LTPZ Options History — July 2014 In July 2014, LTPZ traded between $63.33 and $67.13. ATM implied volatility averaged 9.7%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 2.2% (HV 20d: 11.9%). Max pain ranged from $67.00 to $67.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2014-07-24 : Highest Volume — 44 contracts2014-07-24 : Largest IV spike — 13.9% change2014-07-31 : Highest IV Rank — 9.9%2014-07-31 : Largest Expected Move — 3.6%Monthly Statistics Metric Avg Min Max Open Close Price $65.48 $63.33 $67.13 $64.26 $65.59 Max Pain $67.00 $67.00 $67.00 $67.00 $67.00 ATM IV 9.7% 8.0% 11.7% 9.3% 11.7% Expected Move 3.0% 2.3% 3.6% 2.7% 3.6% HV 20d 11.9% 9.3% 13.8% 9.3% 12.7% HV 60d 12.8% 12.5% 13.2% 12.5% 13.1% IV Rank 6.4% 3.3% 9.9% 5.7% 9.9% IV Percentile 18.6% 0.8% 54.8% 10.7% 54.8% Term Structure 0.2% -0.8% 1.3% 0.4% -0.2% Skew 25d -0.0% -0.8% 1.0% 1.0% 0.5% Skew 10d -0.3% -2.3% 1.7% 1.7% -0.6% Call IV 25d 9.7% 7.8% 11.4% 8.7% 9.0% Put IV 25d 9.7% 7.1% 12.0% 9.7% 9.5% Bid-Ask Spread % 43.50 10.31 76.59 33.54 59.82 Gamma HHI 0.26 0.22 0.33 0.22 0.24 Net GEX -27.9K -47.9K -324 -32.1K -19.5K Net DEX 116.6K -137.6K 361.7K 284.1K 45.4K Net VEX -2.0K -2.3K -1.7K -2.2K -2.1K 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 4.273 0 44 0 0 Total OI 227.409 216 260 217 243
Daily Data (22 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 2014-07-01 $64.26 $67.00 9.3% 2.7% 9.3% 5.7% 0.0% 1.0% 0.4% -32.1K 284.1K -2.2K 0.00 33.54 0 0 42 175 2014-07-02 $63.33 $67.00 9.2% 2.6% 10.8% 5.4% 0.0% -0.2% 0.5% -29.1K 361.7K -2.2K 0.00 37.28 0 0 42 175 2014-07-03 $63.43 $67.00 8.2% 2.3% 10.7% 3.7% 0.0% -0.7% 1.1% -30.0K 356.3K -2.2K 0.00 51.13 0 0 42 175 2014-07-07 $64.05 $0.00 8.0% 2.7% 11.2% 3.3% 0.0% 0.3% 0.2% -31.9K 303.6K -2.1K 0.00 30.60 0 0 42 175 2014-07-08 $64.69 $0.00 8.8% 2.7% 11.7% 4.8% 0.0% 0.3% 0.2% -32.6K 241.4K -2.1K 0.00 37.44 0 0 42 175 2014-07-09 $65.13 $0.00 8.3% 2.7% 11.6% 4.0% 0.0% 0.1% 0.1% -33.0K 208.8K -2.1K 0.00 28.01 0 0 42 175 2014-07-10 $65.15 $0.00 9.5% 2.7% 11.6% 6.0% 0.0% -0.3% 0.5% -33.0K 208.5K -2.1K 0.00 41.32 0 0 42 175 2014-07-11 $65.68 $0.00 9.4% 2.7% 11.6% 5.9% 0.0% -0.0% 0.3% -39.8K 151.4K -1.9K 0.00 48.97 0 0 42 175 2014-07-14 $65.19 $0.00 9.7% 2.8% 12.0% 6.4% 0.0% -0.3% 0.0% -32.6K 193.2K -2.0K 0.00 40.49 0 0 42 175 2014-07-15 $65.18 $0.00 8.9% 2.6% 12.0% 5.1% 0.0% -0.4% 0.2% -31.9K 203.0K -2.0K 0.00 64.14 0 22 42 175 2014-07-16 $65.15 $0.00 9.0% 2.6% 11.9% 5.2% 0.0% 0.4% 0.1% -33.9K 210.5K -2.0K 0.00 52.65 0 0 42 197 2014-07-17 $66.16 $0.00 9.9% 2.8% 12.5% 6.7% 0.0% -0.4% -0.3% -47.9K 116.6K -1.8K 0.00 76.59 1 0 42 197 2014-07-18 $65.97 $0.00 9.3% 2.7% 12.1% 5.6% 0.0% -0.1% -0.1% -32.6K 131.8K -1.8K 0.00 58.51 0 0 43 197 2014-07-21 $66.29 $0.00 9.6% 3.1% 12.0% 6.3% 0.0% 0.1% -0.0% -28.8K -42.4K -1.7K 0.00 11.11 2 0 43 175 2014-07-22 $66.47 $0.00 9.4% 3.1% 12.0% 5.9% 0.0% -0.1% 0.3% -31.5K -45.4K -1.7K 0.00 14.61 2 0 43 175 2014-07-23 $66.37 $0.00 9.6% 3.1% 11.7% 6.2% 0.0% -0.4% 0.2% -31.6K -27.5K -1.7K 0.00 10.31 0 0 41 175 2014-07-24 $65.86 $0.00 10.9% 3.6% 12.1% 8.5% 0.0% -0.3% 0.4% -29.5K 21.1K -1.9K 0.00 14.05 44 0 41 175 2014-07-25 $66.81 $0.00 11.0% 3.3% 12.9% 8.7% 0.0% 0.6% 0.3% -324 -137.6K -2.3K 0.00 36.21 23 0 85 175 2014-07-28 $66.79 $0.00 11.7% 3.5% 12.9% 9.9% 0.0% 0.3% -0.8% -9.4K -90.9K -2.0K 0.00 69.03 0 0 73 175 2014-07-29 $67.13 $0.00 10.7% 3.6% 12.8% 8.2% 0.0% -0.8% 1.3% -8.2K -114.8K -1.9K 0.00 70.02 0 0 73 175 2014-07-30 $65.93 $0.00 10.7% 3.6% 13.8% 8.3% 0.0% -0.8% 0.6% -14.6K -13.1K -2.1K 0.00 71.23 0 0 73 175 2014-07-31 $65.59 $0.00 11.7% 3.6% 12.7% 9.9% 0.0% 0.5% -0.2% -19.5K 45.4K -2.1K 0.00 59.82 0 0 68 175
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