LTPZ Options History — August 2014 In August 2014, LTPZ traded between $65.75 and $67.74. ATM implied volatility averaged 10.9%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 1.7% (HV 20d: 12.5%). Max pain ranged from $67.00 to $68.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-08-15 : Highest Volume — 10 contracts2014-08-28 : Largest IV spike — 13.8% change2014-08-18 : Highest IV Rank — 10.6%2014-08-06 : Largest Expected Move — 3.6%Monthly Statistics Metric Avg Min Max Open Close Price $66.54 $65.75 $67.74 $66.15 $67.34 Max Pain $67.20 $67.00 $68.00 $68.00 $67.00 ATM IV 10.9% 9.3% 12.0% 10.8% 11.1% Expected Move 3.6% 3.4% 3.6% 3.5% 3.6% HV 20d 12.5% 10.8% 13.5% 13.0% 11.0% HV 60d 12.6% 11.3% 13.3% 13.2% 11.5% IV Rank 8.5% 5.6% 10.6% 8.4% 8.8% IV Percentile 38.8% 11.5% 63.1% 32.9% 41.3% Term Structure 0.2% -1.1% 1.5% 0.6% 0.3% VWIV 12.5% 12.5% 12.5% 12.5% 12.5% Skew 25d 0.0% -1.6% 2.6% 0.4% -0.4% Skew 10d -0.3% -4.2% 4.4% 1.7% 0.0% Call IV 25d 10.3% 8.1% 13.2% 8.1% 8.8% Put IV 25d 10.3% 8.4% 12.1% 8.5% 8.4% Bid-Ask Spread % 63.88 53.02 73.01 53.02 61.28 Gamma HHI 0.30 0.25 0.38 0.27 0.38 Net GEX -5.6K -17.5K 14.6K -17.5K 11.5K Net DEX -70.5K -247.8K 38.9K 16.4K -149.5K Net VEX -1.9K -2.1K -1.6K -2.0K -1.8K 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 0.952 0 10 0 0 Total OI 251.095 243 263 243 253
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 2014-08-01 $66.15 $0.00 10.8% 3.5% 13.0% 8.4% 0.0% 0.4% 0.6% -17.5K 16.4K -2.0K 0.00 53.02 0 0 68 175 2014-08-04 $65.81 $0.00 10.8% 3.6% 12.9% 8.4% 0.0% 0.7% 1.3% -15.3K 32.6K -2.1K 0.00 63.43 0 0 68 175 2014-08-05 $65.88 $0.00 10.1% 3.6% 12.5% 7.1% 0.0% 2.6% -0.4% -14.9K 26.6K -1.9K 0.00 63.13 0 0 68 175 2014-08-06 $66.01 $0.00 10.8% 3.6% 12.3% 8.3% 0.0% 0.0% -0.2% -13.4K 18.3K -2.1K 0.00 61.59 0 0 68 175 2014-08-07 $66.72 $0.00 9.5% 3.6% 12.8% 6.0% 0.0% -0.1% 1.3% -8.9K -42.1K -1.9K 0.00 59.05 0 0 68 175 2014-08-08 $66.48 $0.00 9.3% 3.6% 12.6% 5.6% 0.0% -1.6% -0.2% -9.0K -34.9K -1.9K 0.00 59.59 0 0 68 175 2014-08-11 $66.22 $0.00 10.0% 3.4% 12.4% 7.0% 0.0% -1.1% 0.6% -10.4K -16.3K -1.9K 0.00 55.55 0 0 68 175 2014-08-12 $65.75 $0.00 10.5% 3.6% 12.7% 7.9% 0.0% 0.8% 0.1% -15.6K 38.9K -2.0K 0.00 63.42 0 0 68 175 2014-08-13 $66.13 $0.00 10.8% 3.6% 12.8% 8.4% 0.0% -0.1% 0.3% -14.7K -2.0K -1.8K 0.00 66.98 0 0 68 175 2014-08-14 $66.82 $0.00 10.5% 3.6% 12.2% 7.9% 0.0% 1.0% 1.5% -8.9K -74.6K -1.7K 0.00 64.51 0 0 68 175 2014-08-15 $67.41 $0.00 11.4% 3.6% 12.4% 9.5% 12.5% -1.2% 0.9% -427 -137.2K -1.6K 0.00 65.39 10 0 68 175 2014-08-18 $66.56 $68.00 12.0% 3.6% 13.3% 10.6% 0.0% -0.4% -1.1% -4.4K -88.8K -1.9K 0.00 63.74 0 0 78 175 2014-08-19 $66.10 $68.00 11.7% 3.6% 13.5% 9.9% 12.5% 0.9% -0.7% -8.2K -37.5K -1.9K 0.00 68.50 10 0 78 175 2014-08-20 $65.93 $67.00 11.2% 3.6% 13.5% 9.0% 0.0% -0.8% 0.1% -12.1K -36.0K -2.1K 0.00 73.01 0 0 88 175 2014-08-21 $66.46 $67.00 11.3% 3.6% 13.5% 9.2% 0.0% 2.6% -1.0% -6.9K -87.6K -2.0K 0.00 68.16 0 0 88 175 2014-08-22 $66.86 $67.00 11.4% 3.5% 12.7% 9.5% 0.0% 1.0% -0.2% -2.4K -157.6K -1.8K 0.00 62.04 0 0 88 175 2014-08-25 $67.04 $67.00 10.9% 3.6% 12.7% 8.5% 0.0% -0.4% 0.7% 6.3K -166.7K -1.9K 0.00 69.10 0 0 88 175 2014-08-26 $66.79 $67.00 11.6% 3.6% 12.6% 9.7% 0.0% -1.1% -0.5% 3.5K -149.9K -1.9K 0.00 66.54 0 0 88 175 2014-08-27 $67.11 $67.00 10.5% 3.5% 10.8% 7.9% 0.0% -0.6% 0.2% 8.8K -184.5K -1.8K 0.00 63.74 0 0 88 175 2014-08-28 $67.74 $67.00 11.9% 3.6% 11.0% 10.4% 0.0% -1.4% -0.4% 14.6K -247.8K -1.8K 0.00 69.69 0 0 88 175 2014-08-29 $67.34 $67.00 11.1% 3.6% 11.0% 8.8% 0.0% -0.4% 0.3% 11.5K -149.5K -1.8K 0.00 61.28 0 0 78 175
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