00 15.6% 4.5% 16.7% 0.0% 0.0% 1.4% 0.3% 1.1K -4.9K -55 0.00 36.37 0 0 16 0 2013-08-26 $59.25 $0.00 15.8% 4.5% 17.0% 0.0% 0.0% 1.7% 0.4% 1.3K -5.8K -64 0.00 38.95 0 0 16 0 2013-08-27 $59.95 $0.00 15.5% 4.5% 17.6% 0.0% 0.0% 1.2% 0.4% 1.6K -7.5K -75 0.00 32.51 0 0 16 0 2013-08-28 $59.37 $0.00 15.9% 4.6% 17.3% 0.0% 0.0% 1.4% 0.2% 1.3K -6.1K -65 0.00 26.09 0 0 16 0 2013-08-29 $59.56 $0.00 41.8% 12.0% 16.4% 0.0% 0.0% 1.4% -13.6% 1.7K -13.1K -118 0.00 144.68 0 0 16 0 2013-08-30 $59.06 $0.00 15.8% 4.5% 16.3% 0.0% 0.0% 0.1% -0.3% 1.1K -4.5K -49 0.00 31.07 0 0 16 0
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