LTPZ Options History — April 2014 In April 2014, LTPZ traded between $60.06 and $62.89. ATM implied volatility averaged 31.7%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 20.7% (HV 20d: 11.0%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2014-04-23 : Highest Volume — 14 contracts2014-04-21 : Largest IV spike — 265.7% change2014-04-07 : Highest IV Rank — 100.0%2014-04-03 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $61.76 $60.06 $62.89 $60.34 $62.40 Max Pain $60.00 $60.00 $60.00 $60.00 $60.00 ATM IV 31.7% 10.0% 62.2% 46.9% 10.5% Expected Move 7.8% 2.9% 14.3% 13.4% 3.0% HV 20d 11.0% 9.9% 12.2% 11.9% 9.9% HV 60d 11.1% 10.9% 11.3% 10.9% 11.1% IV Rank 47.3% 5.5% 100.0% 83.3% 6.4% IV Percentile 68.2% 9.3% 100.0% 98.7% 16.3% Term Structure -5.5% -19.6% 15.5% -17.0% 0.3% Skew 25d 5.1% -0.8% 14.3% 4.7% 0.2% Skew 10d 5.7% -2.8% 23.5% 4.7% -0.5% Call IV 25d 29.2% 8.2% 57.8% 53.5% 10.4% Put IV 25d 34.3% 9.4% 60.9% 58.3% 10.7% Bid-Ask Spread % 156.05 73.16 200.00 200.00 102.29 Gamma HHI 0.29 0.18 0.50 0.50 0.19 Net GEX -666 -8.6K 4.1K 125 -2.8K Net DEX -12.4K -86.4K 51.6K -1.6K 9.5K Net VEX -661 -949 -213 -219 -946 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 3.9 0 14 0 0 Total OI 55.8 20 88 20 88
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 2014-04-01 $60.34 $60.00 46.9% 13.4% 11.9% 83.3% 0.0% 4.7% -17.0% 125 -1.6K -219 0.00 200.00 0 0 10 10 2014-04-02 $60.06 $60.00 48.4% 13.9% 10.9% 86.5% 0.0% 2.5% -18.5% 112 391 -215 0.00 200.00 0 0 10 10 2014-04-03 $60.12 $60.00 49.9% 14.3% 10.8% 89.5% 0.0% 3.1% -19.6% 280 101 -213 0.00 200.00 10 0 10 10 2014-04-07 $61.03 $0.00 56.7% 8.9% 11.7% 100.0% 0.0% 7.1% -8.4% 1.6K -54.2K -326 0.00 196.00 10 0 20 10 2014-04-08 $60.87 $0.00 59.3% 7.0% 11.7% 100.0% 0.0% 1.1% 4.5% 4.1K -86.4K -491 0.00 177.64 0 10 30 10 2014-04-09 $61.01 $0.00 62.2% 9.1% 11.6% 100.0% 0.0% 7.2% -8.9% 4.1K -40.2K -473 0.00 196.87 0 0 30 20 2014-04-10 $61.58 $0.00 32.6% 9.3% 12.0% 46.5% 0.0% 10.7% -6.9% 2.2K -49.6K -603 0.00 179.74 0 0 30 20 2014-04-11 $62.10 $0.00 19.7% 5.7% 12.2% 23.1% 0.0% 1.8% 15.5% 2.7K -65.9K -609 0.00 173.05 0 10 30 20 2014-04-14 $61.96 $0.00 35.9% 10.3% 11.2% 52.4% 0.0% 10.7% -9.1% -328 -21.9K -766 0.00 172.49 0 0 30 30 2014-04-15 $62.29 $0.00 34.1% 9.8% 11.1% 49.1% 0.0% 12.8% -10.2% -544 -30.9K -774 0.00 189.56 0 0 30 30 2014-04-16 $62.42 $0.00 35.3% 10.1% 11.1% 51.3% 0.0% 11.9% -7.1% 99 -33.7K -740 0.00 177.37 0 0 30 30 2014-04-17 $61.76 $0.00 11.0% 3.2% 11.1% 7.4% 0.0% 3.1% 2.1% -859 -17.8K -691 0.00 149.86 0 0 30 30 2014-04-21 $61.88 $0.00 40.3% 11.6% 10.8% 60.4% 0.0% 12.8% -11.9% -2.4K 18.5K -707 0.00 178.06 0 10 20 30 2014-04-22 $62.27 $0.00 38.6% 11.1% 10.3% 57.3% 0.0% 14.3% -13.3% -5.1K 51.6K -926 0.00 188.29 0 0 20 40 2014-04-23 $62.59 $0.00 10.0% 2.9% 10.1% 5.5% 0.0% -0.1% -0.1% -8.6K 50.9K -780 0.00 95.21 14 0 20 40 2014-04-24 $62.88 $0.00 10.1% 2.9% 10.1% 5.8% 0.0% -0.8% -0.2% 470 -10.2K -908 0.00 108.01 0 14 34 40 2014-04-25 $62.89 $0.00 10.5% 3.0% 10.0% 6.5% 0.0% -0.6% -0.4% -3.2K -5.7K -949 0.00 85.69 0 0 34 54 2014-04-28 $62.46 $0.00 11.1% 3.2% 10.3% 7.5% 0.0% -0.6% -0.5% -2.8K 14.4K -947 0.00 73.16 0 0 34 54 2014-04-29 $62.21 $0.00 10.6% 3.0% 10.2% 6.6% 0.0% 0.2% -0.3% -2.4K 24.5K -944 0.00 77.78 0 0 34 54 2014-04-30 $62.40 $0.00 10.5% 3.0% 9.9% 6.4% 0.0% 0.2% 0.3% -2.8K 9.5K -946 0.00 102.29 0 0 34 54
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