LTPZ Options History — July 2015

In July 2015, LTPZ traded between $62.10 and $64.66. ATM implied volatility averaged 16.7%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 1.5% (HV 20d: 18.1%). Max pain ranged from $63.00 to $65.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 28.91.

Notable Days

2015-07-01: Highest Volume — 39 contracts
2015-07-15: Largest IV drop — 16.8% change
2015-07-09: Highest IV Rank — 96.3%
2015-07-02: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.46	$62.10	$64.66	$62.36	$64.34
Max Pain	$64.82	$63.00	$65.00	$63.00	$65.00
ATM IV	16.7%	13.6%	21.1%	18.8%	14.3%
Expected Move	4.5%	3.9%	5.5%	5.4%	4.1%
HV 20d	18.1%	14.2%	20.3%	18.6%	14.2%
HV 60d	19.0%	17.8%	20.2%	19.0%	17.8%
IV Rank	63.1%	39.2%	96.3%	79.7%	44.8%
IV Percentile	67.7%	39.3%	99.6%	96.8%	43.7%
Term Structure	0.4%	-1.4%	1.2%	-1.4%	1.1%
VWIV	15.9%	13.7%	19.2%	18.7%	14.2%
Skew 25d	-0.1%	-1.7%	1.3%	-0.0%	-0.3%
Skew 10d	-0.1%	-3.0%	1.4%	-0.7%	1.0%
Call IV 25d	16.1%	13.5%	19.9%	18.9%	14.7%
Put IV 25d	16.0%	13.8%	18.9%	18.9%	14.4%
Bid-Ask Spread %	33.96	16.95	53.05	42.99	53.05
Gamma HHI	0.53	0.29	0.87	0.70	0.30
Net GEX	-11.3K	-36.8K	-1.8K	-14.0K	-1.9K
Net DEX	126.8K	94.2K	194.9K	168.0K	96.0K
Net VEX	-176	-263	-126	-258	-134
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	28.91	18.00	38.00	38.00	18.00
Total Volume	29.909	19	39	39	19
Total OI	29.909	19	39	39	19

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
2015-07-01	$62.36	$63.00	18.8%	5.4%	18.6%	79.7%	18.7%	-0.0%	-1.4%	-14.0K	168.0K	-258	38.00	42.99	1	38	1	38
2015-07-02	$62.60	$63.00	19.1%	5.5%	18.0%	82.1%	19.2%	-1.7%	-1.2%	-14.4K	162.9K	-261	38.00	29.49	1	38	1	38
2015-07-06	$63.79	$65.00	18.8%	5.0%	18.9%	79.5%	17.6%	-0.8%	0.2%	-16.5K	135.7K	-263	38.00	19.13	1	38	1	38
2015-07-07	$64.37	$65.00	19.4%	5.0%	19.1%	84.1%	17.6%	-0.6%	0.4%	-14.6K	122.0K	-253	38.00	16.95	1	38	1	38
2015-07-08	$64.66	$65.00	21.0%	5.1%	18.8%	95.7%	17.7%	-0.5%	0.1%	-15.2K	114.8K	-246	38.00	20.58	1	38	1	38
2015-07-09	$63.13	$65.00	21.1%	5.1%	20.3%	96.3%	18.0%	-0.6%	-0.1%	-17.8K	152.1K	-233	38.00	19.18	1	38	1	38
2015-07-10	$62.28	$65.00	20.5%	5.1%	20.2%	92.0%	18.3%	-0.7%	0.1%	-17.4K	176.1K	-215	38.00	19.97	1	38	1	38
2015-07-13	$62.13	$65.00	20.1%	4.7%	20.1%	89.1%	17.5%	-0.7%	0.5%	-20.1K	187.1K	-175	38.00	23.68	1	38	1	38
2015-07-14	$62.10	$65.00	19.3%	4.7%	19.7%	82.8%	16.7%	-0.2%	0.5%	-22.7K	194.9K	-162	38.00	25.65	1	38	1	38
2015-07-15	$62.66	$65.00	16.0%	4.6%	19.2%	58.1%	16.6%	-0.4%	0.5%	-36.8K	171.1K	-170	38.00	24.58	1	38	1	38
2015-07-16	$63.18	$65.00	15.1%	4.3%	19.3%	51.0%	15.3%	-0.0%	0.6%	-36.7K	151.1K	-159	38.00	27.42	1	38	1	38
2015-07-17	$63.31	$65.00	14.8%	4.2%	19.0%	48.8%	14.7%	0.3%	0.6%	-1.9K	95.8K	-132	38.00	28.09	1	38	1	38
2015-07-20	$63.25	$65.00	14.8%	4.2%	18.6%	48.6%	13.8%	1.1%	0.5%	-1.8K	97.9K	-126	18.00	35.68	1	18	1	18
2015-07-21	$63.26	$65.00	14.6%	4.2%	18.2%	46.9%	14.5%	0.4%	0.5%	-1.9K	96.8K	-128	18.00	29.51	1	18	1	18
2015-07-22	$63.76	$65.00	14.4%	4.1%	18.4%	45.3%	14.4%	-0.1%	1.0%	-2.0K	95.8K	-139	18.00	43.50	1	18	1	18
2015-07-23	$64.02	$65.00	14.4%	4.1%	18.4%	45.4%	14.5%	1.3%	0.9%	-2.1K	95.6K	-137	18.00	43.50	1	18	1	18
2015-07-24	$64.15	$65.00	14.3%	4.1%	18.4%	44.6%	14.4%	1.0%	0.9%	-2.1K	94.2K	-140	18.00	42.74	1	18	1	18
2015-07-27	$64.48	$65.00	14.7%	4.2%	17.6%	47.7%	14.6%	-0.1%	0.5%	-2.1K	94.8K	-139	18.00	50.24	1	18	1	18
2015-07-28	$64.11	$65.00	14.1%	4.0%	15.2%	43.2%	14.2%	-0.0%	1.0%	-1.9K	95.8K	-129	18.00	51.96	1	18	1	18
2015-07-29	$63.93	$65.00	13.6%	3.9%	14.8%	39.2%	13.7%	-0.2%	1.2%	-1.9K	95.9K	-133	18.00	46.09	1	18	1	18
2015-07-30	$64.25	$65.00	14.0%	4.0%	14.2%	42.9%	13.9%	-0.3%	1.1%	-2.0K	95.6K	-135	18.00	53.05	1	18	1	18
2015-07-31	$64.34	$65.00	14.3%	4.1%	14.2%	44.8%	14.2%	-0.3%	1.1%	-1.9K	96.0K	-134	18.00	53.05	1	18	1	18