LTPZ Options History — January 2014

Name: LTPZ Options Analytics - January 2014
Creator: Options Analysis Suite

In January 2014, LTPZ traded between $57.63 and $60.35. ATM implied volatility averaged 10.6%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.1% (HV 20d: 9.5%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days.

Notable Days

2014-01-10: Largest IV drop — 35.8% change
2014-01-31: Highest IV Rank — 10.2%
2014-01-06: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.17	$57.63	$60.35	$57.63	$60.35
ATM IV	10.6%	7.4%	11.8%	11.3%	11.8%
Expected Move	3.2%	2.8%	3.5%	3.2%	3.4%
HV 20d	9.5%	8.5%	10.4%	10.4%	8.5%
HV 60d	10.9%	10.7%	11.1%	10.7%	11.1%
IV Rank	7.7%	0.9%	10.2%	9.0%	10.2%
IV Percentile	20.1%	1.1%	36.8%	22.0%	36.8%
Term Structure	0.6%	-0.2%	1.1%	0.6%	-0.2%
Skew 25d	0.9%	-0.9%	3.7%	2.2%	0.9%
Skew 10d	-1.0%	-2.9%	2.3%	1.2%	-1.9%
Call IV 25d	10.2%	8.3%	11.6%	8.9%	10.9%
Put IV 25d	11.0%	8.8%	13.0%	11.1%	11.8%
Bid-Ask Spread %	83.24	45.99	98.46	78.92	75.86
Net GEX	0	0	0	0	0
Net DEX	0	0	0	0	0
Net VEX	0	0	0	0	0
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
Total Volume	0	0	0	0	0
Total OI	0	0	0	0	0

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	Spread %
2014-01-02	$57.63	$0.00	11.3%	3.2%	10.4%	9.0%	0.0%	2.2%	0.6%	78.92
2014-01-03	$57.82	$0.00	11.6%	3.3%	9.2%	9.7%	0.0%	3.1%	0.2%	77.78
2014-01-06	$58.04	$0.00	11.6%	3.5%	9.2%	9.7%	0.0%	1.1%	0.7%	45.99
2014-01-07	$58.16	$0.00	11.3%	3.4%	9.2%	9.1%	0.0%	1.8%	0.8%	46.01
2014-01-08	$58.37	$0.00	11.3%	3.4%	9.3%	9.0%	0.0%	1.2%	0.9%	76.61
2014-01-09	$58.97	$0.00	11.5%	3.5%	9.6%	9.4%	0.0%	1.7%	0.7%	77.31
2014-01-10	$59.56	$0.00	7.4%	3.1%	9.9%	0.9%	0.0%	1.0%	1.0%	87.36
2014-01-13	$59.55	$0.00	8.8%	3.1%	9.7%	3.9%	0.0%	0.4%	1.0%	92.63
2014-01-14	$59.12	$0.00	8.6%	3.1%	10.1%	3.4%	0.0%	-0.7%	1.1%	95.91
2014-01-15	$58.86	$0.00	9.3%	3.1%	10.3%	4.9%	0.0%	-0.4%	0.8%	94.31
2014-01-16	$59.27	$0.00	11.1%	3.2%	10.4%	8.6%	0.0%	0.5%	0.6%	93.34
2014-01-17	$59.39	$0.00	10.7%	3.1%	9.8%	7.9%	0.0%	0.2%	1.0%	90.53
2014-01-21	$59.44	$0.00	10.6%	3.0%	9.6%	7.6%	0.0%	0.3%	1.1%	98.01
2014-01-22	$59.10	$0.00	10.5%	3.0%	9.1%	7.5%	0.0%	0.5%	0.8%	94.53
2014-01-23	$59.74	$0.00	9.7%	2.8%	9.5%	5.6%	0.0%	-0.9%	0.8%	90.35
2014-01-24	$59.91	$0.00	10.7%	3.1%	9.2%	7.9%	0.0%	0.2%	0.1%	90.07
2014-01-27	$59.57	$0.00	11.3%	3.2%	9.4%	9.2%	0.0%	0.7%	-0.1%	91.80
2014-01-28	$59.58	$0.00	11.3%	3.3%	9.1%	9.2%	0.0%	3.7%	-0.2%	98.46
2014-01-29	$60.03	$0.00	11.6%	3.3%	9.0%	9.7%	0.0%	0.1%	0.3%	72.13
2014-01-30	$60.02	$0.00	11.6%	3.3%	8.6%	9.7%	0.0%	0.3%	-0.1%	80.20
2014-01-31	$60.35	$0.00	11.8%	3.4%	8.5%	10.2%	0.0%	0.9%	-0.2%	75.86