LTPZ Options History — June 2014

In June 2014, LTPZ traded between $62.65 and $65.32. ATM implied volatility averaged 9.5%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 4.6% (HV 20d: 14.0%). Max pain ranged from $61.00 to $67.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.24.

Notable Days

2014-06-04: Highest Volume — 22 contracts
2014-06-06: Largest IV drop — 14.6% change
2014-06-02: Highest IV Rank — 8.9%
2014-06-02: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.68	$62.65	$65.32	$64.05	$65.05
Max Pain	$65.86	$61.00	$67.00	$61.00	$67.00
ATM IV	9.5%	8.6%	11.1%	11.1%	9.2%
Expected Move	2.7%	2.5%	3.2%	3.2%	2.6%
HV 20d	14.0%	10.8%	15.8%	14.8%	10.8%
HV 60d	12.5%	12.2%	12.9%	12.3%	12.2%
IV Rank	6.0%	4.4%	8.9%	8.9%	5.6%
IV Percentile	8.5%	3.2%	23.0%	23.0%	8.3%
Term Structure	0.4%	-0.8%	1.1%	-0.7%	0.5%
Skew 25d	-0.2%	-1.8%	0.6%	0.3%	0.2%
Skew 10d	0.1%	-5.1%	3.5%	0.4%	1.2%
Call IV 25d	9.6%	8.7%	11.3%	10.6%	9.1%
Put IV 25d	9.4%	8.6%	10.9%	10.9%	9.4%
Bid-Ask Spread %	66.58	47.73	117.74	99.13	61.30
Gamma HHI	0.22	0.20	0.25	0.23	0.20
Net GEX	-37.0K	-44.8K	-31.8K	-40.3K	-39.9K
Net DEX	364.7K	171.2K	498.1K	428.1K	203.8K
Net VEX	-2.1K	-2.4K	-1.6K	-1.6K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.24	0.00	1.00	0.00	0.00
Total Volume	5.143	0	22	12	5
Total OI	224.429	187	247	187	217

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
2014-06-02	$64.05	$61.00	11.1%	3.2%	14.8%	8.9%	0.0%	0.3%	-0.7%	-40.3K	428.1K	-1.6K	0.00	99.13	12	0	0	187
2014-06-03	$62.85	$61.00	10.9%	3.1%	15.8%	8.6%	0.0%	-0.5%	-0.8%	-43.3K	480.4K	-1.6K	0.00	113.50	0	0	6	187
2014-06-04	$62.65	$61.00	11.0%	3.2%	15.8%	8.8%	0.0%	-1.8%	-0.7%	-44.8K	498.1K	-1.6K	0.00	117.74	22	0	6	187
2014-06-05	$62.85	$61.00	10.9%	3.1%	15.8%	8.5%	0.0%	-0.7%	-0.8%	-36.4K	422.1K	-2.0K	0.00	96.73	0	15	28	187
2014-06-06	$62.99	$67.00	9.3%	2.6%	15.8%	5.7%	0.0%	-0.3%	0.9%	-40.7K	438.4K	-2.2K	0.00	53.60	0	0	28	202
2014-06-09	$62.95	$67.00	9.6%	2.6%	15.8%	6.2%	0.0%	0.1%	0.8%	-36.9K	441.1K	-2.2K	0.00	47.76	0	0	28	202
2014-06-10	$62.65	$67.00	9.3%	2.6%	15.7%	5.6%	0.0%	-0.2%	1.0%	-38.4K	466.1K	-2.1K	0.00	50.52	0	0	28	202
2014-06-11	$62.81	$67.00	9.4%	2.6%	15.5%	5.9%	0.0%	-0.1%	0.6%	-37.5K	456.5K	-2.1K	0.00	47.73	0	0	28	202
2014-06-12	$63.27	$67.00	9.2%	2.6%	14.8%	5.6%	0.0%	0.6%	0.4%	-33.4K	415.9K	-2.1K	0.70	52.10	10	7	28	202
2014-06-13	$63.15	$67.00	9.1%	2.6%	13.5%	5.4%	0.0%	-0.1%	0.8%	-32.8K	401.9K	-2.4K	0.00	51.18	8	0	38	209
2014-06-16	$63.48	$67.00	9.3%	2.7%	13.7%	5.6%	0.0%	-0.3%	0.6%	-32.7K	374.7K	-2.3K	0.00	54.90	0	0	38	209
2014-06-17	$63.25	$67.00	9.3%	2.7%	12.9%	5.7%	0.0%	-0.3%	0.7%	-32.7K	395.5K	-2.3K	0.00	51.50	0	0	38	209
2014-06-18	$63.92	$67.00	8.6%	2.5%	13.4%	4.4%	0.0%	-0.2%	0.8%	-33.1K	341.0K	-2.3K	0.00	70.38	0	0	38	209
2014-06-19	$63.44	$67.00	8.7%	2.5%	13.5%	4.6%	0.0%	0.2%	1.1%	-31.8K	387.8K	-2.3K	0.00	57.12	0	0	38	209
2014-06-20	$63.85	$67.00	8.8%	2.5%	13.6%	4.8%	0.0%	0.1%	1.0%	-33.2K	338.1K	-2.3K	1.00	67.94	1	1	38	209
2014-06-23	$64.01	$67.00	8.8%	2.5%	13.5%	4.9%	0.0%	-0.4%	0.6%	-33.8K	331.5K	-2.2K	0.00	64.99	5	0	37	173
2014-06-24	$64.64	$67.00	9.1%	2.6%	14.0%	5.4%	0.0%	-0.3%	0.8%	-35.9K	245.2K	-2.3K	0.00	73.64	0	22	42	173
2014-06-25	$64.93	$67.00	9.2%	2.6%	12.0%	5.4%	0.0%	-0.1%	0.3%	-36.2K	232.6K	-2.3K	0.00	62.19	0	0	42	175
2014-06-26	$65.32	$67.00	9.0%	2.6%	12.2%	5.2%	0.0%	-0.0%	0.5%	-39.9K	189.0K	-2.2K	0.00	54.74	0	0	42	175
2014-06-27	$65.24	$67.00	8.8%	2.5%	12.1%	4.9%	0.0%	-0.1%	0.3%	-43.4K	171.2K	-2.0K	0.00	49.56	0	0	42	175
2014-06-30	$65.05	$67.00	9.2%	2.6%	10.8%	5.6%	0.0%	0.2%	0.5%	-39.9K	203.8K	-2.2K	0.00	61.30	5	0	42	175