LTPZ Options History — March 2015

In March 2015, LTPZ traded between $65.59 and $70.37. ATM implied volatility averaged 16.3%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.1% (HV 20d: 18.4%). Max pain ranged from $66.00 to $68.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.07.

Notable Days

2015-03-18: Highest Volume — 140 contracts
2015-03-09: Largest IV spike — 7.6% change
2015-03-02: Highest IV Rank — 21.1%
2015-03-02: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.74	$65.59	$70.37	$67.71	$68.24
Max Pain	$66.29	$66.00	$68.00	$68.00	$66.00
ATM IV	16.3%	15.1%	17.9%	17.9%	16.3%
Expected Move	4.6%	4.3%	5.1%	5.1%	4.7%
HV 20d	18.4%	15.2%	21.6%	17.1%	20.4%
HV 60d	18.8%	18.3%	19.3%	18.6%	19.1%
IV Rank	18.2%	16.1%	21.1%	21.1%	18.2%
IV Percentile	76.8%	69.8%	88.5%	88.5%	77.4%
Term Structure	0.2%	-1.6%	1.1%	-1.6%	-0.4%
VWIV	16.0%	15.2%	17.0%	16.9%	15.6%
Skew 25d	-0.6%	-1.3%	-0.1%	-0.9%	-0.6%
Skew 10d	-0.6%	-1.5%	0.7%	-0.1%	-0.9%
Call IV 25d	16.5%	15.0%	18.9%	18.9%	16.5%
Put IV 25d	15.9%	14.9%	18.1%	18.1%	16.0%
Bid-Ask Spread %	39.16	21.29	54.81	38.14	50.79
Gamma HHI	0.38	0.20	0.55	0.21	0.43
Net GEX	-6.8K	-18.8K	2.0K	-1.6K	-4.3K
Net DEX	106.0K	3.2K	244.9K	59.3K	13.7K
Net VEX	-258	-545	-96	-532	-135
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.00	2.13	2.13	1.00
Total Volume	29.667	0	140	94	8
Total OI	98.048	16	244	124	18

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
2015-03-02	$67.71	$68.00	17.9%	5.1%	17.1%	21.1%	16.9%	-0.9%	-1.6%	-1.6K	59.3K	-532	2.13	38.14	30	64	57	67
2015-03-03	$67.79	$68.00	17.6%	5.1%	17.2%	20.6%	17.0%	-0.6%	-1.4%	766	52.1K	-545	2.13	36.85	30	64	57	67
2015-03-04	$68.01	$68.00	17.1%	4.9%	15.7%	19.6%	16.0%	-1.3%	-1.2%	2.0K	35.8K	-479	1.84	54.81	31	57	57	67
2015-03-05	$67.87	$66.00	16.5%	4.5%	15.2%	18.6%	15.4%	-0.3%	0.4%	1.6K	41.9K	-495	1.84	21.89	31	57	57	67
2015-03-06	$66.03	$66.00	15.9%	4.3%	17.3%	17.4%	15.2%	-0.5%	0.8%	-10.4K	177.3K	-384	1.84	24.80	31	57	57	67
2015-03-09	$65.74	$66.00	17.1%	4.5%	17.1%	19.6%	0.0%	-1.1%	0.5%	-17.8K	239.6K	-312	0.00	34.91	2	0	41	67
2015-03-10	$66.25	$66.00	17.3%	4.5%	17.4%	20.0%	0.0%	-0.5%	0.6%	-14.6K	214.8K	-315	0.00	22.51	0	0	39	67
2015-03-11	$66.57	$66.00	16.4%	4.7%	16.8%	18.3%	0.0%	-1.0%	0.2%	-12.6K	197.5K	-300	0.00	21.29	0	0	39	67
2015-03-12	$66.00	$66.00	16.0%	4.6%	17.0%	17.7%	0.0%	-0.5%	0.6%	-16.1K	226.4K	-279	0.00	37.26	1	0	39	67
2015-03-13	$65.59	$66.00	15.8%	4.5%	16.7%	17.4%	0.0%	-0.5%	1.0%	-18.8K	244.9K	-248	0.00	41.39	1	0	38	67
2015-03-16	$65.97	$66.00	16.1%	4.6%	16.8%	17.8%	0.0%	-0.6%	0.5%	-13.8K	224.4K	-198	0.00	36.88	0	2	39	67
2015-03-17	$66.53	$66.00	16.6%	4.8%	16.4%	18.8%	0.0%	-0.8%	0.2%	-11.3K	197.1K	-212	0.00	40.69	0	0	39	67
2015-03-18	$69.02	$66.00	16.2%	4.6%	20.6%	18.0%	0.0%	-0.5%	0.5%	-2.7K	85.8K	-140	0.00	46.99	0	140	39	67
2015-03-19	$69.06	$66.00	15.8%	4.5%	20.5%	17.2%	0.0%	-0.4%	1.0%	-3.3K	89.5K	-132	0.00	48.87	0	0	39	205
2015-03-20	$69.43	$66.00	15.5%	4.4%	20.6%	16.7%	0.0%	-0.1%	1.1%	-3.6K	86.5K	-122	0.00	46.48	0	0	39	205
2015-03-23	$69.39	$66.00	15.8%	4.5%	20.4%	17.3%	0.0%	-0.7%	-0.3%	-3.7K	8.4K	-113	0.00	45.90	0	0	2	14
2015-03-24	$70.37	$66.00	15.2%	4.4%	20.5%	16.2%	0.0%	-0.4%	0.8%	-2.6K	3.2K	-96	0.00	37.97	0	0	2	14
2015-03-25	$70.06	$66.00	15.1%	4.3%	20.4%	16.1%	0.0%	-0.6%	1.0%	-2.7K	3.8K	-98	0.00	39.92	1	0	2	14
2015-03-26	$68.62	$66.00	15.4%	4.4%	21.6%	16.6%	16.0%	-0.1%	0.8%	-3.8K	10.9K	-139	1.00	47.82	4	4	4	14
2015-03-30	$68.21	$66.00	16.4%	4.7%	21.4%	18.4%	16.0%	-0.3%	-0.3%	-4.3K	14.2K	-139	1.00	46.17	4	4	4	14
2015-03-31	$68.24	$66.00	16.3%	4.7%	20.4%	18.2%	15.6%	-0.6%	-0.4%	-4.3K	13.7K	-135	1.00	50.79	4	4	4	14