LTPZ Options History — April 2015

In April 2015, LTPZ traded between $67.36 and $70.74. ATM implied volatility averaged 14.8%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 4.6% (HV 20d: 19.4%). Max pain ranged from $66.00 to $71.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.07.

Notable Days

2015-04-01: Highest Volume — 8 contracts
2015-04-06: Largest IV drop — 7.7% change
2015-04-29: Highest IV Rank — 70.5%
2015-04-01: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.97	$67.36	$70.74	$69.62	$68.04
Max Pain	$70.76	$66.00	$71.00	$66.00	$71.00
ATM IV	14.8%	13.7%	16.3%	16.3%	15.2%
Expected Move	4.3%	3.9%	4.7%	4.7%	4.4%
HV 20d	19.4%	17.4%	21.9%	21.6%	17.8%
HV 60d	19.1%	18.6%	19.4%	19.2%	18.8%
IV Rank	30.9%	15.0%	70.5%	18.1%	67.6%
IV Percentile	70.8%	65.5%	77.4%	77.4%	75.4%
Term Structure	0.3%	-0.6%	0.9%	-0.6%	0.1%
VWIV	15.2%	14.0%	16.9%	14.1%	15.7%
Skew 25d	-0.3%	-0.9%	0.7%	-0.4%	0.6%
Skew 10d	-0.2%	-1.1%	1.0%	0.9%	0.7%
Call IV 25d	15.2%	14.1%	16.8%	16.8%	15.5%
Put IV 25d	14.9%	13.7%	16.4%	16.4%	16.1%
Bid-Ask Spread %	32.06	21.92	44.79	44.79	43.68
Gamma HHI	0.36	0.24	0.48	0.29	0.48
Net GEX	-1.4K	-3.2K	-365	-2.5K	-2.3K
Net DEX	3.7K	-3.4K	16.8K	2.3K	16.8K
Net VEX	-85	-119	-69	-119	-105
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	1.00	1.67	1.00	1.67
Total Volume	6.952	0	8	8	8
Total OI	14.095	9	18	18	11

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
2015-04-01	$69.62	$66.00	16.3%	4.7%	21.6%	18.1%	14.1%	-0.4%	-0.6%	-2.5K	2.3K	-119	1.00	44.79	4	4	4	14
2015-04-02	$69.37	$71.00	16.2%	4.6%	21.7%	18.0%	16.6%	-0.7%	-0.1%	-365	-1.4K	-97	1.00	26.07	4	4	4	14
2015-04-06	$68.73	$71.00	14.9%	4.5%	21.9%	15.7%	16.3%	-0.9%	-0.2%	-3.2K	4.8K	-108	1.00	29.33	4	4	4	14
2015-04-07	$69.61	$71.00	15.2%	4.5%	19.6%	16.1%	15.8%	-0.3%	0.1%	-1.2K	-3.3K	-91	1.00	30.31	4	4	4	14
2015-04-08	$69.31	$71.00	15.1%	4.3%	19.6%	16.1%	0.0%	-0.4%	0.4%	-962	-562	-80	0.00	21.92	0	0	3	14
2015-04-09	$68.63	$71.00	15.0%	4.3%	20.0%	15.9%	15.4%	-0.9%	0.0%	-504	1.6K	-91	1.00	22.11	4	4	4	14
2015-04-10	$68.55	$71.00	14.8%	4.2%	20.0%	15.5%	15.2%	-0.7%	0.5%	-2.5K	3.1K	-94	1.00	24.21	4	4	4	14
2015-04-13	$68.49	$71.00	14.5%	4.2%	19.7%	15.0%	15.1%	-0.7%	0.4%	-851	1.9K	-86	1.00	25.25	4	4	4	14
2015-04-14	$68.83	$71.00	14.4%	4.1%	19.5%	24.2%	14.9%	-0.6%	0.6%	-1.1K	-58	-85	1.00	26.23	4	4	4	14
2015-04-15	$69.21	$71.00	14.1%	4.0%	19.5%	23.3%	14.5%	-0.7%	0.5%	-1.3K	-2.3K	-80	1.00	26.75	4	4	4	14
2015-04-16	$68.64	$71.00	14.1%	4.0%	19.7%	23.5%	14.3%	0.1%	0.6%	-918	5.0K	-84	1.00	28.29	4	4	3	14
2015-04-17	$70.74	$71.00	14.6%	4.2%	18.2%	24.8%	14.5%	-0.0%	0.7%	-503	-3.4K	-69	1.00	33.86	4	4	3	14
2015-04-20	$70.01	$71.00	14.9%	4.3%	18.6%	25.7%	15.2%	-0.6%	0.1%	-812	177	-72	1.00	30.44	3	3	3	6
2015-04-21	$69.30	$71.00	14.4%	4.1%	18.9%	24.2%	14.9%	-0.7%	0.4%	-1.0K	4.0K	-77	1.00	30.75	3	3	3	6
2015-04-22	$68.45	$71.00	14.5%	4.2%	19.4%	24.7%	15.8%	-0.2%	0.4%	-1.9K	9.0K	-77	1.00	44.15	3	3	3	6
2015-04-23	$68.74	$71.00	14.7%	4.2%	18.8%	26.4%	14.7%	-0.4%	0.7%	-1.4K	7.4K	-77	1.00	31.61	3	3	3	6
2015-04-24	$69.17	$71.00	13.7%	3.9%	18.9%	56.7%	14.0%	-0.4%	0.9%	-1.1K	4.7K	-74	1.00	35.41	3	3	3	6
2015-04-27	$69.40	$71.00	14.5%	4.1%	17.4%	62.1%	15.2%	-0.2%	0.4%	-1.0K	3.4K	-69	1.00	34.38	3	3	3	6
2015-04-28	$68.07	$71.00	14.8%	4.3%	18.6%	65.0%	15.5%	0.4%	0.1%	-1.7K	10.8K	-74	1.00	41.53	3	3	3	6
2015-04-29	$67.36	$71.00	15.6%	4.5%	19.0%	70.5%	16.9%	0.7%	-0.1%	-1.9K	14.4K	-72	1.67	42.15	3	5	3	6
2015-04-30	$68.04	$71.00	15.2%	4.4%	17.8%	67.6%	15.7%	0.6%	0.1%	-2.3K	16.8K	-105	1.67	43.68	3	5	3	8