LTPZ Options History — October 2013

In October 2013, LTPZ traded between $59.10 and $61.10. ATM implied volatility averaged 13.4%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 4.3% (HV 20d: 9.1%). Max pain ranged from $61.00 to $61.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2013-10-10: Highest Volume — 2 contracts
2013-10-22: Largest IV drop — 12.6% change
2013-10-21: Highest IV Rank — 14.1%
2013-10-01: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.20	$59.10	$61.10	$60.10	$60.47
Max Pain	$61.00	$61.00	$61.00	$61.00	$61.00
ATM IV	13.4%	11.0%	15.5%	15.5%	12.4%
Expected Move	3.8%	3.1%	4.4%	4.4%	3.6%
HV 20d	9.1%	6.5%	12.0%	12.0%	7.8%
HV 60d	13.8%	12.7%	14.8%	14.8%	12.7%
IV Rank	10.2%	8.4%	14.1%	14.1%	11.4%
IV Percentile	24.2%	20.6%	31.0%	31.0%	27.1%
Term Structure	0.2%	-0.7%	1.2%	-0.1%	0.1%
VWIV	13.6%	13.6%	13.6%	13.6%	13.6%
Skew 25d	1.9%	0.9%	4.0%	2.2%	4.0%
Skew 10d	4.0%	0.3%	8.9%	1.6%	3.5%
Call IV 25d	12.2%	8.3%	14.3%	14.3%	8.8%
Put IV 25d	14.2%	11.2%	16.5%	16.5%	12.8%
Bid-Ask Spread %	59.56	47.62	69.25	56.77	58.59
Gamma HHI	0.51	0.44	0.70	0.45	0.70
Net GEX	1.7K	776	2.7K	1.2K	2.3K
Net DEX	-4.9K	-7.7K	-2.1K	-4.1K	-5.2K
Net VEX	-26	-37	-16	-37	-16
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	0.091	0	2	0	0
Total OI	17.273	16	18	16	18

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	Spread %	Call Vol	Call OI
2013-10-01	$60.10	$0.00	15.5%	4.4%	12.0%	0.0%	0.0%	2.2%	-0.1%	1.2K	-4.1K	-37	56.77	0	16
2013-10-02	$60.24	$0.00	15.3%	4.4%	11.5%	0.0%	0.0%	2.1%	-0.2%	1.3K	-4.1K	-36	54.12	0	16
2013-10-03	$60.09	$0.00	14.7%	4.2%	10.4%	0.0%	0.0%	1.8%	0.1%	1.1K	-3.2K	-32	69.25	0	16
2013-10-04	$60.02	$0.00	14.4%	4.1%	10.5%	0.0%	0.0%	2.3%	0.2%	996	-2.9K	-27	63.05	0	16
2013-10-07	$60.37	$0.00	14.5%	4.1%	10.5%	0.0%	0.0%	2.2%	0.3%	1.1K	-3.2K	-31	62.44	0	16
2013-10-08	$60.20	$0.00	14.9%	4.1%	10.7%	0.0%	0.0%	1.8%	0.1%	1.2K	-3.6K	-35	57.23	0	16
2013-10-09	$59.97	$0.00	14.7%	4.2%	10.6%	0.0%	0.0%	2.3%	-0.1%	972	-2.8K	-26	58.05	0	16
2013-10-10	$59.70	$0.00	14.7%	4.2%	10.7%	0.0%	13.6%	2.5%	-0.0%	776	-2.1K	-21	61.49	2	16
2013-10-11	$59.65	$61.00	13.5%	3.9%	9.7%	0.0%	0.0%	1.8%	0.7%	1.7K	-5.2K	-31	63.49	0	18
2013-10-14	$59.26	$61.00	14.2%	4.1%	10.1%	0.0%	0.0%	1.6%	0.4%	1.4K	-3.9K	-23	66.71	0	18
2013-10-15	$59.10	$61.00	14.3%	4.1%	9.7%	0.0%	0.0%	1.5%	0.1%	1.3K	-3.7K	-21	57.59	0	18
2013-10-16	$59.58	$61.00	13.9%	4.0%	8.1%	0.0%	0.0%	1.8%	0.2%	1.6K	-4.5K	-25	60.24	0	18
2013-10-17	$60.02	$61.00	13.4%	3.9%	8.2%	0.0%	0.0%	1.4%	-0.7%	1.8K	-5.2K	-25	60.94	0	18
2013-10-18	$60.18	$61.00	13.1%	3.8%	7.7%	0.0%	0.0%	1.7%	0.0%	1.9K	-5.7K	-26	64.36	0	18
2013-10-21	$60.06	$61.00	13.7%	3.9%	6.5%	14.1%	0.0%	2.2%	0.1%	1.8K	-5.1K	-23	47.62	0	18
2013-10-22	$60.76	$61.00	12.0%	3.4%	7.7%	10.5%	0.0%	1.4%	0.5%	2.3K	-6.9K	-26	65.62	0	18
2013-10-23	$60.80	$61.00	11.8%	3.4%	7.7%	10.2%	0.0%	0.9%	0.4%	2.4K	-7.0K	-26	61.99	0	18
2013-10-25	$61.10	$61.00	11.3%	3.2%	7.6%	9.0%	0.0%	2.3%	0.7%	2.5K	-7.7K	-24	51.96	0	18
2013-10-28	$61.09	$61.00	11.0%	3.2%	7.5%	8.5%	0.0%	1.0%	0.7%	2.7K	-7.5K	-22	58.62	0	18
2013-10-29	$60.94	$61.00	11.0%	3.1%	7.6%	8.4%	0.0%	0.9%	0.6%	2.6K	-6.7K	-19	51.19	0	18
2013-10-30	$60.78	$61.00	11.4%	3.3%	7.6%	9.4%	0.0%	2.9%	1.2%	2.5K	-6.3K	-19	59.03	0	18
2013-10-31	$60.47	$61.00	12.4%	3.6%	7.8%	11.4%	0.0%	4.0%	0.1%	2.3K	-5.2K	-16	58.59	0	18