LTPZ Options History — November 2014

In November 2014, LTPZ traded between $64.00 and $66.02. ATM implied volatility averaged 12.0%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.6% (HV 20d: 9.4%). Max pain ranged from $63.00 to $67.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.45.

Notable Days

2014-11-03: Highest Volume — 300 contracts
2014-11-13: Largest IV spike — 12.7% change
2014-11-04: Highest IV Rank — 12.3%
2014-11-04: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.11	$64.00	$66.02	$65.03	$66.02
Max Pain	$63.21	$63.00	$67.00	$67.00	$63.00
ATM IV	12.0%	10.7%	13.0%	12.7%	12.1%
Expected Move	3.7%	3.5%	3.9%	3.8%	3.5%
HV 20d	9.4%	8.4%	10.2%	9.3%	10.2%
HV 60d	12.1%	11.6%	12.4%	12.3%	11.6%
IV Rank	10.5%	8.2%	12.3%	11.7%	10.7%
IV Percentile	64.2%	33.7%	79.4%	77.0%	69.0%
Term Structure	0.6%	-0.3%	1.4%	0.5%	-0.2%
VWIV	13.5%	12.7%	13.8%	13.6%	12.7%
Skew 25d	-0.8%	-3.3%	1.1%	-0.6%	-1.2%
Skew 10d	-1.5%	-3.9%	-0.3%	-0.3%	-3.9%
Call IV 25d	12.9%	10.9%	13.9%	13.2%	13.2%
Put IV 25d	12.1%	10.6%	13.1%	12.6%	12.0%
Bid-Ask Spread %	14.43	11.89	19.81	12.16	19.81
Gamma HHI	0.35	0.27	0.44	0.28	0.42
Net GEX	-99.1K	-151.7K	-19.8K	-89.3K	-78.9K
Net DEX	240.4K	-196.4K	679.9K	307.4K	62.2K
Net VEX	-2.3K	-2.9K	-1.6K	-2.9K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.45	1.13	1.53	1.31	1.13
Total Volume	207.684	0	300	300	0
Total OI	357.789	291	380	372	306

Daily Data (19 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
2014-11-03	$65.03	$67.00	12.7%	3.8%	9.3%	11.7%	13.6%	-0.6%	0.5%	-89.3K	307.4K	-2.9K	1.31	12.16	130	170	117	255
2014-11-04	$65.37	$63.00	13.0%	3.9%	8.7%	12.3%	13.8%	-0.9%	0.2%	-84.1K	192.7K	-2.9K	1.31	11.95	130	170	123	255
2014-11-05	$65.44	$63.00	12.6%	3.8%	8.4%	11.6%	13.6%	-0.6%	0.5%	-90.2K	173.5K	-2.9K	1.31	11.89	130	170	123	255
2014-11-06	$64.94	$63.00	11.9%	3.8%	8.8%	10.4%	13.6%	-1.2%	0.8%	-90.1K	271.5K	-2.9K	1.53	12.28	111	170	125	255
2014-11-07	$65.79	$63.00	10.7%	3.8%	9.8%	8.2%	13.3%	-0.6%	0.6%	-73.4K	38.6K	-2.7K	1.53	13.95	111	170	125	255
2014-11-10	$65.32	$63.00	11.1%	3.7%	9.3%	8.9%	13.5%	1.1%	0.6%	-86.0K	161.9K	-2.5K	1.53	13.24	111	170	125	255
2014-11-11	$65.38	$63.00	11.5%	3.7%	9.1%	9.6%	13.5%	1.1%	0.6%	-19.8K	-196.4K	-1.7K	1.53	13.04	111	170	135	156
2014-11-12	$64.87	$63.00	11.2%	3.7%	8.8%	9.1%	13.6%	-0.9%	0.7%	-99.6K	282.9K	-2.6K	1.53	12.99	111	170	125	255
2014-11-13	$64.89	$63.00	12.6%	3.8%	8.8%	11.6%	13.8%	-1.3%	0.7%	-104.1K	300.1K	-2.5K	1.53	15.05	111	170	125	255
2014-11-14	$65.21	$63.00	12.6%	3.8%	9.0%	11.7%	0.0%	-0.7%	0.7%	-97.0K	285.0K	-2.4K	0.00	16.15	0	0	109	255
2014-11-17	$64.58	$63.00	12.7%	3.8%	9.5%	11.8%	13.7%	-1.4%	0.7%	-112.2K	350.9K	-2.4K	1.53	13.40	111	170	125	255
2014-11-18	$64.62	$63.00	12.9%	3.8%	9.2%	12.2%	13.8%	-3.3%	0.5%	-113.1K	345.7K	-2.3K	1.53	15.13	111	170	125	255
2014-11-19	$64.00	$63.00	11.9%	3.8%	9.7%	10.4%	0.0%	-0.8%	1.1%	-151.7K	679.9K	-2.0K	0.00	17.43	0	0	109	255
2014-11-20	$64.32	$63.00	12.2%	3.8%	9.6%	10.8%	13.6%	-0.9%	1.0%	-150.3K	529.4K	-2.1K	1.53	16.83	111	170	109	255
2014-11-21	$64.87	$63.00	11.6%	3.7%	10.1%	9.8%	13.2%	-1.2%	1.4%	-126.0K	315.0K	-2.1K	1.53	13.26	111	170	109	255
2014-11-24	$65.13	$63.00	11.3%	3.6%	10.1%	9.3%	0.0%	-0.5%	0.1%	-99.5K	249.2K	-1.9K	0.00	13.25	0	0	109	210
2014-11-25	$65.43	$63.00	11.3%	3.6%	10.2%	9.2%	12.7%	-0.2%	0.6%	-114.0K	179.5K	-1.7K	1.13	13.25	111	125	109	210
2014-11-26	$65.79	$63.00	11.7%	3.6%	10.1%	10.0%	0.0%	-0.8%	-0.3%	-103.0K	39.4K	-1.7K	0.00	19.06	0	0	109	210
2014-11-28	$66.02	$63.00	12.1%	3.5%	10.2%	10.7%	0.0%	-1.2%	-0.2%	-78.9K	62.2K	-1.6K	0.00	19.81	0	0	96	210