LTPZ Options History — October 2014

In October 2014, LTPZ traded between $64.22 and $66.60. ATM implied volatility averaged 13.6%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.3% (HV 20d: 13.3%). Max pain ranged from $67.00 to $67.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.98.

Notable Days

  • 2014-10-29: Highest Volume — 324 contracts
  • 2014-10-13: Largest IV spike — 29.6% change
  • 2014-10-15: Highest IV Rank — 24.0%
  • 2014-10-15: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.50$64.22$66.60$64.92$65.36
Max Pain$67.00$67.00$67.00$67.00$67.00
ATM IV13.6%11.6%19.6%12.9%12.3%
Expected Move4.1%3.8%4.9%3.8%3.8%
HV 20d13.3%9.1%15.4%15.1%9.1%
HV 60d13.0%12.3%13.4%13.2%12.3%
IV Rank13.4%9.7%24.0%12.1%11.0%
IV Percentile78.8%59.5%90.9%75.8%73.8%
Term Structure0.3%-0.8%1.2%-0.2%0.5%
VWIV14.5%13.1%17.1%14.2%13.7%
Skew 25d-0.9%-3.1%0.4%-0.3%-0.4%
Skew 10d-1.1%-3.9%3.7%-0.0%-2.7%
Call IV 25d14.5%11.6%18.8%13.2%12.9%
Put IV 25d13.5%11.3%17.4%13.0%12.5%
Bid-Ask Spread %18.0410.9572.5512.3312.34
Gamma HHI0.280.210.380.270.32
Net GEX-42.8K-97.0K4.5K-13.3K-92.4K
Net DEX123.4K-215.1K425.3K64.9K227.6K
Net VEX-2.2K-3.1K-1.3K-1.5K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.001.960.001.37
Total Volume120.73903241294
Total OI242.261136372136372

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$64.92$67.0012.9%3.8%15.1%12.1%0.0%-0.3%-0.2%-13.3K64.9K-1.5K0.0012.33105680
2014-10-02$64.22$67.0012.9%3.9%14.9%12.1%0.0%0.4%0.2%-14.1K108.6K-1.5K0.0012.71005780
2014-10-03$64.32$67.0011.6%3.8%14.8%9.7%0.0%-0.4%1.1%-15.2K103.3K-1.4K0.0016.19005780
2014-10-06$64.26$67.0011.9%3.8%14.8%10.3%0.0%0.0%0.4%-14.9K106.7K-1.4K0.0011.95005780
2014-10-07$64.94$67.0013.0%4.0%15.4%12.3%0.0%-0.1%0.4%-12.2K54.9K-1.4K0.0011.55005780
2014-10-08$65.38$67.0012.3%4.0%14.9%11.0%14.2%-0.2%0.6%-5.9K-58.5K-1.6K0.5910.9580477280
2014-10-09$65.43$67.0012.1%4.0%14.9%10.8%0.0%0.1%0.2%-10.7K20.6K-1.4K0.0011.10005780
2014-10-10$65.83$67.0011.9%3.9%13.7%10.3%0.0%0.1%0.6%-9.3K-7.6K-1.4K0.0067.21005780
2014-10-13$66.49$67.0015.4%4.2%14.0%16.6%0.0%-0.5%0.1%-7.9K-50.2K-1.3K0.0016.242205780
2014-10-14$66.03$67.0015.9%4.2%14.2%17.4%14.8%-0.3%0.1%3.9K-166.6K-1.7K0.4711.27101479480
2014-10-15$66.60$67.0019.6%4.9%13.5%24.0%17.1%-1.4%-0.4%4.5K-215.1K-1.7K0.4616.07104489480
2014-10-16$66.58$67.0016.7%4.5%13.4%18.8%0.0%-2.1%-0.8%670-121.7K-1.6K0.0016.9501408281
2014-10-17$66.38$67.0014.8%4.3%13.3%15.6%0.0%-2.7%0.5%-54.1K191.9K-2.9K0.0012.1802282211
2014-10-20$66.42$67.0014.2%4.1%13.2%14.4%0.0%-2.0%0.2%-67.3K189.9K-2.8K0.0011.3102280233
2014-10-21$65.91$67.0014.5%4.1%13.4%15.0%14.5%-2.4%-0.1%-74.8K218.7K-3.1K1.9611.6010220095255
2014-10-22$65.74$67.0014.0%4.1%13.3%14.1%14.5%-1.4%0.1%-76.3K265.5K-3.1K1.9612.0010220095255
2014-10-23$65.18$67.0013.5%4.2%13.4%13.2%14.7%-0.6%1.2%-73.0K258.0K-3.1K1.9616.0210220095255
2014-10-24$65.10$67.0013.9%4.1%12.8%14.0%14.8%-1.5%0.1%-88.7K396.2K-3.1K1.9611.8310220095255
2014-10-27$65.36$67.0013.5%4.1%12.8%13.2%0.0%-1.4%0.5%-96.1K425.3K-2.9K0.0012.2222080255
2014-10-28$65.12$67.0012.4%4.0%12.7%11.2%0.0%-0.8%0.8%-85.1K397.9K-3.0K0.0013.6510102255
2014-10-29$65.50$67.0012.2%3.8%9.9%10.9%13.7%-0.9%0.7%-85.7K195.0K-2.9K1.6114.69124200117255
2014-10-30$65.36$67.0012.2%3.8%9.1%10.9%13.1%-3.1%1.1%-97.0K233.1K-2.9K1.3772.55124170117255
2014-10-31$65.36$67.0012.3%3.8%9.1%11.0%13.7%-0.4%0.5%-92.4K227.6K-2.9K1.3712.34124170117255