LTPZ Options History — September 2014 In September 2014, LTPZ traded between $62.46 and $66.63. ATM implied volatility averaged 11.7%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.9% (HV 20d: 12.6%). Max pain ranged from $67.00 to $67.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days.
Notable Days 2014-09-16 : Highest Volume — 1 contracts2014-09-11 : Largest IV spike — 47.7% change2014-09-16 : Highest IV Rank — 12.3%2014-09-29 : Largest Expected Move — 3.8%Monthly Statistics Metric Avg Min Max Open Close Price $64.16 $62.46 $66.63 $66.32 $63.43 Max Pain $67.00 $67.00 $67.00 $67.00 $67.00 ATM IV 11.7% 8.4% 13.0% 11.6% 12.6% Expected Move 3.7% 3.4% 3.8% 3.7% 3.8% HV 20d 12.6% 11.8% 13.4% 12.2% 12.3% HV 60d 12.5% 11.9% 12.8% 11.9% 12.5% IV Rank 10.0% 4.1% 12.3% 9.7% 11.6% IV Percentile 58.8% 3.2% 75.4% 56.3% 73.8% Term Structure 0.3% -0.5% 1.3% -0.0% 0.0% Skew 25d 0.3% -1.1% 3.0% -0.4% -0.1% Skew 10d 0.6% -1.3% 2.9% 0.3% -1.0% Call IV 25d 11.3% 8.1% 13.4% 9.5% 12.9% Put IV 25d 11.5% 9.2% 13.0% 9.2% 12.8% Bid-Ask Spread % 40.19 11.69 81.17 66.16 12.91 Gamma HHI 0.27 0.21 0.32 0.32 0.26 Net GEX -23.0K -41.8K -2.4K -2.9K -16.0K Net DEX 160.2K -51.4K 366.8K -39.2K 164.9K Net VEX -1.6K -1.8K -1.4K -1.8K -1.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.095 0 1 0 1 Total OI 213.81 135 254 253 135
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 2014-09-02 $66.32 $67.00 11.6% 3.7% 12.2% 9.7% 0.0% -0.4% -0.0% -2.9K -39.2K -1.8K 0.00 66.16 0 0 78 175 2014-09-03 $66.63 $67.00 11.3% 3.5% 12.3% 9.3% 0.0% 0.8% 0.9% -2.4K -51.4K -1.8K 0.00 61.61 0 0 78 175 2014-09-04 $65.78 $67.00 12.1% 3.6% 13.2% 10.8% 0.0% -1.1% -0.5% -11.8K 6.7K -1.8K 0.00 60.22 0 0 78 175 2014-09-05 $65.39 $67.00 10.8% 3.7% 12.7% 8.4% 0.0% -0.2% 1.1% -22.0K 56.9K -1.8K 0.00 56.32 0 0 78 175 2014-09-08 $65.38 $67.00 10.7% 3.6% 12.7% 8.1% 0.0% 3.0% 0.5% -27.4K 65.2K -1.7K 0.00 72.85 0 0 78 175 2014-09-09 $65.27 $67.00 11.1% 3.4% 12.6% 8.9% 0.0% 3.0% 0.4% -31.2K 80.7K -1.7K 0.00 68.46 0 0 78 175 2014-09-10 $64.52 $67.00 8.4% 3.6% 13.0% 4.1% 0.0% 0.7% 0.4% -41.8K 154.6K -1.7K 0.00 78.23 0 0 78 175 2014-09-11 $64.53 $67.00 12.4% 3.6% 12.8% 11.2% 0.0% 0.4% 0.2% -37.4K 143.4K -1.7K 0.00 69.05 0 0 78 175 2014-09-12 $63.53 $67.00 12.0% 3.6% 13.0% 10.5% 0.0% 1.3% 0.1% -41.3K 265.9K -1.6K 0.00 81.17 0 0 78 175 2014-09-15 $63.61 $67.00 11.5% 3.6% 12.4% 9.7% 0.0% 0.9% 0.1% -39.7K 253.6K -1.6K 0.00 80.61 0 0 78 175 2014-09-16 $63.28 $67.00 13.0% 3.8% 11.8% 12.3% 0.0% -0.4% 0.3% -39.0K 287.0K -1.6K 0.00 11.69 0 1 78 175 2014-09-17 $62.63 $67.00 12.3% 3.7% 12.1% 11.0% 0.0% -0.3% 0.2% -25.5K 347.4K -1.4K 0.00 16.69 0 0 78 176 2014-09-18 $62.46 $67.00 11.9% 3.6% 12.1% 10.3% 0.0% -0.2% 0.4% -24.8K 366.8K -1.4K 0.00 16.22 0 0 78 176 2014-09-19 $63.16 $67.00 11.6% 3.6% 12.5% 9.8% 0.0% 0.1% 0.6% -22.1K 313.3K -1.5K 0.00 14.45 0 0 78 176 2014-09-22 $63.06 $67.00 11.8% 3.6% 12.1% 10.2% 0.0% -0.2% 0.1% -17.3K 197.1K -1.4K 0.00 16.09 0 0 56 79 2014-09-23 $63.68 $67.00 11.8% 3.7% 12.8% 10.2% 0.0% 0.0% 0.2% -16.9K 151.8K -1.5K 0.00 12.19 0 0 56 79 2014-09-24 $63.44 $67.00 11.9% 3.7% 12.8% 10.4% 0.0% -0.3% -0.0% -16.8K 166.8K -1.5K 0.00 12.17 0 0 56 79 2014-09-25 $64.13 $67.00 11.9% 3.7% 13.4% 10.4% 0.0% -0.7% 1.3% -16.1K 122.5K -1.5K 0.00 12.20 0 0 56 79 2014-09-26 $63.49 $67.00 12.2% 3.8% 12.9% 10.8% 0.0% -0.5% 0.4% -15.9K 161.2K -1.5K 0.00 12.27 0 0 56 79 2014-09-29 $63.72 $67.00 13.0% 3.8% 13.1% 12.2% 0.0% -0.0% -0.2% -15.7K 148.3K -1.4K 0.00 12.45 0 0 56 79 2014-09-30 $63.43 $67.00 12.6% 3.8% 12.3% 11.6% 0.0% -0.1% 0.0% -16.0K 164.9K -1.4K 0.00 12.91 0 1 56 79
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