LTPZ Options History — March 2014 In March 2014, LTPZ traded between $59.57 and $61.41. ATM implied volatility averaged 24.5%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 12.5% (HV 20d: 12.0%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2014-03-03 : Highest Volume — 10 contracts2014-03-06 : Largest IV spike — 328.4% change2014-03-06 : Highest IV Rank — 89.7%2014-03-06 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $60.42 $59.57 $61.41 $61.06 $60.76 Max Pain $60.00 $60.00 $60.00 $60.00 $60.00 ATM IV 24.5% 9.9% 50.0% 11.2% 45.1% Expected Move 7.1% 3.0% 14.3% 3.2% 12.9% HV 20d 12.0% 11.2% 12.6% 11.9% 12.4% HV 60d 10.7% 10.3% 11.0% 10.3% 10.8% IV Rank 36.6% 6.3% 89.7% 8.9% 79.7% IV Percentile 60.2% 10.1% 99.5% 25.8% 98.7% Term Structure -4.5% -19.8% 9.9% 0.4% -16.8% Skew 25d 6.1% -1.7% 35.2% 1.1% 8.1% Skew 10d 6.9% -3.5% 35.2% 1.3% 8.1% Call IV 25d 24.9% 7.6% 67.8% 10.1% 50.2% Put IV 25d 31.0% 8.5% 72.1% 11.1% 58.3% Bid-Ask Spread % 135.09 38.00 200.00 42.01 197.04 Gamma HHI 0.95 0.50 1.00 1.00 0.50 Net GEX 4.0K 0 7.9K 0 115 Net DEX -27.9K -39.8K 0 0 -4.7K Net VEX -84 -227 0 0 -221 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 1 0 10 10 0 Total OI 10.5 0 20 0 20
Daily Data (20 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 2014-03-03 $61.06 $0.00 11.2% 3.2% 11.9% 8.9% 0.0% 1.1% 0.4% 0 0 0 0.00 42.01 10 0 0 0 2014-03-04 $60.20 $0.00 11.6% 3.3% 12.5% 9.8% 0.0% -1.7% 0.2% 5.9K -31.8K -85 0.00 42.35 0 0 10 0 2014-03-05 $60.47 $0.00 11.7% 3.3% 11.8% 9.8% 0.0% 0.5% 0.6% 5.8K -34.7K -84 0.00 38.00 0 0 10 0 2014-03-06 $60.02 $0.00 50.0% 14.3% 11.3% 89.7% 0.0% 4.3% -19.8% 2.3K -31.4K -83 0.00 157.31 0 0 10 0 2014-03-07 $59.85 $60.00 10.5% 3.1% 11.3% 7.4% 0.0% 1.7% 0.9% 6.6K -27.1K -81 0.00 85.27 0 0 10 0 2014-03-10 $59.62 $60.00 9.9% 3.1% 11.4% 6.3% 0.0% 1.6% 0.9% 6.4K -26.1K -78 0.00 83.83 0 0 10 0 2014-03-11 $59.68 $60.00 10.0% 3.1% 11.3% 6.4% 0.0% 1.3% 1.3% 6.9K -26.5K -77 0.00 89.59 0 0 10 0 2014-03-12 $59.93 $60.00 10.1% 3.1% 11.2% 6.5% 0.0% -0.1% 8.2% 6.9K -29.2K -77 0.00 88.81 0 0 10 0 2014-03-13 $60.82 $60.00 10.7% 3.1% 12.0% 7.9% 0.0% 1.5% 8.0% 6.7K -39.8K -72 0.00 93.27 0 0 10 0 2014-03-17 $60.51 $60.00 34.3% 9.8% 12.0% 57.0% 0.0% 4.6% -16.1% 2.3K -33.5K -72 0.00 200.00 0 0 10 0 2014-03-18 $60.55 $60.00 34.8% 10.0% 11.9% 58.1% 0.0% 4.9% -16.5% 2.3K -33.6K -71 0.00 198.49 0 0 10 0 2014-03-19 $59.92 $60.00 35.9% 10.3% 12.5% 60.4% 0.0% 0.9% -15.4% 2.2K -30.9K -70 0.00 200.00 0 0 10 0 2014-03-20 $59.57 $60.00 10.5% 3.0% 12.6% 7.4% 0.0% 0.8% 9.9% 7.8K -23.7K -66 0.00 96.43 0 0 10 0 2014-03-21 $60.26 $60.00 11.4% 3.3% 12.1% 9.2% 0.0% 2.2% 7.9% 7.9K -33.2K -67 0.00 104.28 0 0 10 0 2014-03-24 $60.79 $60.00 27.2% 7.8% 12.3% 42.2% 0.0% 7.8% 6.8% 2.6K -35.0K -64 0.00 200.00 0 0 10 0 2014-03-25 $60.73 $60.00 37.0% 10.6% 12.3% 62.6% 0.0% 7.5% -11.9% 2.4K -34.5K -62 0.00 198.84 0 0 10 0 2014-03-26 $61.10 $60.00 37.7% 10.8% 12.1% 64.1% 0.0% 35.2% -11.9% 2.7K -36.7K -60 0.00 195.63 0 0 10 0 2014-03-27 $61.41 $60.00 38.3% 11.0% 12.1% 65.4% 0.0% 11.3% -12.0% 2.4K -37.7K -59 0.00 194.37 0 10 10 0 2014-03-28 $61.09 $60.00 41.9% 12.0% 12.2% 72.8% 0.0% 28.8% -14.0% 309 -7.4K -227 0.00 196.30 0 0 10 10 2014-03-31 $60.76 $60.00 45.1% 12.9% 12.4% 79.7% 0.0% 8.1% -16.8% 115 -4.7K -221 0.00 197.04 0 0 10 10
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