LTPZ Options History — February 2015

In February 2015, LTPZ traded between $66.02 and $71.64. ATM implied volatility averaged 17.2%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 2.3% (HV 20d: 19.6%). Max pain ranged from $68.00 to $70.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.76.

Notable Days

2015-02-24: Highest Volume — 94 contracts
2015-02-03: Largest IV spike — 6.6% change
2015-02-20: Highest IV Rank — 21.8%
2015-02-20: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.36	$66.02	$71.64	$71.64	$68.93
Max Pain	$68.53	$68.00	$70.00	$70.00	$68.00
ATM IV	17.2%	16.2%	18.3%	16.5%	17.2%
Expected Move	5.0%	4.7%	5.3%	4.7%	4.9%
HV 20d	19.6%	17.3%	21.6%	18.6%	17.5%
HV 60d	17.7%	16.6%	18.3%	16.6%	18.3%
IV Rank	19.9%	17.9%	21.8%	18.5%	19.8%
IV Percentile	86.9%	82.9%	90.1%	85.7%	85.3%
Term Structure	-0.5%	-1.4%	0.4%	-0.5%	-1.0%
VWIV	17.7%	16.8%	19.9%	17.6%	17.8%
Skew 25d	-1.2%	-1.7%	-0.7%	-1.2%	-0.7%
Skew 10d	-1.1%	-2.4%	0.0%	-0.9%	-0.7%
Call IV 25d	18.5%	17.5%	19.4%	17.5%	17.8%
Put IV 25d	17.3%	16.3%	18.3%	16.3%	17.0%
Bid-Ask Spread %	39.75	30.92	54.62	52.63	38.10
Gamma HHI	0.23	0.19	0.28	0.27	0.19
Net GEX	4.8K	1.8K	10.2K	5.0K	4.0K
Net DEX	-14.5K	-137.9K	92.3K	-137.9K	-34.8K
Net VEX	-663	-799	-545	-636	-628
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	1.53	2.13	1.81	2.13
Total Volume	68.211	0	94	0	94
Total OI	106.789	93	124	93	124

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
2015-02-02	$71.64	$70.00	16.5%	4.7%	18.6%	18.5%	0.0%	-1.2%	-0.5%	5.0K	-137.9K	-636	0.00	52.63	0	0	44	49
2015-02-03	$70.08	$70.00	17.5%	5.0%	20.3%	20.4%	17.6%	-0.9%	0.2%	4.3K	-100.1K	-767	1.81	41.54	27	49	50	49
2015-02-04	$70.71	$70.00	17.6%	5.0%	20.4%	20.5%	17.5%	-1.3%	0.2%	3.6K	-128.0K	-763	1.67	53.52	30	50	50	49
2015-02-05	$69.80	$68.00	17.1%	5.1%	21.0%	19.5%	18.2%	-1.7%	-0.6%	6.1K	-97.8K	-795	1.79	38.89	28	50	54	50
2015-02-06	$69.07	$68.00	16.2%	5.0%	21.0%	17.9%	17.9%	-1.6%	-0.3%	6.3K	-61.6K	-799	1.68	43.86	28	47	55	50
2015-02-09	$69.20	$68.00	16.6%	5.0%	20.9%	18.7%	17.9%	-1.4%	-0.5%	7.1K	-68.4K	-743	1.68	35.26	28	47	55	50
2015-02-10	$68.14	$68.00	16.3%	5.1%	21.6%	18.3%	18.1%	-1.0%	-0.6%	5.4K	-17.7K	-750	1.68	32.60	28	47	55	50
2015-02-11	$68.08	$68.00	17.0%	4.9%	21.3%	19.5%	17.8%	-0.8%	0.4%	5.3K	-11.3K	-683	1.57	40.56	30	47	55	50
2015-02-12	$67.28	$68.00	17.0%	4.9%	20.9%	19.5%	16.8%	-1.7%	0.3%	5.0K	24.1K	-689	1.57	32.22	30	47	57	50
2015-02-13	$66.86	$68.00	17.0%	4.9%	20.0%	19.4%	16.8%	-1.3%	-0.4%	3.4K	51.9K	-656	1.57	30.92	30	47	57	50
2015-02-17	$66.02	$68.00	17.4%	5.0%	19.8%	20.1%	17.6%	-1.6%	-0.5%	1.8K	90.2K	-591	1.57	36.14	30	47	57	50
2015-02-18	$66.83	$68.00	17.8%	5.1%	19.6%	20.9%	19.9%	-1.1%	-0.9%	4.9K	53.5K	-603	1.57	39.11	30	47	57	50
2015-02-19	$66.70	$70.00	18.1%	5.2%	18.5%	21.5%	0.0%	-0.9%	-0.9%	2.6K	92.3K	-566	0.00	38.16	0	0	51	50
2015-02-20	$66.76	$70.00	18.3%	5.3%	18.4%	21.8%	0.0%	-1.1%	-1.4%	3.0K	90.6K	-558	0.00	39.54	0	0	51	50
2015-02-23	$67.39	$68.00	18.2%	5.2%	17.7%	21.6%	17.3%	-1.0%	-1.0%	7.0K	23.2K	-551	1.53	38.72	30	46	57	49
2015-02-24	$68.25	$68.00	17.5%	5.0%	18.4%	20.4%	17.6%	-1.3%	-0.8%	10.2K	-25.3K	-545	2.13	54.62	30	64	57	49
2015-02-25	$68.85	$68.00	17.2%	4.9%	18.7%	19.8%	17.0%	-1.2%	-0.6%	3.8K	-31.1K	-616	2.13	33.60	30	64	57	67
2015-02-26	$68.30	$68.00	17.1%	4.9%	17.3%	19.7%	17.5%	-1.1%	-0.9%	1.8K	12.4K	-652	2.13	35.22	30	64	57	67
2015-02-27	$68.93	$68.00	17.2%	4.9%	17.5%	19.8%	17.8%	-0.7%	-1.0%	4.0K	-34.8K	-628	2.13	38.10	30	64	57	67