LTPZ Options History — September 2013 In September 2013, LTPZ traded between $56.96 and $60.40. ATM implied volatility averaged 16.7%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.1% (HV 20d: 15.6%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days.
Notable Days 2013-09-04 : Largest IV drop — 68.2% change2013-09-03 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $58.64 $56.96 $60.40 $58.07 $60.18 ATM IV 16.7% 14.0% 48.7% 48.7% 15.3% Expected Move 4.8% 4.0% 14.0% 14.0% 4.4% HV 20d 15.6% 13.7% 17.2% 17.2% 13.7% HV 60d 17.2% 15.0% 18.5% 18.5% 15.0% Term Structure -0.8% -17.3% 0.7% -17.3% -0.4% Skew 25d 1.3% -1.0% 2.7% 1.5% 1.1% Skew 10d 2.8% -3.9% 7.4% -0.7% 2.3% Call IV 25d 16.9% 13.1% 66.8% 66.8% 13.2% Put IV 25d 18.2% 13.7% 68.3% 68.3% 14.3% Bid-Ask Spread % 61.01 24.89 143.78 143.78 111.01 Gamma HHI 0.45 0.44 0.46 0.45 0.45 Net GEX 843 359 1.4K 1.3K 1.3K Net DEX -3.0K -9.1K -1.1K -9.1K -4.2K Net VEX -32 -83 -15 -83 -39 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 16 16 16 16 16
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 2013-09-03 $58.07 $0.00 48.7% 14.0% 17.2% 0.0% 0.0% 1.5% -17.3% 1.3K -9.1K -83 0.00 143.78 0 0 16 0 2013-09-04 $57.64 $0.00 15.5% 4.4% 16.6% 0.0% 0.0% 0.4% 0.2% 498 -1.7K -22 0.00 28.98 0 0 16 0 2013-09-05 $56.96 $0.00 15.3% 4.4% 16.4% 0.0% 0.0% -1.0% 0.4% 391 -1.3K -18 0.00 24.89 0 0 16 0 2013-09-06 $57.20 $0.00 15.7% 4.5% 16.5% 0.0% 0.0% 1.7% 0.0% 359 -1.1K -15 0.00 54.78 0 0 16 0 2013-09-09 $57.35 $0.00 15.3% 4.6% 16.6% 0.0% 0.0% 1.0% -0.1% 614 -2.1K -25 0.00 52.11 0 0 16 0 2013-09-10 $57.40 $0.00 14.7% 4.5% 16.6% 0.0% 0.0% 0.8% 0.5% 537 -1.8K -22 0.00 55.45 0 0 16 0 2013-09-11 $57.95 $0.00 15.0% 4.5% 16.1% 0.0% 0.0% 1.9% 0.1% 528 -1.7K -22 0.00 52.84 0 0 16 0 2013-09-12 $58.29 $0.00 15.7% 4.5% 16.2% 0.0% 0.0% 0.8% 0.4% 684 -2.5K -27 0.00 54.48 0 0 16 0 2013-09-13 $57.66 $0.00 15.5% 4.4% 15.5% 0.0% 0.0% 2.2% -0.3% 624 -2.0K -23 0.00 56.06 0 0 16 0 2013-09-16 $57.61 $0.00 15.5% 4.4% 15.2% 0.0% 0.0% 0.7% -0.1% 602 -2.0K -25 0.00 51.27 0 0 16 0 2013-09-17 $58.19 $0.00 16.0% 4.6% 15.1% 0.0% 0.0% 1.5% -0.1% 785 -2.7K -31 0.00 56.37 0 0 16 0 2013-09-18 $59.19 $0.00 14.9% 4.3% 15.9% 0.0% 0.0% 1.0% 0.7% 797 -2.7K -31 0.00 69.81 0 0 16 0 2013-09-19 $58.92 $0.00 14.8% 4.2% 15.4% 0.0% 0.0% 1.0% -0.0% 597 -1.8K -21 0.00 68.43 0 0 16 0 2013-09-20 $59.43 $0.00 15.0% 4.3% 15.6% 0.0% 0.0% 1.7% -0.2% 1.1K -3.8K -40 0.00 60.32 0 0 16 0 2013-09-23 $60.14 $0.00 14.5% 4.2% 15.2% 0.0% 0.0% 1.3% 0.4% 880 -2.6K -27 0.00 45.69 0 0 16 0 2013-09-24 $60.20 $0.00 14.3% 4.1% 14.9% 0.0% 0.0% 1.7% -0.2% 1.4K -4.5K -43 0.00 58.77 0 0 16 0 2013-09-25 $60.40 $0.00 14.3% 4.1% 14.4% 0.0% 0.0% 2.2% 0.1% 1.4K -4.5K -44 0.00 64.69 0 0 16 0 2013-09-26 $60.10 $0.00 14.3% 4.1% 14.1% 0.0% 0.0% 2.7% -0.6% 1.3K -3.9K -36 0.00 55.37 0 0 16 0 2013-09-27 $60.00 $0.00 14.0% 4.0% 14.0% 0.0% 0.0% 2.1% 0.6% 1.3K -4.4K -41 0.00 55.20 0 0 16 0 2013-09-30 $60.18 $0.00 15.3% 4.4% 13.7% 0.0% 0.0% 1.1% -0.4% 1.3K -4.2K -39 0.00 111.01 0 0 16 0
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