LTPZ Options History — February 2014

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

In February 2014, LTPZ traded between $58.72 and $60.91. ATM implied volatility averaged 11.3%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.5% (HV 20d: 10.8%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days.

Notable Days

2014-02-07: Largest IV drop — 36.7% change
2014-02-06: Highest IV Rank — 13.9%
2014-02-06: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.61	$58.72	$60.91	$60.91	$60.40
ATM IV	11.3%	8.6%	13.6%	12.6%	11.7%
Expected Move	3.3%	2.9%	3.9%	3.6%	3.3%
HV 20d	10.8%	8.8%	11.6%	8.8%	11.4%
HV 60d	10.5%	9.9%	11.4%	11.0%	10.1%
IV Rank	9.1%	3.5%	13.9%	11.9%	9.8%
IV Percentile	27.7%	3.0%	48.7%	42.3%	39.6%
Term Structure	0.6%	-0.1%	1.2%	-0.1%	0.1%
Skew 25d	1.3%	-0.9%	3.1%	0.2%	-0.2%
Skew 10d	1.0%	-3.3%	3.4%	-3.3%	0.6%
Call IV 25d	9.6%	7.5%	12.8%	12.8%	9.1%
Put IV 25d	10.9%	8.9%	13.0%	13.0%	8.9%
Bid-Ask Spread %	55.19	41.58	92.77	63.06	44.12
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 (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	Spread %
2014-02-03	$60.91	$0.00	12.6%	3.6%	8.8%	11.9%	0.0%	0.2%	-0.1%	63.06
2014-02-04	$60.17	$0.00	12.7%	3.7%	10.2%	12.1%	0.0%	2.2%	0.1%	80.46
2014-02-05	$59.43	$0.00	13.3%	3.8%	11.4%	13.3%	0.0%	0.1%	0.8%	92.77
2014-02-06	$59.46	$0.00	13.6%	3.9%	11.4%	13.9%	0.0%	0.5%	-0.0%	70.58
2014-02-07	$59.66	$0.00	8.6%	3.3%	10.9%	3.5%	0.0%	2.5%	1.1%	62.77
2014-02-10	$59.81	$0.00	11.4%	3.4%	10.3%	9.3%	0.0%	2.8%	0.9%	54.25
2014-02-11	$59.42	$0.00	9.1%	3.3%	10.6%	4.5%	0.0%	3.1%	0.5%	52.14
2014-02-12	$59.07	$0.00	10.4%	3.3%	10.5%	7.2%	0.0%	1.3%	0.9%	51.62
2014-02-13	$59.46	$0.00	11.5%	3.3%	10.6%	9.6%	0.0%	1.0%	0.5%	49.81
2014-02-14	$59.26	$0.00	11.5%	3.3%	10.4%	9.6%	0.0%	3.0%	0.7%	51.15
2014-02-18	$59.61	$0.00	10.9%	3.1%	10.6%	8.2%	0.0%	0.2%	1.0%	46.54
2014-02-19	$59.57	$0.00	10.2%	2.9%	10.6%	6.8%	0.0%	1.9%	1.2%	53.27
2014-02-20	$58.72	$0.00	11.1%	3.2%	11.6%	8.7%	0.0%	-0.9%	0.9%	46.70
2014-02-21	$58.99	$0.00	11.3%	3.2%	11.0%	9.0%	0.0%	1.6%	0.7%	45.86
2014-02-24	$59.04	$0.00	11.3%	3.2%	11.0%	9.1%	0.0%	0.9%	0.4%	48.73
2014-02-25	$59.61	$0.00	11.3%	3.2%	11.4%	9.0%	0.0%	1.1%	0.1%	44.13
2014-02-26	$59.85	$0.00	11.1%	3.2%	11.5%	8.7%	0.0%	2.9%	0.5%	49.11
2014-02-27	$60.19	$0.00	11.1%	3.2%	11.4%	8.7%	0.0%	0.8%	0.5%	41.58
2014-02-28	$60.40	$0.00	11.7%	3.3%	11.4%	9.8%	0.0%	-0.2%	0.1%	44.12