LTPZ Options History — December 2013 In December 2013, LTPZ traded between $57.01 and $58.08. ATM implied volatility averaged 13.3%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.2% (HV 20d: 11.1%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2013-12-10 : Highest Volume — 2 contracts2013-12-18 : Largest IV drop — 18.0% change2013-12-04 : Highest IV Rank — 18.5%2013-12-04 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $57.54 $57.01 $58.08 $57.98 $57.19 Max Pain $65.00 $65.00 $65.00 $65.00 $65.00 ATM IV 13.3% 11.2% 15.8% 15.1% 12.0% Expected Move 3.8% 3.2% 4.5% 4.3% 3.4% HV 20d 11.1% 9.5% 13.4% 13.3% 9.9% HV 60d 10.8% 10.3% 11.4% 11.4% 10.6% IV Rank 13.3% 8.8% 18.5% 17.1% 10.6% IV Percentile 44.8% 19.6% 87.7% 65.1% 32.0% Term Structure 0.5% -1.6% 7.1% -1.6% -0.1% Skew 25d 1.8% -2.7% 7.5% 2.7% 2.2% Skew 10d 3.5% -1.6% 21.7% 1.9% 4.3% Call IV 25d 11.6% 7.8% 14.9% 12.7% 10.0% Put IV 25d 13.4% 10.2% 16.0% 15.4% 12.2% Bid-Ask Spread % 57.74 20.87 121.71 23.43 85.19 Gamma HHI 1.00 0.99 1.00 1.00 1.00 Net GEX 1.1K 0 8.3K 2 0 Net DEX -1.6K -6.2K 0 -1 0 Net VEX -2 -7 0 0 0 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 0.095 0 2 0 0 Total OI 11.905 0 18 16 0
Daily Data (21 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 2013-12-02 $57.98 $65.00 15.1% 4.3% 13.3% 17.1% 0.0% 2.7% -1.6% 2 -1 0 0.00 23.43 0 0 16 0 2013-12-03 $58.01 $65.00 14.8% 4.2% 13.3% 16.4% 0.0% 0.4% -1.0% 3 -3 0 0.00 20.87 0 0 16 0 2013-12-04 $57.25 $65.00 15.8% 4.5% 13.4% 18.5% 0.0% 1.4% -1.6% 0 0 0 0.00 22.52 0 0 16 0 2013-12-05 $57.10 $65.00 15.7% 4.5% 13.4% 18.2% 0.0% -2.7% -1.4% 0 0 0 0.00 28.59 0 0 16 0 2013-12-06 $57.22 $0.00 15.2% 4.2% 13.3% 17.3% 0.0% 7.5% 7.1% 0 0 0 0.00 70.52 0 0 10 0 2013-12-09 $57.38 $0.00 15.4% 4.2% 13.3% 17.7% 0.0% 2.1% -0.0% 0 0 0 0.00 48.57 0 0 16 0 2013-12-10 $57.79 $0.00 15.1% 4.1% 13.4% 17.1% 0.0% 1.6% -0.0% 0 0 0 0.00 46.09 2 0 16 0 2013-12-11 $57.58 $0.00 15.3% 4.0% 10.3% 17.5% 0.0% 1.6% 0.3% 1.8K -4.5K -7 0.00 46.79 0 0 18 0 2013-12-12 $57.35 $0.00 14.0% 4.0% 10.3% 14.7% 0.0% 1.3% 0.3% 1.8K -3.3K -6 0.00 47.23 0 0 18 0 2013-12-13 $57.70 $0.00 14.2% 4.1% 10.6% 15.1% 0.0% 2.1% -0.1% 2.1K -4.9K -7 0.00 49.47 0 0 18 0 2013-12-16 $57.76 $0.00 13.3% 3.8% 10.2% 13.3% 0.0% 1.3% -0.0% 2.1K -4.8K -5 0.00 53.00 0 0 18 0 2013-12-17 $58.08 $0.00 13.6% 3.9% 10.4% 14.0% 0.0% 2.6% -0.3% 2.2K -6.2K -5 0.00 50.85 0 0 18 0 2013-12-18 $57.61 $0.00 11.2% 3.2% 10.1% 8.8% 0.0% 1.3% 1.3% 3.5K -3.1K -3 0.00 76.07 0 0 18 0 2013-12-19 $57.34 $0.00 11.5% 3.3% 9.5% 9.5% 0.0% 3.1% 1.2% 2.2K -1.0K -1 0.00 61.34 0 0 18 0 2013-12-20 $58.02 $0.00 11.3% 3.2% 10.0% 9.0% 0.0% 2.7% 1.3% 8.3K -6.1K -2 0.00 72.56 0 0 18 0 2013-12-23 $57.73 $0.00 11.4% 3.3% 9.7% 9.3% 0.0% 0.6% 0.6% 0 0 0 0.00 76.03 0 0 0 0 2013-12-24 $57.48 $0.00 11.2% 3.2% 9.6% 8.8% 0.0% 2.5% 2.5% 0 0 0 0.00 121.71 0 0 0 0 2013-12-26 $57.24 $0.00 11.2% 3.2% 9.6% 8.9% 0.0% 1.1% 1.2% 0 0 0 0.00 72.73 0 0 0 0 2013-12-27 $57.01 $0.00 11.4% 3.3% 9.5% 9.3% 0.0% 0.8% 1.0% 0 0 0 0.00 55.20 0 0 0 0 2013-12-30 $57.51 $0.00 11.3% 3.2% 10.1% 9.1% 0.0% 1.1% 0.4% 0 0 0 0.00 83.88 0 0 0 0 2013-12-31 $57.19 $0.00 12.0% 3.4% 9.9% 10.6% 0.0% 2.2% -0.1% 0 0 0 0.00 85.19 0 0 0 0
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