LTPZ Options History — June 2015

In June 2015, LTPZ traded between $61.17 and $64.38. ATM implied volatility averaged 17.4%, placing in the 69.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 2.1% (HV 20d: 19.5%). Max pain ranged from $63.00 to $67.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 24.77.

Notable Days

2015-06-09: Highest Volume — 42 contracts
2015-06-29: Largest IV spike — 14.1% change
2015-06-29: Highest IV Rank — 90.5%
2015-06-29: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.88	$61.17	$64.38	$64.38	$63.07
Max Pain	$63.55	$63.00	$67.00	$67.00	$63.00
ATM IV	17.4%	15.9%	20.3%	17.4%	19.9%
Expected Move	4.9%	4.5%	5.8%	5.0%	5.7%
HV 20d	19.5%	18.2%	21.3%	20.3%	19.5%
HV 60d	19.4%	18.3%	20.2%	19.9%	19.2%
IV Rank	69.2%	58.1%	90.5%	69.2%	87.9%
IV Percentile	84.5%	66.7%	99.2%	89.3%	98.8%
Term Structure	-0.1%	-2.1%	0.9%	-0.5%	-2.0%
VWIV	17.3%	16.0%	21.6%	18.0%	19.9%
Skew 25d	-0.0%	-1.4%	2.5%	-0.1%	-1.4%
Skew 10d	0.1%	-2.2%	5.2%	-0.5%	-1.6%
Call IV 25d	17.4%	16.0%	21.4%	18.1%	20.7%
Put IV 25d	17.4%	16.0%	20.0%	18.0%	19.3%
Bid-Ask Spread %	34.91	20.71	92.07	63.51	29.03
Gamma HHI	0.66	0.23	0.84	0.23	0.68
Net GEX	-14.4K	-23.4K	-6.9K	-7.8K	-13.9K
Net DEX	173.3K	105.9K	222.9K	105.9K	156.0K
Net VEX	-288	-356	-192	-218	-271
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	24.77	9.50	38.00	9.50	38.00
Total Volume	38.636	20	42	21	39
Total OI	41.955	25	47	26	39

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
2015-06-01	$64.38	$67.00	17.4%	5.0%	20.3%	69.2%	18.0%	-0.1%	-0.5%	-7.8K	105.9K	-218	9.50	63.51	2	19	2	24
2015-06-02	$63.49	$67.00	18.0%	5.2%	20.0%	73.9%	0.0%	-0.7%	-1.7%	-6.9K	116.0K	-192	0.00	83.70	0	20	1	24
2015-06-03	$62.28	$67.00	18.6%	5.3%	20.9%	77.9%	21.6%	0.5%	-1.4%	-13.7K	195.6K	-334	19.50	92.07	2	39	2	44
2015-06-04	$63.16	$63.00	18.8%	4.9%	21.3%	79.5%	17.2%	0.5%	0.4%	-15.3K	179.3K	-356	19.50	20.71	2	39	2	44
2015-06-05	$62.62	$63.00	16.8%	4.7%	20.7%	65.0%	16.6%	0.7%	0.7%	-14.8K	192.3K	-327	19.50	23.12	2	39	2	44
2015-06-08	$62.50	$63.00	17.5%	4.8%	20.7%	70.4%	16.4%	0.9%	0.8%	-15.0K	195.8K	-313	19.50	23.40	2	39	2	44
2015-06-09	$62.01	$63.00	17.7%	4.7%	19.0%	71.6%	16.4%	0.1%	0.9%	-14.0K	205.4K	-299	20.00	24.95	2	40	2	44
2015-06-10	$61.17	$63.00	17.0%	4.9%	19.3%	66.5%	16.8%	-0.1%	0.6%	-11.5K	222.9K	-264	20.00	39.50	2	40	2	45
2015-06-11	$62.17	$63.00	16.3%	4.7%	20.0%	61.5%	16.0%	0.2%	0.7%	-15.5K	203.8K	-315	20.00	26.24	2	40	2	45
2015-06-12	$62.34	$63.00	16.7%	4.8%	20.0%	64.0%	16.7%	0.2%	0.8%	-15.9K	200.8K	-313	20.00	26.42	2	40	2	45
2015-06-15	$63.05	$63.00	16.4%	4.7%	18.7%	61.9%	16.4%	-0.5%	0.4%	-17.4K	190.0K	-306	20.00	26.09	2	40	2	45
2015-06-16	$63.99	$63.00	16.4%	4.7%	18.8%	61.8%	16.4%	-0.2%	0.5%	-18.2K	167.5K	-308	20.00	23.12	2	40	2	45
2015-06-17	$63.58	$63.00	15.9%	4.5%	18.8%	58.1%	16.1%	0.3%	0.3%	-19.8K	176.8K	-294	20.00	29.87	2	40	2	45
2015-06-18	$62.95	$63.00	15.9%	4.6%	19.1%	58.6%	16.0%	-0.1%	0.4%	-23.4K	194.0K	-291	20.00	29.50	2	40	2	45
2015-06-19	$63.61	$63.00	16.5%	4.7%	18.9%	62.7%	16.6%	0.2%	0.5%	-12.5K	166.7K	-294	20.00	25.13	2	40	2	45
2015-06-22	$62.94	$63.00	17.0%	4.9%	19.2%	66.3%	17.0%	-0.4%	-0.4%	-13.4K	130.5K	-271	0.00	27.16	0	33	0	33
2015-06-23	$62.77	$63.00	16.8%	4.8%	18.5%	64.6%	16.8%	2.5%	-0.2%	-15.0K	168.4K	-275	38.00	28.55	1	38	0	38
2015-06-24	$62.98	$63.00	17.1%	4.9%	18.5%	67.1%	17.3%	-0.4%	-0.1%	-13.8K	158.9K	-287	38.00	26.13	1	38	1	38
2015-06-25	$62.79	$63.00	17.8%	5.1%	18.6%	72.0%	17.5%	-1.2%	-0.9%	-13.6K	161.2K	-285	38.00	27.65	1	38	1	38
2015-06-26	$61.96	$63.00	17.8%	5.1%	18.2%	72.0%	17.6%	-0.4%	-0.9%	-12.2K	177.5K	-253	38.00	41.34	1	38	1	38
2015-06-29	$63.63	$63.00	20.3%	5.8%	19.8%	90.5%	20.1%	-1.4%	-2.1%	-14.0K	147.0K	-277	38.00	30.89	1	38	1	38
2015-06-30	$63.07	$63.00	19.9%	5.7%	19.5%	87.9%	19.9%	-1.4%	-2.0%	-13.9K	156.0K	-271	38.00	29.03	1	38	1	38