LTPZ Options History — December 2014

In December 2014, LTPZ traded between $64.79 and $68.33. ATM implied volatility averaged 12.9%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 1.8% (HV 20d: 14.7%). Max pain ranged from $63.00 to $64.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.98.

Notable Days

2014-12-18: Highest Volume — 224 contracts
2014-12-11: Largest IV drop — 14.7% change
2014-12-10: Highest IV Rank — 15.1%
2014-12-16: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.42	$64.79	$68.33	$65.62	$67.21
Max Pain	$63.07	$63.00	$64.00	$63.00	$64.00
ATM IV	12.9%	11.0%	14.6%	13.3%	12.6%
Expected Move	3.9%	3.7%	4.2%	3.8%	3.8%
HV 20d	14.7%	10.4%	19.0%	10.4%	18.7%
HV 60d	12.6%	11.6%	14.2%	11.6%	13.4%
IV Rank	12.1%	8.7%	15.1%	12.8%	11.7%
IV Percentile	77.2%	39.7%	88.1%	81.0%	75.4%
Term Structure	0.7%	-2.0%	2.0%	-2.0%	0.5%
VWIV	13.4%	12.9%	14.0%	13.4%	13.6%
Skew 25d	-0.7%	-2.6%	2.1%	-1.1%	2.1%
Skew 10d	-0.8%	-4.5%	1.2%	-1.9%	-1.3%
Call IV 25d	13.1%	10.6%	15.0%	14.1%	10.6%
Put IV 25d	12.4%	11.1%	14.0%	12.9%	12.7%
Bid-Ask Spread %	26.37	14.80	40.65	15.31	31.69
Gamma HHI	0.35	0.19	0.68	0.42	0.21
Net GEX	-27.7K	-126.7K	85.0K	-82.6K	-27.3K
Net DEX	-62.8K	-525.5K	288.2K	83.3K	37.7K
Net VEX	-906	-1.6K	-417	-1.6K	-624
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.33	2.23	0.33	2.23
Total Volume	116.818	0	224	148	0
Total OI	242.455	84	349	319	84

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
2014-12-01	$65.62	$63.00	13.3%	3.8%	10.4%	12.8%	13.4%	-1.1%	-2.0%	-82.6K	83.3K	-1.6K	0.33	15.31	111	37	109	210
2014-12-02	$64.92	$63.00	13.1%	3.8%	11.0%	12.5%	13.5%	-1.0%	-0.8%	-101.7K	288.2K	-1.6K	0.33	16.26	111	37	109	204
2014-12-03	$64.96	$63.00	12.7%	3.7%	10.8%	11.8%	13.4%	-0.7%	-0.7%	-105.8K	249.9K	-1.5K	0.33	14.80	111	37	109	204
2014-12-04	$65.53	$63.00	12.5%	3.7%	11.3%	11.4%	0.0%	-1.2%	-0.5%	-98.1K	149.2K	-1.4K	0.00	15.36	0	0	96	204
2014-12-05	$64.79	$63.00	11.0%	3.7%	11.7%	8.7%	13.3%	-0.7%	2.0%	-126.7K	161.5K	-1.4K	0.33	16.27	111	37	109	204
2014-12-08	$65.89	$63.00	12.2%	3.7%	12.3%	10.8%	12.9%	-1.0%	1.5%	-86.2K	-31.7K	-1.2K	0.33	16.70	111	37	109	204
2014-12-09	$66.37	$63.00	13.0%	3.7%	12.3%	12.3%	13.1%	-0.4%	1.4%	-47.6K	-187.2K	-1.0K	0.33	18.04	111	37	109	204
2014-12-10	$66.79	$63.00	14.6%	3.8%	12.4%	15.1%	13.1%	-0.6%	1.0%	-5.7K	-338.6K	-835	0.51	23.89	111	57	109	204
2014-12-11	$66.35	$63.00	12.4%	3.9%	12.3%	11.3%	14.0%	-0.6%	1.4%	219	-347.5K	-780	0.51	19.74	111	57	109	204
2014-12-12	$67.49	$63.00	13.3%	4.1%	13.5%	12.9%	13.2%	-0.1%	1.0%	45.7K	-497.1K	-507	0.51	17.16	111	57	109	204
2014-12-15	$67.27	$63.00	13.4%	4.1%	13.6%	13.1%	13.7%	-0.2%	1.0%	48.4K	-477.8K	-460	0.52	25.53	109	57	109	204
2014-12-16	$68.33	$63.00	14.3%	4.2%	13.8%	14.6%	13.9%	-0.4%	0.5%	27.1K	-525.5K	-537	0.52	39.80	109	57	108	204
2014-12-17	$67.70	$63.00	14.2%	4.2%	14.4%	14.5%	13.6%	-2.6%	0.3%	85.0K	-522.4K	-417	0.85	40.65	109	93	109	204
2014-12-18	$66.15	$63.00	12.5%	4.0%	16.6%	11.5%	13.6%	-2.0%	1.5%	-68.0K	97.2K	-925	1.05	35.74	109	115	109	240
2014-12-19	$67.03	$64.00	12.4%	4.0%	17.0%	11.3%	0.0%	-1.1%	1.6%	71.2K	-43.1K	-818	0.00	29.17	0	0	74	262
2014-12-22	$67.53	$0.00	12.7%	3.8%	17.0%	11.7%	0.0%	-0.8%	0.7%	-21.9K	29.8K	-723	2.23	26.75	26	58	26	58
2014-12-23	$66.04	$0.00	12.7%	3.8%	19.0%	11.8%	0.0%	-1.1%	0.5%	-21.4K	109.7K	-755	2.23	29.40	26	58	26	58
2014-12-24	$66.02	$0.00	12.7%	3.9%	19.0%	11.8%	0.0%	-0.9%	0.8%	-21.8K	112.8K	-746	2.23	33.10	26	58	26	58
2014-12-26	$66.40	$0.00	12.1%	3.8%	19.0%	10.7%	0.0%	-0.6%	1.4%	-23.7K	99.2K	-708	2.23	37.99	26	58	26	58
2014-12-29	$66.40	$0.00	12.9%	3.9%	18.9%	12.1%	0.0%	0.3%	0.6%	-23.7K	85.8K	-696	2.23	40.29	26	58	26	58
2014-12-30	$66.42	$0.00	12.8%	3.9%	18.8%	12.0%	0.0%	0.1%	0.9%	-24.5K	84.3K	-690	0.00	36.40	0	0	26	58
2014-12-31	$67.21	$0.00	12.6%	3.8%	18.7%	11.7%	0.0%	2.1%	0.5%	-27.3K	37.7K	-624	0.00	31.69	0	0	26	58