LTPZ Options History — November 2013 In November 2013, LTPZ traded between $58.19 and $59.73. ATM implied volatility averaged 11.8%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 0.1% (HV 20d: 11.9%). Max pain ranged from $65.00 to $68.00. Net GEX was positive for 15 of 18 trading days. Term structure was in contango for 15 of 18 days.
Notable Days 2013-11-14 : Largest IV spike — 26.7% change2013-11-01 : Highest IV Rank — 15.3%2013-11-01 : Largest Expected Move — 4.1%Monthly Statistics Metric Avg Min Max Open Close Price $58.89 $58.19 $59.73 $59.73 $58.43 Max Pain $65.18 $65.00 $68.00 $65.00 $65.00 ATM IV 11.8% 9.4% 14.3% 14.3% 13.0% Expected Move 3.6% 3.1% 4.1% 4.1% 3.7% HV 20d 11.9% 9.0% 13.6% 9.0% 13.2% HV 60d 12.5% 11.8% 13.3% 12.9% 11.8% IV Rank 10.1% 5.1% 15.3% 15.3% 12.6% IV Percentile 26.7% 3.5% 41.0% 41.0% 38.4% Term Structure 0.8% -0.4% 1.7% 1.3% -0.0% Skew 25d 1.5% 0.9% 2.8% 1.5% 1.6% Skew 10d 2.5% 0.7% 5.5% 5.5% 0.7% Call IV 25d 11.4% 9.6% 12.5% 11.6% 12.0% Put IV 25d 12.9% 11.5% 13.8% 13.1% 13.6% Bid-Ask Spread % 35.62 26.59 69.39 69.39 26.59 Gamma HHI 0.87 0.47 1.00 0.78 1.00 Net GEX 266 0 1.5K 0 3 Net DEX -288 -2.0K 0 0 -2 Net VEX -1 -8 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 15.944 0 18 0 16
Daily Data (18 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 2013-11-01 $59.73 $0.00 14.3% 4.1% 9.0% 15.3% 0.0% 0.0% 0.0% 0 0 0 0.00 69.39 0 0 0 0 2013-11-04 $59.66 $65.00 11.7% 3.5% 9.0% 9.9% 0.0% 1.5% 1.3% 1.5K -2.0K -8 0.00 32.35 0 0 18 0 2013-11-05 $59.17 $65.00 11.3% 3.5% 9.1% 9.2% 0.0% 1.0% 1.2% 605 -568 -3 0.00 36.24 0 0 18 0 2013-11-06 $59.32 $65.00 11.6% 3.6% 9.2% 9.8% 0.0% 1.9% 1.2% 936 -875 -4 0.00 37.80 0 0 18 0 2013-11-07 $59.66 $65.00 11.4% 3.4% 9.3% 9.4% 0.0% 1.9% 1.2% 1.4K -1.5K -5 0.00 35.83 0 0 18 0 2013-11-08 $58.20 $65.00 12.2% 3.8% 12.7% 10.9% 0.0% 1.2% 1.3% 94 -86 -1 0.00 35.35 0 0 18 0 2013-11-11 $58.35 $65.00 9.8% 3.7% 12.8% 5.9% 0.0% 1.5% 1.5% 39 -41 0 0.00 39.23 0 0 18 0 2013-11-12 $58.33 $65.00 9.4% 3.7% 12.6% 5.1% 0.0% 1.3% 1.7% 41 -51 0 0.00 42.35 0 0 18 0 2013-11-14 $58.78 $65.00 11.9% 3.4% 13.0% 10.3% 0.0% 2.8% 1.0% 18 -17 0 0.00 37.13 0 0 18 0 2013-11-15 $58.92 $68.00 11.6% 3.3% 12.6% 9.8% 0.0% 2.8% 1.2% 0 0 0 0.00 35.76 0 0 15 0 2013-11-18 $59.42 $65.00 11.8% 3.4% 12.7% 10.2% 0.0% 1.5% 0.7% 28 -26 0 0.00 29.30 0 0 16 0 2013-11-19 $58.76 $65.00 11.2% 3.2% 13.2% 8.8% 0.0% 1.4% 0.8% 8 -7 0 0.00 28.05 0 0 16 0 2013-11-20 $58.19 $65.00 10.8% 3.1% 13.6% 8.1% 0.0% 1.2% 0.4% 0 0 0 0.00 35.14 0 0 16 0 2013-11-22 $58.63 $65.00 12.4% 3.5% 13.1% 11.3% 0.0% 1.4% 0.2% 16 -16 0 0.00 32.66 0 0 16 0 2013-11-25 $58.89 $65.00 12.8% 3.7% 13.3% 12.2% 0.0% 1.6% 0.1% 14 -13 0 0.00 29.01 0 0 16 0 2013-11-26 $58.99 $65.00 12.5% 3.6% 13.1% 11.6% 0.0% 1.1% 0.1% 25 -26 0 0.00 29.26 0 0 16 0 2013-11-27 $58.63 $65.00 12.7% 3.6% 13.2% 12.0% 0.0% 0.9% -0.4% 9 -8 0 0.00 29.66 0 0 16 0 2013-11-29 $58.43 $65.00 13.0% 3.7% 13.2% 12.6% 0.0% 1.6% -0.0% 3 -2 0 0.00 26.59 0 0 16 0
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